SteveL Veteran   Posts: 262 Joined: 8/19/2005 Location: Boulder, CO  User Profile | I'd like to share my approach to getting the data to use in Mark's spreadsheet. His spreadsheet uses the %G/L of each trade, and the sign (+/-) from the # of shares. So, I'm using the following process to generate and gather trades by Market State, where each trade is just 1 share. I created a set of ATM methods - one for each market state, and selected all of them for processing: In each ATM method, I configured the Allocation tab with "Fixed Trade Size" and 1 share per trade, allowing 100% long, 100% short, 100 long trades and 100 short trades (this should be increased if you have 1000's of concurrent trades). In this example, I am configuring the "#ATM M&M Bear and Bear" method. So, ONLY the "Bear and Bear" market state TradeSize is set to 1. For all the other market states in this method, the TradeSize is set to 0, so that trades are gathered only for the "Bear and Bear" state. Repeat this process for each of the market state methods. In all the methods for all the market states, "Use Portfolio Simulation Settings for Strategies" is selected for all the market states. NOTE: The strategy to be processed is controlled by the PortSim "Trade Source" setting. In the PortSim Settings "Trade Source" tab, select the Focus List and Strategy to be analyzed: In the PortSim Settings "Account Settings" tab, make sure you have sufficient funds allocated available to purchase 1 share of all possible in-trade symbols. If you have thousands of potential concurrent trades (assuming you have a very large number of symbols in your focus list), then make sure you set this to a high value, e.g. $1M. And, configure "Increase Number of Trades" so that all potential trades are included in the analysis. In the PortSim Settings "Trading Parameters", I configured Min Shares and Max Shares to 1, and "Per Trade Allocation." (Frankly, I'm not sure whether these settings matter in this scenario, but it doesn't hurt to set them.) Since this process is designed to only trade 1 share, I do not want commissions to be a factor in the analysis. So, I set commissions to $0. Run the simulation, and at completion you will have a set of "Strategy-by-MarketState" trades for inputting into Mark's spreadsheet. [Edited by SteveL on 8/18/2018 12:01 AM]  Attached file : 2018-08-17_17-14-06 ATM Market State Methods.png (7KB - 933 downloads) Attached file : 2018-08-17_17-21-15 PortSim Settings Trade Source.png (13KB - 920 downloads) Attached file : 2018-08-17_17-23-18 PortSim Settings Account Settings.png (12KB - 929 downloads) Attached file : 2018-08-17_17-24-04 PortSim Settings Trading Parms.png (19KB - 927 downloads) Attached file : 2018-08-17_17-25-05 PortSim Settings Commissions.png (18KB - 931 downloads) Attached file : 2018-08-17_17-19-36 Method Strategies.png (41KB - 905 downloads) Attached file : 2018-08-17_22-56-51 Method Allocation.png (102KB - 921 downloads) |
