Jim Dean Sage   Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA  User Profile | Hi Mark It’s pretty late and honestly I’m not able to absorb the details very well. Some of what you said sounds like the issue is with the ATM settings not allowing the Fixed $ case to run in a realistic manner. And I think you missed a crucial point I was making. I kept repeating that Fixed $ runs are best *for the purpose of comparing* A vs B during the process of choosing between strategies or comparing methods or tuning parameters. Your example does not do that, if I follow it. Your two different A vs B runs seem to be the same everything with only the allocation method being different. Which is the exact opposite of what I was talking about. Your point seems to be, at least in part, that ATM was not allowing all the account to be in play. Again, I’m a bit tired right now, but here is what I suggest. SIMPLIFY. Forget ATM for now and just pick out, say, five individual strategies, all of which you think are pretty good ones. Using the same focus list and 10 yr time frame etc, do a PortSim run on each separate strategy using Fixed $. Examine the results and make a decision from those runs only, using whatever criteria you want, about which of the five is best, second best, etc. Now, repeat that process for the same five strats with same FL and timeframe etc, this time using % Equity. Examine those results and use the same decision criteria to rank the strategies. My prediction is that the order in which you ranked them will end up being different. And my assertion is that the decision made from the Fixed $ runs, regarding that ranking, will be the most reliable and representative one, for future use. Re ATM - it is a MUCH more complex playing field and it’s very likely that several things need to be set differently to accomplish similar decision making comparisons. But the comparisons always should be Fixed $ vs Fixed $. I’ve tried to make it clear that all I was saying has to do with making choices. I’m not saying that Fixed $ is necessarily preferable to %Equity *trading* at the hard right edge. I hope this makes better sense than my current awakeness- level merits. Thanks again for giving this a shot. [Edited by Jim Dean on 9/1/2018 9:25 AM] | |
