mholstius![]() Veteran ![]() ![]() ![]() ![]() Posts: 175 Joined: 1/13/2017 ![]() | Well, Jim… you’re definitely right, but using a Fixed $ amount was just part of the process. I’d appreciate your input on taking your excellent suggestion a bit further. (Along with anyone else’s ideas…) What I found in my testing this weekend is that the goal can be simplified even more. Using a Fixed $ amount goes part way, but I think the real objective is to see all the trades the strategies can produce in order to get the best picture of their potential performance (especially before using ATM to then find the best trades in each). To accomplish that, I used the basic parameters I’d posted in another thread to get all the trades; 1) To make sure the high priced stocks are included, set the starting equity to $1M 2) Then set: either the Fixed $ at $10,000 -OR- % Of Equity to 1% 3) Set the Margin leverage at 6X and “Use Leverage To Increase # Of Trades” The results from a “normal” run comparing the 5 strategies starting at $100,000 with all at 10% of equity; Notice that VBX3 is at the bottom and has 4,763 trades Here are the same 5 strategies using settings to get the max number of trades, and a Fixed $ of $10,000; All of the strategies have a larger number of trades, but notice the difference in the curves - and especially that VBX3 now has 12,801 trades (vs 4,763) and has moved from the bottom to the top. To demonstrate that showing all the trades is the deciding factor, as opposed to simply using a Fixed $ amount, here’s the same run of 5 strategies using % Of Equity at 1%; The # of trades for each is identical to the Fixed $ run, and the curves are basically the same. I prefer % of Equity, though, since you don’t get the slight “rolling over” effect produced as the account grows and the Fixed $ amount becomes a lower % of the account. With the original 10% allocation run, I would have chosen NSP41 and CRT3 as the top 2 strategies, but now I’ll use VBX3 and NSP41 for the following example. It gets even more interesting when combining those 2 and comparing their performance when using allocations of 10% of Equity and 1% of Equity; Using 1% vs 10% allocation, the number of trades increases to 19,193 from 6,310 and the MDD decreases to 14.3% from 49.9% (Avg Ann MDD to 9.0% from 26.5%). Interesting that decreasing the allocation, and thereby increasing the # of trades and diversification, can change the performance so radically. There could be a concern that the increased # of trades at 1% would run up the commissions, so I included IB commissions in the test. Just wanted to share the information. Maybe it will save someone some hours of testing, or spark an interest in a new area...??? Thanks again for getting me thinking, Jim. Happy Labor Day weekend, Mark [Edited by mholstius on 9/2/2018 12:52 PM] ![]() ![]() ![]() ![]() |