Juan Regular  Posts: 74 Joined: 10/11/2012 Location: Round Rock, Tx  User Profile | Mark, I used the default dynamic lists noted below: BASING * PRS * BULL * ELS100 * INVETF (not dynamic but added anyway) The way I put together the strategies was simply using Strategy Lab and selecting "BASING *" for example, and then used these settings: Action: Test on List against all systems Direction: Both Allocation: 10 Condition: none Timeframe was back-test to 1/1/2007 I then ran strategy lab and created typically 7 or 8 of the top strategies based on high CAR and low Drawdown. This was subjective and based simply on eyeballing the #'s. So that created 35 new strategies (ie 5 x 7) approximately. Then I went back to existing portfolio that was based strictly on RTM strategies and here's where the tedious work began. One by one, for each newly created strategy, I added to the existing portfolio and checked if it increased CAR and reduced draw down. If so, then I added, if not I left it out. After I went through all 35 strategies, I went back to remove the existing strategies to see if by removing them improved the results. It took pretty much all weekend and then some. But in the end I achieved my goal of getting high CAR ratio with lower DD and most important max trade symbol of 20% with average of 10%. I agree it takes much time to get the #'s where you want them. But well worth the time if you can dedicate to it. Thanks. | |
