KC Kid Member Posts: 23 Joined: 6/20/2013 Location: Olathe, KS  User Profile | Mark, In your evaluation, the one thing you did not vary was choice of strategies in the mix. (Edit: Sorry, I misstated. You did change up the strategies, but my point below of having trending strats in the mix must be the reason for the big drawdown periods in the basic % of equity run.) I jumped on the ATM bandwagon, but have not yet fired it up to do testing. But something has been eating at me that I want to test. Why is ATM avoiding the big drawdowns, I was wondering? Afterall, this new raging bull market state only comes into play primarily in 2017. The rest of the time, only RTM strategies are in use during long and short periods. Next, I was thinking "When have I seen an RTM equity curve published by Nirvana that suffered such drawdowns as show here approx 2002, 2008 & 2011?" Answer: Never. None of the RTM strats suffer such significant drawdowns. But this curve does. And I think the answer is that the base curve contains several trend following strategies that are enabled and trading during periods where they are out of favor. The simple test would be to enable only RTM strats for a normal, an ATS and an ATM setup and compare the equity curves. I suspect the unenhanced % of equity curve will not have nearly the severe drawdowns as the current 'brochure" curve and the ATM curve will be much closer to the ATS curve, ATM possibly still benefitting from the different market balance setting in bull vs bear market states. I think ATM may be a good platform to develop and experiment with market state switching. I would like to find out if market state could be detected with more granularity to switch in trending strats into the mix more often. Surely there were periods outside of 2017 where trending was the way to go. Anyway, I'm not sure ATM is really going to deliver the shock and awe offered at its unveiling. Love to see if anyone can run my test and post results before I have a chance. [Edited by KC Kid on 1/21/2018 8:24 PM] | |
