Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile | Thanks for your observations Steve (KC Kid). I agree that the % of Equity curve suffers in the comparison because of its use of trending strategies during bear markets, but that’s simply a consequence of the structure of ATM. Jeff’s research with ATM showed us that one of the underlying causes of the poor performance of RTMs in 2017 was the lack of volatility. That lead to the realization that we should be using more trending strategies during those periods. For ATM to have those trending strategies (or any particular strategy) available to use at the appropriate time, they have to be included in the “base” list of strategies - and all of the strategies in that base list have to be used at all times by the % Of Equity calculation. Presently, there’s no way around that. In this set of tests, I was more interested in applying the same ATM method to 3 different lists - each containing a unique set of stocks. The fact that all 3 runs showed consistent results satisfied me that a particular ATM Method created isn’t just a curve fit only applicable to a particular set of strategies and stocks, but rather that it can be quite robust. With that fundamental question answered, I’ll probably stop plotting the % Of Equity curve and use the ATM Method created as the base of comparison. Then I’ll save individual variations of the Method, adjusting other significant variables one at a time in each, and analyze their effect on the results. ATM is an incredible tool. It allows us to refine things and see relationships like never before. I’m sure the rewards will be well worth any effort involved, and I’m looking forward to Ed’s webinar this afternoon in hopes of learning more. Mark | |
