Buffalo Bill Legend   Posts: 539 Joined: 10/3/2006 Location: Stafford, VA  User Profile | LSJ/Tom/Mark One thing about using ATM effected results to rank strategies for use in ATM is that the signals from the strategies are not raw they get ranked by ATM and only X amt of L or S get thru. ATM is directly effecting the results of the strategy - so was the strategy actually good (or bad) or was it ATM ranking and/or trade cutoffs that drove the results one way or another? IMHO using Port Sim is a better way to look at the over-all quality of the strats themselves in the Macro/Micro market (using the confirm blocks I provided) since it does NOT add the artificial, non-strategy-derived rankings or cutting off L&S signals arbitrarily at 2/day or something. If the sum total of a strategy's signals do well in PS - >70% HR, >1% PPT for ex - then things should only get better when ATM uses it's magic to rank those signals against other signals from other strats, etc. In addition, using ATM results to pick ATM strats could also be a form of curve fitting Food for thought I'm in the middle of running port sims on a long list of Nirvana provided strategies in each of the 9 Macro/Micro states (M&M states). This is Port sim data (FT = 1/1/2007+), no ATM, using the confirm blocks to set each MM state. I will clean up the results and post when I'm done FWIW. No pivot table but it will be an excel spreadsheet! Ha [Edited by Buffalo Bill on 3/19/2018 10:42 AM] | |
