EYEGUY Icon    Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK  User Profile | Guys: I think the problem here is that while the way Mark suggested testing each Strategy is a good idea since it is performed entirely within the ATM Micro Macro Market State paradigm (even allowing for trade Ranking) it doesn't allow for the full weight of trades the Strategy could have possibly assumed when a greater amount of capital from previous trades in precursor Market States has been made available to it. That is, only a handful of trades are being taken when we test each Strategy individually as Mark suggested. When all the Strategies are deployed they provide the Strategies going forward in each Market State with excess capital over and above that used in the Single Strategy Test which can be (unfortunately) deployed into loosing trades. More and more trades (or larger and larger trades) can thus be taken with this excess capital some of which might assume losses which swamp the gain the single tested Strategy would have implied. Therefore the only real way to supply the ATM Method with viable Strategies would appear to be to throw them into the mix and see what happens via Excel Pivot Table Analysis. And, yeah, that sounds like curve fitting. But the idea here is weather the storm in a variety of past market conditions with Strategies that have been proven to hold their own so that we might be hopeful of them doing the same in future market conditions. Tom Helget | |
