Buffalo Bill Legend   Posts: 539 Joined: 10/3/2006 Location: Stafford, VA  User Profile | The first sheet has a box showing each M&M state and the Long, Short or Both strats that show promise noted for each. **NOTE: you'll see lots of strats that do well long or short but not both for a given M&M state hence my recommendation ATM be modified to select L or S or both for each start in each MS. If you agree pass it along to Barry and Ed** There is a "score" column on sheet 1 - it is a rough strategy ranking of how each did overall. I gave each strat 1 pt for looking tradeable in the L, S or Both for each MS. So a score of 18 - 9 MSs and Both L&S = 9x2 = 18pts. TLB2 RSI, WT3 ST, NSP-35 CB scored very well (all > 13). CRSI, CRT-3, VBX-3 NN, lots of X suite strats, MVX-15, ARM5 RTM17, WT3 LT all also scored well. Those are a good set of strats to include in your ATM strategy selection testing The second sheet is all the numbers for every strat broken down by M&M state The last sheet is where I did a PRELIMINARY test on using the MS filters on each symbol as well as SP500. I selected Macro Default+Micro Bear as the MS. Then I added a confirmer to only pass signals if the SYMBOL was in Macro Default as well. Then Symbol in Macro Def AND Micro Bull, and lastly no macro but just Micro Bull. Quick analysis tells me this is something we need to explore - the strat results IMPROVED - higher HRs and PPTs. This means we could risk more per trade potentially and min MDD. IDK yet - I did a quick look at ONE M&M and did NOT have a chance to try adding these symbol states in ATM. Note - IGNORE THE t3-sx stuff at the bottom of the last sheet. Something else I am heading to the airport for a trip to Beijing. I will look at this more but I hope someone smarter than me can play around with that idea. It could be really good for our ATM results I think. Also, this was just my first set of strat tests - I will start on another set of more strats, most with retrained ARM blocks (on SP100+NAS100 list) OR with newly added ARM blocks (my NNs) if none were available (like CRSI, CRT-3, TLB2 RSI for ex). When complete I will share my results I don't know how the .pdf version will look - gotta go but thought it might be good if someone doesn't have excel  Attached file : MM Strat results.pdf (152KB - 381 downloads) Attached file : MM Strat results.xlsx (96KB - 376 downloads) |
