SteveL Veteran   Posts: 262 Joined: 8/19/2005 Location: Boulder, CO  User Profile | Hey, Buffalo. Hope you had a good trip. I like your idea of using the Confirm Block with the two systems. But, ... Instead of a PortSim report, wouldn't the File->PrintReports->Strategies->PerformanceSummary be more useful/instructive about how well each of these strategies performed for each market states? And you could run all the strategies for a particular market state in the same analysis run. And then select the best for each market state for inclusion in the ATM market state. Of course, there is that ever present "curve fitting" problem because you'd be choosing strategies that you know worked well during each of those periods. But I think that problem exists with your current approach as well (if I'm correctly interpreting what you are doing). | |
