jpb Veteran   Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI  User Profile | Version 5 eliminates the need to run a separate process to identify the market state for each date. The new approach uses the data from the Trades tab and builds the MS to Date pairing based on the trade data. Now you can simply take the exported trade data from OT, copy it and paste it into the Trades tab, switch to the Setup Help tab and click the Generate button. Please note that the amount of time it takes to generate the market states is a factor of how many trades you have - the more trades, the longer it takes. But it makes the identification of market states simpler. One example. I have multiple ATM methods (as I'm sure you do). Each method uses different market states with different names. Under the old process, you needed to copy the method, adjust it, use a special strategy, adjust the number of data periods and capture 2 sets of data to build the list. While this approach was all inclusive of the dates (not skipping any), it was time consuming and needed to be reworked as your timeframe changed. With the new approach, I run Port Sim against the data I intend to use and the method I want to analyze, export the data into excel format as before. The data identifies the market state each trade was entered under. Copy the data and paste it into the Trades tab, switch over to the Setup Help and click the Generate button. Everything is then built from there automatically. In this manner, I can move more quickly between analysis of different methods that use different Market State names or different number of Market States. It doesn't matter. The code rebuilds the full analysis based on the trade data. Please remember that if the zip download does not work from this forum, there is a link in the top post to my Google Drive where I store both the zip version and the expanded version. | |
