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gbarber

Member
25
Posts: 28

Joined: 2/26/2018
Location: PEARLAND, TX

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Subject : RE: ATM Micro States Method
Posted : 2/26/2018 1:28 PM
Post #29880 - In reply to #29879
Mark

Thanks again for excellent work and also for your outstanding graphics that make things so readily clear.

I am wondering about some things you didn't do as well as what you did. I hesitate to ask you because you are already doing so much for us. So, if you have some available time, here they are.

1. Why did you choose the path of definng moree granularity in the states we have been using (raging bull, bear, and bull (default)) instead of expanding the number of states defined. For example, Jim Dean has been using 9 states. These are from one of his posts
"The "DeanMarket" algorithms presume that Market States are permutations of:

Three Trend states: Bull, Bear, Flat ("flat" = short for "not Bull or Bear")
... and ...
Three Volatility states: Wild, Calm, Norm ("norm" = not Wild or Calm)

Thus there are Nine Market States defined by the permutations of those:
BullCalm, BullNorm, BullWild, FlatCalm, FlatNorm, FlatWild, BearCalm, BearNorm, BearWild."

That seems to pretty well cover all of the possibilities. The problem then is to identify a specific set of strategies that are particularly well suited to each of the 9 states. I don't have the skill set to come up with logical rationale to understand the characteristics of strategies that would make it unique to a particular market state when there are 9 of them. For just 3 states, it is easier to say for example that raging bull is a significant trend so trending strategies should work better. However, one could use the strategy optimization feature of ATM to let the computer figure that out. I have tried that a bit and found that it takes an enormous amount of compute time and crashed out once. I am interested in pursuing that path when I can find the time to do so. So just interested in knowing your thoughts regarding the path of investigation.

2. the second question is directly related to the first. I am wondering why you chose the strategies you did for each of the states. For example, you chose XLS-19 v2 for all states including raging bull even though that is not a trending strategy.
Deleting message 29880 : RE: ATM Micro States Method


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