Jeff Brown Member  Posts: 31 Joined: 1/29/2008  User Profile | Mark, Very impressive! Thank you for your efforts and willingness to share over the many years. I've been doing a few tests and made a few tweaks -- ran a set of tests over different time periods and it has been hard to consistently beat or improve on the results across different time periods of back testing. Here's a couple that I've found that so far have stood up. Keeping everything the same as the original post and as described in your pdf I changed: 1) Removed $VIX from the symbol list. I don't think this is tradable, maybe I'm wrong, but I just removed it. 2) Activated: "Close all positions" for the Default state. This appears to let the trades from a Bull or Bear move longer. As Barry had mentioned they deactivated all the "close all positions" for all the market states because it produced overall better results. In my testing, I could reduce the average loss, improve the profit factor, calmar, and a few others without much deterioration of other statistics. It didn't produce as high of returns as fully deactivating the close all function, but for me, the decrease in return was acceptable given the improvement. 3) Changed the VTY_PRICE(10,5) to VTY_PRICE(4,1) for the Trade Ranking on all market states. This change had a large impact, but it also perplexes me. If you try to adjust the indicator on a chart, you can lower the smoothing factor all the way down to 1, only to 2. The formula doesn't restrict you and you can insert 4,1. I haven't yet looked at the formula behind this to see what's happening, but of all the indicators (and I tested over 20), the VTY_PRICE seemed to perform the most consistently. I'm not sure what OT is doing behind the scene with a 4,1 but the results were interesting. I also tested switching the Bear to the top so the flow of the market states would be: A) Check for Bear first B) Then check for Bull C) Use Default This produced worse results across the board and activating "Close All" didn't improve the results over the original Bull/Bear/Default order. I'm still exploring. Thanks, Jeff B | |
