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gbarber

Member
25
Posts: 28

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

User Profile 
Subject : RE: ATM Micro States Method
Posted : 4/2/2018 11:49 PM
Post #29994 - In reply to #29976
I noticed that Mark said he had not tried anything with optimization capabilities yet. So I tried to do that. I worked on the allocation parameters. To summarize briefly, improvements can be made by using optimization on the allocation parameters. However, it is not significant. That is probably not real surprising since the big gains from ATM come in the ranking and use of states.

The details of what i found and the final optimized parameters are shown in the following.
All following runs were done with leverage at 1X, both back and forward test, 0 commissions, and each of my symbols, states, strategies per state, and ranking from microstate method as developed by Mark Holstius.
Optimization is set to exhaustive.

this is with bear and bull allocation parameters optimized with max ending equity option



this is with bear, bull, and default allocation optimized with max ending equity option





this is all allocation optimized and bull equity % optimized with max ending equity option.
For this optimization I first set the bull max at 15 and increased the max in steps of 3 up to 51. It always chose the max value. Since I would never trade at 51% of equity per trade I just stopped there.




this is with all allocation optimized and bull equity % optimized with max avg annual return/avg MDD option. With range of 3 to 51, it picked 12%.




this is with all allocation optimized and bull and bear equity % optimized with max avg annual return/avg MDD option.




this is with all allocation optimized and bull, bear, and default equity % optimized with max avg annual return/avg MDD option.




this shows the bull state optimized parameters



this shows the bear state optimized parameters




this shows the default state optimized parameters





[Edited by gbarber on 5/8/2018 2:04 PM]
Attached file : bear and bull allocation optimizedsmall.png (234KB - 654 downloads)
Attached file : bear, bull, and default optimization optimizedsmall.png (389KB - 668 downloads)
Attached file : bull equity% optimizedsmall.png (322KB - 623 downloads)
Attached file : bull equity%optimized with avg annual reurn over avgMDDsmall.png (311KB - 630 downloads)
Attached file : bull, bear, and default %equity optimized with avg annual return over avg MDDsmall.png (250KB - 669 downloads)
Attached file : bull optimized values.png (41KB - 651 downloads)
Attached file : bear optimized values.png (36KB - 651 downloads)
Attached file : default optimized values.png (42KB - 700 downloads)

Deleting message 29994 : RE: ATM Micro States Method


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