gbarber Member  Posts: 28 Joined: 2/26/2018 Location: PEARLAND, TX  User Profile | Thank you Barry Yup, it is not extensive but still helpful for the methods described there. However, there are 3 methods now available that have no mention in the doc you defined. These are: NN trade size NN % of equity NSP-35 method Are these described anywhere. two of those look like something I would like to try. We want to do all we can to make portsim runs representative of what we will see when trading on the right edge. That is why you went to the trouble of all the walk forward operations in ATM3. I believe % equity is unequivocally not representative of what we will see on the right edge. Yes it will be using the broker equity size. But obviously we want that to grow. The more it grows, the larger the size of orders ATM will generate and then the more the market maker will steal our profits on market orders. So, I am searching for alternative allocation methods that avoid that problem. I have found some that look promising. I'll post those results when I have collected a reasonable set. In the meanwhile, thanks for you help in finding documentation on the allocation methods. Hope you can find something on those that are missing. | |
