gbarber
Member
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
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So here are some results from my search for a trade size allocation method that is not % of equity. I have attached a word file with the results info. For each different attempt, I first show the equity curve with the associated stats. After that, I show the particular settings that were used to get the equity curve. After that I sometimes show the last few trades from that run. I would have liked to show the entire set of trades for all of the forward test but when I tried to do an export, it looked like it was going to take very long to perform. So I just did a copy of the last few since that is where I saw the % of equity method go into extremely large quantities of contracts that would have driven the price way up due to being almost all or more than the open interest for that contract. After that I have a brief comment regarding my opinion of the allocation method.
I hope this is useful for you.
 Attached file : ATM3 smart calls allocation analysis.docx (1982KB - 311 downloads)
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