Discretionary trading

[Rembert]

Paul,

Interesting reseach. That said, I agree with Kenneth in that the suggested IWM/GDX allocations are usefull only when one uses 'buy and hold' of these securities. But that's not the case with the robots.

To get the real picture one needs to do these 'buy and hold' tests on the equity curves of the robots instead of the ETF's directly. I'd be very interested in the results of such a test. But this is something only Pascal and Billy can do as it would require the actual historical trades of the robots. Actually thinking about it, we don't need the historical trades. Pascal could supply the equity curve data instead.

It's true that there is a limited 'data set' but that's not necessarily a problem as this post shows with 'walk forward allocation'.
One could use a sliding window of past 3 years of data to keep the allocation % dynamically up to date.
http://www.automated-trading-system....ore-realistic/

PS, anyone know the answer to the 'summer puzzle' ?
http://www.automated-trading-system.com/off-the-grid/

[Billy]

To get the real picture one needs to do these 'buy and hold' tests on the equity curves of the robots instead of the ETF's directly.
I'd be very interested in the results of such a test. But this is something only Pascal and Billy can do as it would require the actual historical trades of the robots.

Thank yoy Paul for the extraordinary depth of your research.
Thank you Kenneth and Rembert for your very constructive remarks.

In all friendliness, let me say that it is very easy to say "what to do", but it is another thing to get everything done!

Pascal is working very hard on this, but a new software development is required first for complete results.
The study is progressing on trading only the 20 DMF signals without the risk management from the robots.
Some drawdowns look frightful so the added value from the robots' risk management element will be instructive also once the new software development is finished.
Billy

[Rembert]

Hi Billy,

That's very true. But also remember we're just having a conversation here. Exchange of idea's etc.
I'm not asking Pascal or you to drop what you are doing to do some tests. No need to feel pressure from the forums to do things.

In due time I think it would be good tough to have a look into position allocation tests for the robots. But it's not a priority. When the time arrives I'll be glad to help if you guys can then provide eiter historical trades or equity curve data of the robots.

Again, really appreciate the work you guys are doing.