As promised in attachement an update of the test I did on the robot allocation levels.
As promised in attachement an update of the test I did on the robot allocation levels.
Thank you Rembert. This is very instructive and helpful.
From our own research, optimal allocations can vary widely depending on the strength of the robot signals. For example, when GDX issues a very strong buy or sell signal, it is better to allocate 100% into GDX and 0% into IWM, whatever the strength of the IWM signal.
But under the same circumstances, with double leveraged IWM, it is best to allocate 50% to TWM/UWM and only 50% to GDX.
So, the use or lack of leverage is of major importance for correct allocation.
This research is still in progress and it tells us that the optimal allocation rules are far from straightforward when the systems like the robots can graduate leverage and the strength of the signals in presence.
Pascal and I will advise in this forum when we clearly see allocation edges based on the research.
Billy
Thanks. Looking forward to your findings.
For a next test I might build equity curves with position sizing built into them based on strong/weak signals and see what results that gives in an optimization test.
Last edited by Rembert; 07-05-2011 at 03:58 PM.
With all the great discussion ongoing regarding position sizing, I wonder if it's time to update this thread using recent Robot returns to determine optimum allocation percentages?