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/