Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile | Thanks Angela! I originally posted my Follow The Money portfolio to Elite Traders in June & followed up with Rev06 in July. Since then, I’ve developed better dynamic lists and incorporated those and other improvements in a new “Follow The Money HD” portfolio. I now use 15 Dynamic Lists that evaluate correlation with 5 major indexes, stock money flow, volume, and recent volatility in their logic to choose stocks that have a high probability of success with RTM strategies and trade consistently over time. To confirm that a portfolio is consistent, I prefer that it take a large number of small trades over time. If a system only reaches an acceptable level of performance by filtering trades and increasing their size in the Account Settings, that’s an indication to me of curve fitting. If a system performs well while taking a large number of small trades in various markets over long periods, I feel that’s a good indication that it’s robust - especially when combined with a traditional back-test vs forward-test. My development work the past few months centered on improving the quality of symbols selected by the Dynamic Lists while increasing the number and consistency of trades made by the system. Comparative makeup of the 2 portfolios; FTM Rev06; Static list of 4,000+ Optionable stocks 5 Dynamic Lists selecting stocks on a daily basis 9 RTMs 40 Custom Strategies Portfolio Wizard to select 25 of the 40 Strategies on a weekly basis New FTM HD; The same static list of 4,000+ Optionable stocks 15 Dynamic Lists selecting stocks on a daily basis 24 RTMs 200 Custom Strategies The large number and variety of Strategies eliminated the need to use Portfolio Wizard Historically, we’ve often referred to a certain list working well with a certain RTM… i.e.: “The SP500 trades well with RTM7”, or something similar. These 15 new Dynamic Lists choose symbols each day of sufficient quality that they consistently work well over a diverse population of 24 RTMs. I hope that confirms that the symbol selection process is valid. In a previous thread, I discussed the improvement in PPT when multiple RTMs fire on the same symbol at the same time; https://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7839&posts=2 FTM HD utilizes 24 RTMs, 15 dynamic lists, and 200 strategies and varies the allocation to any symbol based on the number of strategies firing on a particular day. The increase in the number of trades / month, with allocations adjusted by this process, results in more consistent performance. Comparison of results using FTM Rev06 vs FTM HD… Past 3 Months; My development period remains 1/1/2007 thru 1/1/2016, but notice the improved stability and performance recently. (too bad I didn’t discover this sooner…) Past 1 Year; I overlay a straight red line to help me visualize how close the equity curves are to that ideal. Again, very consistent performance the past year. Last 5 Years; Once again, looking for consistency. Last 10 Years; Notice that the return is better, but the DD during the US credit downgrade was larger. I’ll show something interesting about that later in the post. Last 15 Years; Again, higher MDD but also higher CAR due to the increased number of trades / month (Higher Avg % Inv). Now to the interesting part about the US credit downgrade… Since I’m using dynamic lists, it occurred to me that I could add a condition that would keep them from trading during the week of the credit downgrade. With help from our resident coding expert, my friend Jim Dean, I was able to accomplish just that; Both charts show the 15 Year results for FTM HD. The top chart includes the trades during the week of the credit downgrade (28.6% MDD). The lower chart shows what would’ve happened if you were smart enough to avoid trading from 7/28/11 - 8/5/11 (13.8% MDD). That one Black Swan event often affects the equity curves in OV, and this illustrates how it can color your opinion of what I believe to be a good underlying system. With that one week removed, the MDD over 15 years drops to 13.8% - and the consistency of the system is more apparent. The return and Calmar both improve when it’s removed, and I feel this is an interesting demonstration of how stressing one statistic (MDD) can be misleading. If your development work includes dynamic lists and you’re curious, here are the lines you can add to your dynamic list to avoid trading that week (thanks again for your help, Jim); AND NOT (BarYear()=2011 AND ((Barmonth()=7 AND BarDayOfMonth () >=28 AND BarDayOfMonth ()<=31) OR (Barmonth()=8 AND BarDayOfMonth ()>=1 AND BarDayOfMonth ()<=5) ) ) If you transition to FTM HD, I recommend trade multiplier settings similar to Rev06; 20% for no margin (= 2% of Equity trades) 40% with 2X Margin (= 4% trades that are 2% of Margin Equity) There are a couple of small tweaks to the Account Settings… I’ve stopped using “Max Strategies Trading The Same Symbol” & “Min Trade Size” I’ve added “Maximum Exposure % Per Symbol”; 10% if trading with no margin 20% if trading 2X margin (= 10% of Margin Equity) These changes allow the system to “fine tune” the allocation when there are multiple entries for a symbol on the same day. Obviously, you’re free to try other settings to match your own trading style. These settings result in almost 14,000 trades over 15 years - and I feel that’s a good test of the quality / consistency of the system. I started with this theory 6 months ago, and this is the second major revision to the system. I’ll be surprised if it’s the last… especially with the possibility of using limit orders in the near future. HD…??? High Definition? High Diversification? We’ll know more by the next Bash, but I hope we all have High equity levels by then. Mark Again… If you’re a current subscriber to my FTM Rev06 and decide that you want to transition to this upgrade, Angela has kindly agreed to handle each transition individually so that there will be no overlap in subscriptions (therefore no additional charge). Just email Angela to coordinate the process. Thanks Angela! [Edited by Mark Holstius on 10/13/2017 8:30 PM]  Attached file : 00-Statistics Trades Per Symbol 1 Thru 5.png (60KB - 964 downloads) Attached file : 01 Compare 3 Months.png (116KB - 934 downloads) Attached file : 02 Compare 1 Year.png (137KB - 898 downloads) Attached file : 03 Compare 5 Years.png (147KB - 927 downloads) Attached file : 04 Compare 10 Years.png (140KB - 930 downloads) Attached file : 05 Compare 15 Years.png (136KB - 948 downloads) Attached file : 06 Avoiding Credit Downgrade DD.png (154KB - 945 downloads) Attached file : 07 Account Settings.png (82KB - 960 downloads) |
