Buffalo Bill Member  Posts: 28 Joined: 1/2/2015 Location: Stafford, VA  User Profile | Mark - to utilize ATM as its intended we have to re-think how we build OV portfolios. Currently they tend to try and capitalize on one aspect of the market, most of them volatile markets using RTM strats. But ATM is designed to work in all market states, maximizing perf and minimizing risk in each by detecting the market state and applying the right strats (long term trend vs RTM, etc), L+S mix (all L, 50-50, all S, whatever) and trade selection weighting factors. So in your example FTMv6 would NOT be the best portfolio to apply ATM. It could improve it, sure, but that improvement would most likely involve taking far less trades during a very bullish, non-volatile market (like now) instead of switching from the RTMs and going with a WT long term trending strat instead. The portfolio would have to have many, many strats of all types, dynamic lists designed for tradeability (lots of symbols) vs volatility (my guess here) and defined market states, weighting factors for trade selection, strat selection and L+S mixes. Luckily we can OPT these factors to let OT help build all of those but it is a new paradigm vs current OV. The new ATM portfolio might not perform all that well w/o ATM but is designed from the get go to use ATM anyway and only those who bought it should use that portfolio. Oh, and if ARM5 has some nice improvements making our strats even better ATM in OV with ARM5 strats - well, oh boy! Hope I made sense [Edited by Buffalo Bill on 1/10/2018 2:56 PM] | |
