Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile | The ability to alter our choice of Strategies, Allocations, Long / Short ratio, number of trades, and ranking method based on Market State are all obvious advantages. We’ve only had it for a few days now, so I feel like my 8 month old granddaughter - just learning to crawl. With that in mind, I want to share some of the good things I’ve found even at this basic beginning level. I wanted to demonstrate to myself that the results we’ve seen from Nirvana weren’t just a curve fit to a specific combination of stocks, strategies, and settings... To do this, I obtained various lists for testing by using Omniscan in OT to obtain the top 300 liquid stocks; I then split that large list into 3 random lists, each with a unique set of 99 stocks + SPY. To vary the Strategies used by ATM, I kept 3 of those used by Nirvana and added 5 new ones; I kept the same Market State definitions used by Nirvana, and then used Jim Dean’s rigorously tested “step back and squint” method to choose which strategies to use in each market state. Results of my first test; This first run produced a much smoother curve using ATM, but not exceedingly better than the % of equity results - until you look closely at the sidebar statistics. ATM vs % Equity (both using 10% of equity) 1) MDD 20.7% vs 75.7% 2) Return-Drawdown Ratio 10X higher 3) Avg Ann MDD 8.0% vs 29.6% 4) Avg % Inv 57% vs 166% I feel the most important may be #4... The ATM ending equity is 3X greater while only utilizing 1/3 of the Avg % Invested. Since there’s so much equity available, I retested with ATM % Invested at 20%; Now the ATM excess return is obvious, and the sidebar statistics are again very positive; ATM vs % Equity (ATM at 20%) 1) MDD 25.2% vs 75.7% 2) Return-Drawdown Ratio is 30X higher 3) Avg Ann MDD is 12.2% vs 29.6% 4) Avg % Inv 81% vs 166% Now to my second big question… Are these settings only applicable to this specific set of symbols - a curve fit? In an attempt to answer this, I used the identical ATM settings with the other 2 lists I created. Each list has a unique set of 99 stocks + SPY (necessary for Market State determination). Using list 2; Using List 3; Again, ATM results are much better - with much lower Avg % Invested. Using the combined list of all 300 stocks; The stability of the improvement using ATM with unique stock lists is impressive. This particular test using different lists may not be perfect, but it helps to demonstrate to me that the results are not dependent on a specific set of symbols paired with a specific ATM method (a curve fit). There are many more ATM capabilities that I didn’t modify at all in this set of tests; Market State Definitions, Filters, Ranking, Allocation, Long / Short ratios… I simply wanted to pass on what I’ve learned this first week at a very basic level. I look forward to learning how to fully utilize the ATM capabilities - developing better methods to use both in OT and Omnivest. Mark [Edited by Mark Holstius on 1/21/2018 1:14 PM]  Attached file : 00 Stocks List.jpg (61KB - 2061 downloads) Attached file : 01 Strategies List.jpg (112KB - 2072 downloads) Attached file : 02 First Run.jpg (380KB - 2105 downloads) Attached file : 03-Comparisons.jpg (461KB - 2042 downloads) Attached file : 04 Results at 20.jpg (367KB - 2070 downloads) Attached file : 05-Comparisons at 20.jpg (456KB - 2046 downloads) Attached file : 06-List 2.jpg (433KB - 2039 downloads) Attached file : 07-List 3.jpg (394KB - 2055 downloads) Attached file : 08-All 300 stocks.jpg (413KB - 2086 downloads) |
