Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile | That may still be true, but ATM ranking involves the ranking trades according to the recent characteristics of the underlying symbol. This is a new capability, so I spent some time investigating the ATM Ranking function. I used the following to obtain what I felt would be a large, unbiased data set of trades for the test; 1) Symbol list: Nirvana Optionable Stocks list filtered for C>=5. This gave me slightly less than 4,000 stocks. 2) A variety of strategies, both RTM and trending; Running the To Do list with this many symbols and strategies took a number of hours, but I now have an excellent data set for this and future testing. In Port Sim, I used 2X margin and set the trade size to 1% of equity to enable as many trades as possible. Because of the large number of trades generated, I had to limit the analysis date range to 1/1/2007 to present - which still gave me 58,441 trades to work with. This is a table of the pertinent results; 1) Base run with 100 trades allowed and no ranking: 58,441 trades. 2) The same settings, but with the # of trades allowed reduced to 4 for all 3 Market States. 3) Identical to #2, but with Ranking enabled using Nirvana’s VTY_PRICE(10,5) descending for all 3 Market States. The statistics show a definite improvement when enabling the ranking function (#2 vs #3); A) Similar # of Trades B) Increased ROI C) Increased Calmar D) Lower Avg % Inv E) Increased ratio of ROI / # Of Trades This satisfied me that Ranking based on the attributes of the underlying symbol was very beneficial. I then ran the Port Sim using the list with 4,000 stocks and a selection of Strategies for each Market State that I developed previously with these settings; 1X (no margin) Long Only 4% Of Equity for trades 4 Long Trades allowed in each of the 3 Market States Ranking = VTY_PRICE(10,5) decreasing for all 3 Market States The difference in the results when enabling the Ranking Function was even more impressive than I expected, and clearly demonstrates the value of ranking; Previously, we had no way to measure the effect of the current characteristics of the underlying symbols on the outcome of the trades generated. Now we do - and the effect is much larger and more positive than I expected. With ATM, we can take advantage of this and certainly improve the quality of our trade selection. Once again, I’m thoroughly impressed by the capabilities of ATM - it’s definitely a winner in the collection of tools Nirvana’s provided over the years. I’m looking forward to Ed’s webinar this afternoon sharing more details on how to use ATM. Mark [Edited by Mark Holstius on 2/1/2018 11:34 AM]  Attached file : 00 Strategies Test list.jpg (68KB - 1028 downloads) Attached file : 01 Ranking Results.jpg (130KB - 972 downloads) Attached file : 02 Ranking Comparison.jpg (1248KB - 1084 downloads) |
