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Mark Holstius
Posts: 744
Joined: 10/11/2012
Location: Sleepy Hollow, IL
 User Profile |
ATM has some very advanced capabilities that we’ve all wanted for a long time.
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
 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)
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kmcintyre
Posts: 890
Joined: 10/11/2012
Location: Portland, OR
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Mark,
Impressive - as always! Thanks!
I'm so rusty on OT it will probably take a while for me to get familiar with ATM. I would be really interested in seeing how the results varied when changing the start date of the simulation.
I know this might sound silly, but I performed (and posted results for) lots of test on OV that showed wildly varying results over significant backtest periods (years) simply based on what day in January the test was initiated.
I'm just an old legally blind crufty dude who can hardly use the computer these days. Your help validating this latest Nirvana tool is appreciated!
Keith
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KC Kid
Posts: 23
Joined: 6/20/2013
Location: Olathe, KS
User Profile |
Mark,
In your evaluation, the one thing you did not vary was choice of strategies in the mix. (Edit: Sorry, I misstated. You did change up the strategies, but my point below of having trending strats in the mix must be the reason for the big drawdown periods in the basic % of equity run.)
I jumped on the ATM bandwagon, but have not yet fired it up to do testing. But something has been eating at me that I want to test. Why is ATM avoiding the big drawdowns, I was wondering? Afterall, this new raging bull market state only comes into play primarily in 2017. The rest of the time, only RTM strategies are in use during long and short periods. Next, I was thinking "When have I seen an RTM equity curve published by Nirvana that suffered such drawdowns as show here approx 2002, 2008 & 2011?" Answer: Never. None of the RTM strats suffer such significant drawdowns. But this curve does. And I think the answer is that the base curve contains several trend following strategies that are enabled and trading during periods where they are out of favor.
The simple test would be to enable only RTM strats for a normal, an ATS and an ATM setup and compare the equity curves. I suspect the unenhanced % of equity curve will not have nearly the severe drawdowns as the current 'brochure" curve and the ATM curve will be much closer to the ATS curve, ATM possibly still benefitting from the different market balance setting in bull vs bear market states.
I think ATM may be a good platform to develop and experiment with market state switching. I would like to find out if market state could be detected with more granularity to switch in trending strats into the mix more often. Surely there were periods outside of 2017 where trending was the way to go.
Anyway, I'm not sure ATM is really going to deliver the shock and awe offered at its unveiling. Love to see if anyone can run my test and post results before I have a chance.
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Jim Dean
Posts: 1059
Joined: 10/11/2012
Location: L'ville, GA
User Profile |
ATM is an open ended tool, akin to Stategy Wizard. It provides ability to intelligently manage trading, without locking in or “fitting” pre-determined activity, as long as it is used wisely - much like SW. It does not inherently remove any pre-tuning from strategies that it is “fed”, but rather provides a broader and more robust implementation of them.
Could it be used to “curve fit”? Sure - but it would be counterproductive to use it that way imho. The way to avoid it is to apply rules for filtering states and ranking trades and applying allocations that “inherently make logical sense” - rather than blindly or mechanically iterating though hundreds of options to find the best outputs.
Summary: keep your brain engaged; don’t over-tweak results.
Aside: I suspect the most revealing tests for “comfort level” purposes would be to use less sophisticated strategies (such as ones provided with base OT package), which are less likely to have been inadvertently over-tuned during development. Before/after comparisons of those kernel strategies could provide a challenging “acid test”.
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kmcintyre
Posts: 890
Joined: 10/11/2012
Location: Portland, OR
User Profile |
0.01 / share commission drops the 87M ending equity of the default ATM profile to 27M.
Still a nice problem to have.
My guess is small accounts and those with higher ticket charges will need to be careful.
Keith
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hafnium
Posts: 43
Joined: 10/11/2012
Location: Vienna, VA
User Profile |
Steve
The answer to your question about why/how the ATM curves avoid the big drawdowns is fairly obvious. The same 3 RTM strategies are being used in the Bear and the Default Market States. Same Equity Allocation (10%). What is different between Bear/Default modes is the Long/Short Balancing. In the Default mode the balance is 10 Longs / 0 Shorts. In the Bear Mode its 2 Longs / 5 Shorts. By the way, the trending strategies only fire in the Raging Bull mkt.
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Joe
Posts: 3
Joined: 6/20/2017
Location: Nj
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Has anyone yet tried a walk forward test using ATM? if so could you please share your results? I would think if the results match up we could be good to go.
Thanks
Joe
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Mark Holstius
Posts: 744
Joined: 10/11/2012
Location: Sleepy Hollow, IL
User Profile |
Thanks for your observations Steve (KC Kid).
I agree that the % of Equity curve suffers in the comparison because of its use of trending strategies during bear markets, but that’s simply a consequence of the structure of ATM.
Jeff’s research with ATM showed us that one of the underlying causes of the poor performance of RTMs in 2017 was the lack of volatility. That lead to the realization that we should be using more trending strategies during those periods.
For ATM to have those trending strategies (or any particular strategy) available to use at the appropriate time, they have to be included in the “base” list of strategies - and all of the strategies in that base list have to be used at all times by the % Of Equity calculation. Presently, there’s no way around that.
In this set of tests, I was more interested in applying the same ATM method to 3 different lists - each containing a unique set of stocks. The fact that all 3 runs showed consistent results satisfied me that a particular ATM Method created isn’t just a curve fit only applicable to a particular set of strategies and stocks, but rather that it can be quite robust.
With that fundamental question answered, I’ll probably stop plotting the % Of Equity curve and use the ATM Method created as the base of comparison. Then I’ll save individual variations of the Method, adjusting other significant variables one at a time in each, and analyze their effect on the results.
ATM is an incredible tool. It allows us to refine things and see relationships like never before.
I’m sure the rewards will be well worth any effort involved, and I’m looking forward to Ed’s webinar this afternoon in hopes of learning more.
Mark
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gbarber
Posts: 282
Joined: 12/30/2012
Location: Pearland, TX
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is there a webinar this afternoon? I didn't see a notice.
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Jim Dean
Posts: 1059
Joined: 10/11/2012
Location: L'ville, GA
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Me, neither. Angela please broadcast that invite. Thanks.
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Angela Duran
Posts: 168
Joined: 10/11/2012
Location: Nirvana Systems
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This is a marketing webinar. You would not have received a link if you already own ATM. You are still welcome to attend.
Here's the registration link to today's webinar:
https://attendee.gotowebinar.com/register/6177542697186907650
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gbarber
Posts: 282
Joined: 12/30/2012
Location: Pearland, TX
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Thanks much. Hopefully it will be recorded. Not sure i can make that time 2PM CST.
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Jim Dean
Posts: 1059
Joined: 10/11/2012
Location: L'ville, GA
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Thanks Angela. Every little bit helps :-)
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Joe
Posts: 3
Joined: 6/20/2017
Location: Nj
User Profile |
Mark or anyone else,
I like your thought process in testing other symbols and some other strategies in ATM. Have you tried adding a bunch of random strategies and seeing what happens? Also have you performed any walk forward tests?
Joe
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hafnium
Posts: 43
Joined: 10/11/2012
Location: Vienna, VA
User Profile |
Keith
I believe that gxtrader comissions are .005 /share (1$ min per order).
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Tim Lambie
Posts: 6
Joined: 10/11/2012
User Profile |
If the commissions paid are defined by the “top tier” at IB as Angela mentioned in the GarWood transition thread, then pricing would be .0035/share and .35/order. Perhaps we can get confirmation from Angela.
I just ran Ed’s marketing model with these commission rates and got $68.5M, instead of 87m with no commissions. Still an awesome outcome, assuming robustness testing by Mark and others works out.
Tim
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Tim Lambie
Posts: 6
Joined: 10/11/2012
User Profile |
Looking at my statement, it appears I am on the fixed plan with 1.00/turn min. I don't have a big enough recent trade to show the exact /share cost but, I would bet the .005 of the fixed plan.
We were led to believe at one point we are on the cheaper tiered model, albeit with only one tier but, with the pricing outlined above. I will start a new thread to follow-up since this orthogonal to the ATM discussion.
Tim
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kmcintyre
Posts: 890
Joined: 10/11/2012
Location: Portland, OR
User Profile |
IB charges exchang fees, margin, quote subscriptions, etc. And ther s slippag.
But if i was throwing orders as large as Ed’s simulation grows to, I’d bet slippage would b the big issue.
Try it with a 5k account with a more r asonable 1.50 minimum Ticket...
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Steve2
Posts: 750
Joined: 10/11/2012
Location: Annapolis, MD
User Profile |
Once your average trade size gets above 2,000 shares or so, IB is not the cheapest broker to use. You are better off using a broker that offers a fixed commission per trade although you also need to factor in margin interest rates. If ATM is successful, N will need to offer more broker integrations :-).
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MarkG
Posts: 6
Joined: 7/19/2015
Location: New York
User Profile |
Has anyone done testing of the Nirvana ATM strategy without short positions? I would like to see the long-only equity curve that could be traded in an IRA account. I don't yet have the ATM module.
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SteveL
Posts: 189
Joined: 10/11/2012
Location: Boulder, CO
User Profile |
Hi, MarkG.
First, ATM or ATMS (Adaptive Trade Management System) is not a strategy. I would describe it as enhanced Portfolio Simulation and Trading. With ATMS you have the ability to configure which set of strategies are being used during different Market States (which can be configured to your heart's content), AND AutoTrade will be able to trade that same ATMS configuration (I believe the AutoTrade upgrade is targeted for release this coming week). So, don't think of ATMS as a strategy, but rather a way to simulate and trade with different strategies during different market states.
To answer your question as I interpret it, here is a snapshot of the shipped default ATMS configuration with the # of shorts configured to 0 (i.e. LONGS ONLY), AND Leverage set to 1 (instead of 2). The strategies and configuration variables are shown in the lower right-hand corner of the snapshot.
NOTE: Commissions are NOT included.
Attached file : 2018-01-28_15-20-08 ATM LongsOnly.png (170KB - 1585 downloads)
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SteveL
Posts: 189
Joined: 10/11/2012
Location: Boulder, CO
User Profile |
MarkG,
Here's the comparison with the original ATMS "Universal method", which includes shorts.
NOTE: This is still 1x leverage. I'll post a 2x leverage in the next post.
NOTE: Commissions are NOT included.
Attached file : 2018-01-28_15-32-09. ATM Universal 1x leveragepng.png (174KB - 1535 downloads)
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SteveL
Posts: 189
Joined: 10/11/2012
Location: Boulder, CO
User Profile |
MarkG,
Here's the original Universal method with 2x leverage. That's not applicable to IRA trading. But, I'm including it because that is the way it comes initially configured by Nirvana. For comparison, you also see the Longs Only with 2x leverage.
NOTE: Commissions are NOT included.
Attached file : 2018-01-28_15-36-45 Universal with 2x leverage.png (168KB - 1551 downloads)
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MarkG
Posts: 6
Joined: 7/19/2015
Location: New York
User Profile |
Thanks Steve, that was exactly what I wanted to see :)
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Jim Dean
Posts: 1059
Joined: 10/11/2012
Location: L'ville, GA
User Profile |
Fwiw: Ed seems to be using the term “method” for an ATM config.
Personally, I think of it as Next-Gen Strategy Builder.
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SteveL
Posts: 189
Joined: 10/11/2012
Location: Boulder, CO
User Profile |
MarkG,
I've only been playing with this for a few days. I haven't done any automated optimization, other than taking ideas from the "Universal method" (which may be optimized) and combining it with a set of strategies that I've been using. Here is a snapshot for comparison with the previous LONG ONLY with 1x leverage.
The point is to show that we may be able to improve on the already impressive Universal method.
NOTE: There are no commissions in any of these examples, which of course will degrade the results. But I believe it is a fair comparison to the previous snapshots.
Attached file : 2018-01-28_16-16-39 Universal 2 Long-Only 1x leverage.png (153KB - 919 downloads)
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MarkG
Posts: 6
Joined: 7/19/2015
Location: New York
User Profile |
Steve,
WOW...That is a huge improvement for the long only, 1X leverage.
All of these ATMS equity curves look great, I hope there is no curve fitting occurring. I know Mark H addressed this at the top of this thread.
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SteveL
Posts: 189
Joined: 10/11/2012
Location: Boulder, CO
User Profile |
MarkG,
These are curve fitted. There have been tweaks of many things to make these curves. I've tweaked the strategies, allocations, and # of trades per day. I'm sure the market states formulas were tweaked to give the best results with the set of strategies being analyzed, and the choice of time period also allows for tweaking to fit the bear, bull and other market states during this 19 year period. BUT, these curves are the results of many thousands of trades. So, it's not quite as bad as curve fitting to a 100 trades. That said, there is always curve fitting. That is how these strategies, indicators, etc. were developed - to produce a good back test, and hope it produces reasonable results going forward.
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SteveL
Posts: 189
Joined: 10/11/2012
Location: Boulder, CO
User Profile |
MarkG,
One more comment - I think Jim Dean put it well in his 1/21/2018 post #36967 earlier in this thread. Don't overtweak. That is, do things that have a logical reason for being done.
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Mark S
Posts: 56
Joined: 10/11/2012
Location: Barrington, IL
User Profile |
I'm hoping that someone can help me better understand how ATM and Elite Trading will or can fit together. I do not have the time or smarts to optimize on my own, so I love the whole concept of Elite trading, and I have been using it for a couple of years, with less positive results than I had hoped. So ATM provides a potential boost, but I read or heard on one of the calls that ATM is really an additional filter for Elite traders to apply. I don't get that - it seems that the strength of ATM is to detect the market conditions and apply the resulting set of strategies accordingly, not just provide a further filter on an Elite strategy. I may have heard wrong, as I can't easily find what gave me that impression.
In any case, I'm committed to the Elite trading approach, and trying to decide how ATM will work with Elite trading to improve results. Intuitively, it seems that ATM would front end sets of strategies that are tuned to the different market conditions, but I'm not sure. Any thoughts/ideas?
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gbarber
Posts: 282
Joined: 12/30/2012
Location: Pearland, TX
User Profile |
One can get to some really crazy nosebleed sort of equity curves with ATM. I don't own some of the strategies used in the demo so i substituted some i do have. Tried to stay consistent with the sort of strategy I was replacing. Like Ed said Jeff Drake did when he picked the strategies for his demo, I just ran through and picked the first ones I found that seemed right. No particular study or testing to selection. Got a pretty good curve with finish over $281M in 18 years starting from $100,000. Average ROI 51% and average MDD 11%. Not bad for an almost random pick of strategies. I also jacked up the max longs to 10 in the bull market state. That probably has a lot to do with the increased finishing equity and probably also increased the MDD.
I forgot how to paste pictures into the text of these posts so just attached a word document with the pictures showing results and 'method' used. Jim Dean taught me how to do that a couple years ago but I have lost that info.
Anyway, the point is that a little experimenting with ATMS could bring some pretty outstanding results without much effort.
However, we all know that even with the most thoughtful and best testing using historical data, the results achieved in the real world on the right edge do not necessarily mimic the testing results. The market characteristics change making all that testing less and less relevant as time passes. That's why adaptive is the key word. ATM gives us that on the large scale with use of different strategies per market state. It also allows some adapting on a large time scale via optimization of strategies used and their parameters. Perhaps doing that periodically would help. Need to test that. But I think we will need something to adapt to short scale change of market characteristics to conquer the right edge on a continuing basis. Perhaps periodic retraining of the AI strategies would help. Perhaps use of filters like Lain Bogle is developing for ATS would help.
Is the seminar coming up this week going to teach us how to divide the historical data into one chunk of back test and a set of smaller chunks of forward test so we could see how different means of adapting to market change would work?
Attached file : ATMS results.docx (290KB - 296 downloads)
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Jim Dean
Posts: 1059
Joined: 10/11/2012
Location: L'ville, GA
User Profile |
Mark:
1. ATM is not yet avail in OVest therefore Elite Trader is not yet applicable with respect to it.
2. Ed explained that when ATM becomes avail in OVest that it will not be “uploadable” like an ET strategy, but rather will be another tool in the OVest Family which can be used to enhance any OVest Strategy/Portfolio, whether ET or native
3. Ed suggested that an ET author might recommend a particular ATM config in OVest (once avail), much like a certain patterns of settings might be suggested
4. If you buy ATM now then when it’s avail in OVest you’ll get to use it for free. If someone who does not own an early copy wants to use it in OVest later, ed suggested that the monthly cost might be $300-$500.
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gbarber
Posts: 282
Joined: 12/30/2012
Location: Pearland, TX
User Profile |
I attached my file in a different version of word in case that helps.
Attached file : ATMS results.doc (303KB - 274 downloads)
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Mark S
Posts: 56
Joined: 10/11/2012
Location: Barrington, IL
User Profile |
Jim, thank you, that's helpful, especially point 3. So ATM can be thought of as incremental settings, not filters, to be applied to any strategy or portfolio of strategies. And ET authors can test and presumably report their results with and without ATM, so that ET buyers know what to expect based upon whether they're using ATM or not.
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Jim Dean
Posts: 1059
Joined: 10/11/2012
Location: L'ville, GA
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Welllll … in a broad sense, ATM (in OVest or OT) *is* a “filter” - but it’s one that also is a “prioritizer” and a “sizer”. I got the impression from the webinars that Ed is not quite sure yet what form it will utilize in OVest.
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Mark Holstius
Posts: 744
Joined: 10/11/2012
Location: Sleepy Hollow, IL
User Profile |
Steve: thanks for making the effort to post your results. Really nice, steady returns. You’ve obviously either constructed some excellent strategies or made some good choices.
I added additional strategies to the Nirvana selections and then spent some time the past week focusing on the “robustness” question: whether ATM methods will maintain their edge when applied to various lists.
Once again, I’ve been impressed with what we’re able to accomplish with ATM - and we’ve only scratched the surface.
I’ll put up a couple of examples.
This shows my ATM Method vs Nirvana’s Universal using a list of 300 stocks from 1/1/2002;
Restricting mine to 1X and longs only using that 300 stocks list;
Restricting mine to 1X and longs only using the Nirvana stocks list (fewer stocks = fewer trades / profits);
I have other examples, but let’s just say that I’m impressed with the consistency of ATM.
MarkG: thanks for bringing up the 1X Long question. If we question whether the majority of profits are coming from the long or short position, it’s really easy to answer now.
ATM isn’t just useful for the end result. It allows us to quantify the contributions of different variables.
If you think you have a good ranking formula, you can just toggle it on & off to verify its effect.
Same for filters, allocations, and even different definitions of the market states themselves.
I’m really looking forward to being able to use this in OV…
This is a fantastic tool on so many levels!
Mark
Attached file : 00 3oo stocks.jpg (583KB - 827 downloads)
Attached file : 01 1X Long 300 stocks.jpg (539KB - 825 downloads)
Attached file : 02 1X Long Nirvana stocks.jpg (550KB - 810 downloads)
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MarkG
Posts: 6
Joined: 7/19/2015
Location: New York
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Does anybody have the links for the ATMS Training webinar parts 1 and 2 from last week?
Thanks,
MarkG
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Tom Helget
Posts: 42
Joined: 10/11/2012
Location: Baldwinsville, NY
User Profile |
MarkG:
I don't believe they have been posted just as of yet.
Tom Helget
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Jim Dean
Posts: 1059
Joined: 10/11/2012
Location: L'ville, GA
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The had to be “Ed”itted
:-)
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Buffalo Bill
Posts: 28
Joined: 1/2/2015
Location: Stafford, VA
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Jim
ref 2 things you mentioned -
2- "Ed explained that when ATM becomes avail in OVest that it will not be “uploadable” like an ET strategy, but rather will be another tool in the OVest Family which can be used to enhance any OVest Strategy/Portfolio, whether ET or native
3- Ed suggested that an ET author might recommend a particular ATM config in OVest (once avail), much like a certain patterns of settings might be suggested"
it seems to me 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 a STANDARD OV portfolio would NOT be the best portfolio to apply ATM. ATM 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 ATM 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! Seminar this week on ARM5 and ATM...
What do you think - will we need to re-think how we build an OV portfolio for ATM vs non-ATM?
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Jim Dean
Posts: 1059
Joined: 10/11/2012
Location: L'ville, GA
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Hi Buffalo:
I’m hoping that I quoted Ed correctly - I can’t recall if those comments were recorded or not. My guess is that they have “rough draft” plans which will be gradually refined. I do know that the ET interface took a couple of years longer than was originally anticipated (for several reasons) - so it’s possible that they are trying to avoid a potentially messy upgrade to the engine. Again, just guesses.
As to your main point and questions - I think that “ATM-ing” OV will essentially be adding another layer to the top of it, rather than rearranging its current architecture in some big way. Since OV already has equity analysis thoroughly integrated (moreso than OT did), that might speed it up. The main thing (my guess) they need to do is add an “ATS” engine to gather information to “rank” things.
Re current portfolios being usable - that’s likely a maybe / maybe not thing, depending on how those portfolios were constructed. I think that OV likely will do it’s “ranking” on portfolios rather than strategies (aka OV Systems), since the existing pro tools already exist To build portfolios from strategies.
So - my guess is that *if* you’ve been working away at constructing portfolios that are intended for different Market States, then they won’t need much tweaking if any. The OV “ATS” capability will simply enhance how Signals within a given portfolio (the one for whatever the active Market State is) are prioritized.
Also, since ATM includes segmentation of trade size allocations by market state, and since that would overlap with the OV “general settings” rules, I would expect that part of OV to be the main thing needing revamping - so that different settings can track with different portfolios, as Market states change.
The most important missing ingredient in the OT implementation of ATM is that different lists cannot be used for different Market States, and that (from what I’ve been told) no one has as yet tested OT Dynamic Scan lists with OT ATM. I very much hope that missing piece will be integrated, first in OT so we can do appropriate devel work, and later in OV when the likely changes are made to provide different account setting to different Market States.
That is - ability for user to specify different Focus Lists (Dynamic or Static) for each discretion Market State.
To be clear - I strongly believe that Dynamic Scans offer a huge benefit which has only been partially realized thus far. Equally as important as ATS ranking. You may recall my Bash presentation 3-4 years ago about this - the analogy of fly-fishing vs a fish-farm. So, I have tried to strongly recommend that Dynamic Scans be made an integral part, in both OT and OV, of the Market-State segmentation.
Lots of guesswork here. But maybe it will give folks some useful ideas.
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