OmniVest User Forums
General Discussion Topics
The recent DD and RTMs
0 replies, 1225 viewings
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OmniVest User Forums
General Discussion Topics
The recent DD and RTMs
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Last Activity 4/15/2019 7:43 PM 0 replies, 1225 viewings |
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Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
Since that’s all my FTM portfolio uses, and it’s currently down with the market, I’ll use that for my examples. The market may turn around, since the SPY is about to touch its SMA(100), but that doesn’t make looking at a bunch of open red positions any easier. Maybe this is a small black swan (would you call that a black cygnet?) - so I thought I’d see what happened during and following similar events in the past. I did a scan of the past 15 years and found 12 obvious instances where the SPY dropped >8% in 7 days (and many more during the recessions of 08 & 02). The list is below if you’d like to go back to look at them; 1/11/16 8/24/15 11/25/11 10/3/11 9/22/11 8/3/11 6/29/10 5/6/10 5/6/10 (lots in 08 & 09) 1/18/08 8/16/07 1/24/03 (lots in 2002) Using my FTM portfolio, it looks smooth, and it’s always recovered in the past… but that logarithmic scale can hide some significant variations. 1) In the most recent 8% DD on the list above (1/11/16), it took a number of months to recover; 2) And there’s always the Credit Downgrade in 2011; 3) Another interesting example on 5/6/10, because the DD came after a smooth move up, like this week; Do these examples make losing any easier? Obviously, no. The RTMs are just doing what they’re designed to do - buy on pullbacks. If the pullback ends up being significant, then the drawdown probably will be too. Over time, I’m confident that the statistical performance of RTMs will assert itself. I trust that an RTM based system will recover, especially if it’s been consistent over time and has a history of recovering in a variety of market conditions. It’s not always easy to watch, or to wait… I believe Nirvana’s new ATM system will help us develop even better systems in the near future, and I’m looking forward to Ed’s webinar on using it with ARM5 this afternoon. Until we do fully utilize ATM, I’m assuming this is just normal market behavior - and part of the game for a system that trades autonomously. Good luck in your trading. Hopefully, those of you trading intraday are having fun and profiting… Mark P.S. If you’d like to see those 8% in 7 day DDs in OT, just go to View / Chart Options / Color Charts / Price / Background and use this formula to add color behind the appropriate bars; (HHV(8) - L) / HHV(8) > .08 [Edited by Mark Holstius on 2/6/2018 10:59 AM]  Attached file : 00 Long View.jpg (49KB - 652 downloads) Attached file : 01 2016-01-11.jpg (133KB - 614 downloads) Attached file : 02 2011-08-08.jpg (129KB - 616 downloads) Attached file : 03 2010-05-06.jpg (131KB - 660 downloads) |
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