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Follow The Money HD
9 replies, 1344 viewings
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OmniVest User Forums
General Discussion Topics
Follow The Money HD
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Last Activity 4/15/2019 7:43 PM 9 replies, 1344 viewings |
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Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
Thanks Angela! I originally posted my Follow The Money portfolio to Elite Traders in June & followed up with Rev06 in July. Since then, I’ve developed better dynamic lists and incorporated those and other improvements in a new “Follow The Money HD” portfolio. I now use 15 Dynamic Lists that evaluate correlation with 5 major indexes, stock money flow, volume, and recent volatility in their logic to choose stocks that have a high probability of success with RTM strategies and trade consistently over time. To confirm that a portfolio is consistent, I prefer that it take a large number of small trades over time. If a system only reaches an acceptable level of performance by filtering trades and increasing their size in the Account Settings, that’s an indication to me of curve fitting. If a system performs well while taking a large number of small trades in various markets over long periods, I feel that’s a good indication that it’s robust - especially when combined with a traditional back-test vs forward-test. My development work the past few months centered on improving the quality of symbols selected by the Dynamic Lists while increasing the number and consistency of trades made by the system. Comparative makeup of the 2 portfolios; FTM Rev06; Static list of 4,000+ Optionable stocks 5 Dynamic Lists selecting stocks on a daily basis 9 RTMs 40 Custom Strategies Portfolio Wizard to select 25 of the 40 Strategies on a weekly basis New FTM HD; The same static list of 4,000+ Optionable stocks 15 Dynamic Lists selecting stocks on a daily basis 24 RTMs 200 Custom Strategies The large number and variety of Strategies eliminated the need to use Portfolio Wizard Historically, we’ve often referred to a certain list working well with a certain RTM… i.e.: “The SP500 trades well with RTM7”, or something similar. These 15 new Dynamic Lists choose symbols each day of sufficient quality that they consistently work well over a diverse population of 24 RTMs. I hope that confirms that the symbol selection process is valid. In a previous thread, I discussed the improvement in PPT when multiple RTMs fire on the same symbol at the same time; https://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7839&posts=2 FTM HD utilizes 24 RTMs, 15 dynamic lists, and 200 strategies and varies the allocation to any symbol based on the number of strategies firing on a particular day. The increase in the number of trades / month, with allocations adjusted by this process, results in more consistent performance. Comparison of results using FTM Rev06 vs FTM HD… Past 3 Months; My development period remains 1/1/2007 thru 1/1/2016, but notice the improved stability and performance recently. (too bad I didn’t discover this sooner…) Past 1 Year; I overlay a straight red line to help me visualize how close the equity curves are to that ideal. Again, very consistent performance the past year. Last 5 Years; Once again, looking for consistency. Last 10 Years; Notice that the return is better, but the DD during the US credit downgrade was larger. I’ll show something interesting about that later in the post. Last 15 Years; Again, higher MDD but also higher CAR due to the increased number of trades / month (Higher Avg % Inv). Now to the interesting part about the US credit downgrade… Since I’m using dynamic lists, it occurred to me that I could add a condition that would keep them from trading during the week of the credit downgrade. With help from our resident coding expert, my friend Jim Dean, I was able to accomplish just that; Both charts show the 15 Year results for FTM HD. The top chart includes the trades during the week of the credit downgrade (28.6% MDD). The lower chart shows what would’ve happened if you were smart enough to avoid trading from 7/28/11 - 8/5/11 (13.8% MDD). That one Black Swan event often affects the equity curves in OV, and this illustrates how it can color your opinion of what I believe to be a good underlying system. With that one week removed, the MDD over 15 years drops to 13.8% - and the consistency of the system is more apparent. The return and Calmar both improve when it’s removed, and I feel this is an interesting demonstration of how stressing one statistic (MDD) can be misleading. If your development work includes dynamic lists and you’re curious, here are the lines you can add to your dynamic list to avoid trading that week (thanks again for your help, Jim); AND NOT (BarYear()=2011 AND ((Barmonth()=7 AND BarDayOfMonth () >=28 AND BarDayOfMonth ()<=31) OR (Barmonth()=8 AND BarDayOfMonth ()>=1 AND BarDayOfMonth ()<=5) ) ) If you transition to FTM HD, I recommend trade multiplier settings similar to Rev06; 20% for no margin (= 2% of Equity trades) 40% with 2X Margin (= 4% trades that are 2% of Margin Equity) There are a couple of small tweaks to the Account Settings… I’ve stopped using “Max Strategies Trading The Same Symbol” & “Min Trade Size” I’ve added “Maximum Exposure % Per Symbol”; 10% if trading with no margin 20% if trading 2X margin (= 10% of Margin Equity) These changes allow the system to “fine tune” the allocation when there are multiple entries for a symbol on the same day. Obviously, you’re free to try other settings to match your own trading style. These settings result in almost 14,000 trades over 15 years - and I feel that’s a good test of the quality / consistency of the system. I started with this theory 6 months ago, and this is the second major revision to the system. I’ll be surprised if it’s the last… especially with the possibility of using limit orders in the near future. HD…??? High Definition? High Diversification? We’ll know more by the next Bash, but I hope we all have High equity levels by then. Mark Again… If you’re a current subscriber to my FTM Rev06 and decide that you want to transition to this upgrade, Angela has kindly agreed to handle each transition individually so that there will be no overlap in subscriptions (therefore no additional charge). Just email Angela to coordinate the process. Thanks Angela! [Edited by Mark Holstius on 10/13/2017 8:30 PM]  Attached file : 00-Statistics Trades Per Symbol 1 Thru 5.png (60KB - 962 downloads) Attached file : 01 Compare 3 Months.png (116KB - 932 downloads) Attached file : 02 Compare 1 Year.png (137KB - 896 downloads) Attached file : 03 Compare 5 Years.png (147KB - 925 downloads) Attached file : 04 Compare 10 Years.png (140KB - 928 downloads) Attached file : 05 Compare 15 Years.png (136KB - 945 downloads) Attached file : 06 Avoiding Credit Downgrade DD.png (154KB - 942 downloads) Attached file : 07 Account Settings.png (82KB - 957 downloads) | ||
| Buffalo Bill Member Posts: 28 Joined: 1/2/2015 Location: Stafford, VA User Profile |
FYI Angela sent us all an email letting us know she would make the transfer. Nice touch on her part. Do you think you understand why FTM06 flattened out the second it went live? hate to say it but that is classic curve-fit behavior - nice equity curve right up till you go live then it drops off. I ask because we obviously don't want to see that in HD. If there was some sort of curve fit effect, and the development process for HD was the same, it could happen again. Just wondering if you have considered it | ||
| Angela Duran Veteran Posts: 168 Joined: 10/11/2012 Location: Nirvana Systems User Profile |
I have heard from most of you regarding the move from R06 to HD. Thank you! This really helps avoid paperwork on my side. I noticed that many of you have subscriptions that are set to renew this weekend. Please be sure to switch out the portfolios in your OmniVest accounts to avoid any downtime. Just to be clear, I am ONLY making the changes to the subscription, you all will need to make the portfolio change in your actual OmniVest accounts. There are still a handful of subscribers I have not heard from. Please be sure to contact me directly to make the switch. I won't make the change without direct authorization for each one of you. You can email me directly if you have questions. aduran@nirvsys.com Thanks for your great work, Mark! And thanks to all of you for helping make a smooth transition. Angela | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
In looking over the history, I couldn’t verify that Rev06 was doing anything out of the ordinary. It had numerous times in the past when it was flat or in a DD, and the recent 3 months might prove to be just another one of those. To be sure, we probably won’t know for another year or so. RTMs “make their money” during volatile periods, and often when the indexes are flat. As you know, they don’t like trends without pullbacks - and this has been an “interesting” 3 months. This is a major update that refines much of the system, and I hope it’ll be an improvement. The history looks good, and it’s still essentially a “walk forward” since the Dynamic Lists are picking the stocks each day. I’ve added 10 more Dynamic Lists, included volatility as a factor in all 15 lists, added an additional 19 RTM systems, and increased the # of custom strategies from 40 to 200. That’s 3X the # of Dynamic Lists, ~5X the # of RTMs, and 5X the # of Custom Strategies. All that adds a lot of diversification to the trades, and allows for more refinement of the allocation to a particular trade. Will it work going forward? Only time will tell… I’m live with it in my IRA & Margin accounts and don’t plan on modifying anything until Nirvana gives us the capability to do limit orders. Not sure how long it will be for that, but I’m hoping limit entries will improve things even more when they come. As always, I’m open to suggestions… and grateful for the support. Mark P.S. You’re right - it’s nice of Angela to make things easier… | ||
| James McNeill Regular Posts: 68 Joined: 3/8/2013 Location: Victoria, BC, Canada User Profile |
In this post you talk about a method to avoid US credit downgrades resulting the the reduction of the maximum DD from 28.6% to 13.8%. In my simulation the MDD shows at 28.8% for the 10 ending 10/13/2017. Is the modification that you were talking about built into the new portfolio ? Best Jim McNeill | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I guess I wasn’t clear enough. In that section of the post I was referring to a modification I made to the Dynamic Lists (pre-publication) so that they simply wouldn’t trade from 7/28/11 - 8/5/11. By doing that, it removed the trades that resulted in the 28.6% DD because of the credit downgrade. After removing that one downgrade period, the results reflect that the next largest DD for the 15 year simulation was 13.8%. So no, the modification was a manipulation of the trade record and only meant to demonstrate that the credit downgrade was a bit of an outlier and not the norm for the portfolio. The modification is not included in the published portfolio - it was only done as a demonstration, and I could only accomplish it prior to publication. Hope that helps, Mark | ||
| James McNeill Regular Posts: 68 Joined: 3/8/2013 Location: Victoria, BC, Canada User Profile |
Jim | ||
| Keith Parsons Member Posts: 25 Joined: 3/12/2014 Location: Durban, South Africa User Profile |
I have eleven (11) of your strategies covering right now the symbols EA/BMRN/NCLH & SLB. My settings are exactly as you advised. As Jim so often comments “stand back and reflect” which I have done this evening My reflection is: SYMBOLS – The one symbol that one should not be in is a long position on SLB which right now is down on my account by -6.79%. It has been in a down trend since the beginning of the year. From a chart perspective I am comfortable ( within reason) with BMRN (4 * trades) – EA (1* trade) and NCLH (6 * trades) The monthly simulated results for all eleven strategies are good. The strategy +S20-/Dyn5C has the biggest monthly loss of 1.15%. But for me on Rev 06 and HD (so far) actual results have not been good. My conclusion is that ideally there needs to be a confirming block in the strategies. Jeremy W in OTU 201 gives an excellent explanation on this particular block. He illustrates / explains just how the RSI-C & STOC- C & WLR-C can be used to confirm a long signal. For me it would give me comfort when Limit entries become reality to include a confirming block. I do remember one statement Jeremy once made “ that the confirming block is the most underestimated block in OT strategies.” In ending I sincerely appreciate all the work / advice that you have given on FTM. Just my thoughts as I end off the week. Have a good weekend all Keith I am sure Jim’s MTV work would also assist as a “confirmation” | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Here's hoping the current DD is just the normal day to day MTM action and will recover - and that the theory of taking a large # of small, diversified trades ends up winning over time. Adding a confirmation block sounds good, but will take a lot of testing to see its true effect. In that vein, my research on stops showed that while a stop may help in a certain number of cases, it may have an overall negative effect on the portfolio; https://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7846&posts=8 Any particular limit or modification may be worth it to an individual trader - it’s always a risk / reward "comfort level" tradeoff. Sigh. I’m working on improvements to my large analysis spreadsheet and hope to have some additional information about what constitutes “normal behavior” for the FTM HD portfolio sometime in the near future. Hope you’re having a good weekend - looks like the weather’s nice in Durban, Mark You’re right - Jim Dean’s recent MTV work looks great and shows real promise. | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
My excuse is that I'll be busy with the holidays coming up, but I have to admit reviews are always much more pleasant after a move up… At this point, the portfolio appears to be following its historic track. Drawdowns, flat periods, and quick run-ups. In case you’re not aware of it, and you want to see how this 2 month period compares to other 2month periods... You can easily see how any portfolio in OV has performed in the past over any time period. Just select a date range on the chart and then drag the highlighted period that appears in the scale below the chart to any period you want to view… I’ll use a 2 year chart for FTM HD in the example below, but you can use this capability on any time frame and chosen date range in OV; Happy Saint Lucia Day - 12 days to Christmas… Hope the holidays are good for you. Mark [Edited by Mark Holstius on 12/13/2017 12:53 PM] Attached file : 01 FTM HD 2 Months.jpg (398KB - 582 downloads) Attached file : 02 Date Ranges.jpg (942KB - 575 downloads) |
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