OmniVest User Forums
General Discussion Topics
Follow The Money PPT Statistics
1 replies, 949 viewings
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OmniVest User Forums
General Discussion Topics
Follow The Money PPT Statistics
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Last Activity 4/15/2019 7:43 PM 1 replies, 949 viewings |
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Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
Obviously, there’s no telling what the future will bring - but maybe this will help clarify what’s happened in the past. I began by segregating trades into 5 groups based on the state of the portfolio’s MTM equity curve on the day that the trade was triggered. All references to portfolio, equity, and MTM refer to the FTM portfolio equity curve each day, not the equity curves for individual strategies or the symbols contained in the dynamic lists. All statistics are for the trades entered on days when; 1) The portfolio is in a DD and the MTM equity is down vs the day before 2) The portfolio is in a DD and the MTM equity is flat (usually: no trades open) 3) The portfolio is in a DD and the MTM equity is up vs the day before 4) The portfolio is moving to new highs and the MTM equity is up vs the day before 5) The portfolio is moving to new highs and the MTM equity is flat (usually: no trades open) I’ve attempted to represent those 5 states graphically, with specific data for each group in corresponding columns below the graphic. I won’t go into all the data contained in the separate rows, but the results are interesting when segregated into the 5 groups (columns). A) Drawdown periods accounted for 62% of the 3,915 trading days and 76% of the 9,689 trades. (we'll often be in a DD & entering trades?) B) 49% of trades were entered during a DD period when the daily MTM change was down - and - C) The PPT was highest for trades entered in that condition: a DD period when the daily MTM was down (PPT = 1.81%). D) The PPT was higher for trades entered during DD periods (1.64%) vs trades entered during Move Up periods (1.16%). ** Note too that 48% of the 3,195 trading days are Flat, usually due to having no open positions ** ====================================================================== I also want to address my Account Setting that allows 5 simultaneous trades in the same symbol. My theory is that multiple trades occurring on the same day in the same symbol serve as confirmation of the potential profitability of the signal (similar to Multiple Time Frame confirmation). In my portfolio, using 4% / trade, a symbol can receive an allocation between 4% - 20% of equity depending on how many strategies or list combinations signal a trade in that symbol (Max Strategies Trading The Same Symbol = 5). The snag below uses the same DD / MU graphic at the top. The table below it gives a detailed breakdown of the PPT results for trades entered on days when the equity curve is in each of the 5 states. Rows labeled 1-5 contain the PPT results for trades entering 1, 2, 3, 4, or 5 positions in the same symbol on the same day. The last row is the PPT for all trades entered in each of the 5 equity curve states. The blue table below gives additional data and is the most informative on the subject of multiple trades in a symbol with this portfolio. It tabulates the results of all 9,689 trades over 15 years when entering 1-5 positions in a symbol on the same day. There’s a fairly even distribution of the # of trades in each category, and a substantial increase in the PPT as the # of Trades / Symbol entered on the same day increases from 1 to 5. There will be an increase in volatility when holding 5 positions in the same symbol (larger losses & larger gains), but the statistics appear to support the theory that multiple signals occurring on the same day increases the potential profitability of the trade. I hope this presentation of the data is helpful, and I’m always open to questions or suggestions. I plan to post more information concerning DDs in the near future. Mark [Edited by Mark Holstius on 7/18/2017 10:37 AM]  Attached file : 01 Statistics Groups.png (154KB - 556 downloads) Attached file : 03-Statistics Trades Per Symbol 1 Thru 5.png (60KB - 486 downloads) Attached file : 02 Statistics Trades Per Symbol 1 Thru 5.png (143KB - 595 downloads) | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
A) White cell stats are for trades placed on a day when MTM was in a block from 0% to 1% up in new high territory B) PPT (1.17%) for all trades entered when MTM was >= 0% up in new high territory C) PPT (1.97%) for all trades entered when MTM was >= 3% up in new high territory D) PPT (1.44%) for all trades entered when MTM was in a range from -3% DD to +3% Move up E) White cell stats are for trades placed on a day when MTM was in a block from 0% to -1% down in DD territory F) PPT (2.24%) for all trades entered when MTM was <= -3% down in DD territory The interesting observation is that the PPT rises as the equity curve moves further away from the last “pivot point” defining the beginning of a Move Up or a Drawdown, whether the move is Up or Down. It makes me wonder about the wisdom of halting trading when the equity curve drops below some fixed % down. It’ll take some testing with OV if / when we get that capability… Mark [Edited by Mark Holstius on 7/18/2017 3:31 PM] Attached file : 01 Pivot ranges.png (89KB - 472 downloads) |
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