OmniVest User Forums
General Discussion Topics
FTM HD Update
3 replies, 1334 viewings
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OmniVest User Forums
General Discussion Topics
FTM HD Update
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Last Activity 4/15/2019 7:43 PM 3 replies, 1334 viewings |
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Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
However, when things do go a bit south I want to review the system as much as possible to make sure it’s still doing what it was designed to do and not breaking down. My review over the weekend has FTM HD behaving the same as it has in the past. The following set of charts shows the SPY on top, FTM HD below it, with a data table below. I’ve broken the results into 4 periods to see how FTM did vs the SPY; 1) 10/13/17 to 2/1/18 2) 2/1/18 to 2/8/18 3) 2/8/18 to 3/19/18 4) 3/19/18 to Present 1) FTM had a flat period: there were no significant pull backs to trigger RTM trades, and this is to be expected. 2) FTM had a DD similar to the SPY using 2X leverage (last column of table) 3) FTM did slightly better than SPY 4) As of the weekend, FTM was behind when taking into account the 52 currently open trades when Marked to Market. RTMs are designed to open trades as the market moves down and then close as it reverts back to the mean, so once again this is normal behaviour. As of this morning, the SPY is up and those same 52 trades have improved by about +$1,600. FTM HD was developed to extract alpha by following the institutional investor’s moves that often result in Reversion To The Mean in the overall market. Obviously, it remains to be seen how things will turn out in any particular situation, but it appears that the Reversion To Mean behavior may be asserting itself again today. Since we’re counting on that statistical behavior to win over time, and the system has been performing as expected since I posted it on 10/13/17, I’m comfortable letting it run. There’s a good chance that we may see an extended period without large gains, but I designed this to be a long term investment - and this review helps me to feel comfortable with it. That said, there’s more to the story… This was the best system I could design given the tools available last fall. It incorporates a combination of the tools we had to create diversity and stability; 9 Dynamic Lists and a variety of strategies taking many small trades. With ATM, we now have the ability to adjust to the market state and change the strategies, ranking, filtering, and allocations… Here’s a look at the ATM Macro And Micro method over the same period of 10/13/17 to Present; The ending equity includes the MTM DD of -$16,173 as of the weekend, but this time period of 10/13 - Present was definitely not part of my development work, and I’m quite happy with the results - especially given that it only took 192 trades during the period vs the 501 taken by FTM. Imagine what will be possible once ATM is in OV and we can feed it with those 9 dynamic lists - to say nothing of being able to adapt to the market? And - have it auto trading in a stable environment on Nirvana’s servers. Certainly, something to look forward to! Mark P.S. I’ll copy this post over in the ATM room for the benefit of those who don’t monitor the OV forum. [Edited by Mark Holstius on 3/26/2018 2:56 PM]  Attached file : 00 FTM vs SPY.png (286KB - 1029 downloads) Attached file : 01 ATM.png (135KB - 1010 downloads) | ||
| arby Member Posts: 20 Joined: 10/11/2012 User Profile |
Arby | ||
| Eric Severance Member Posts: 23 Joined: 10/11/2012 Location: Incline Viallge, NV User Profile |
Thanks for all your hard work. | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Just figured I might as well copy the pertinent parts of it here in the OV forum for those who don't use ATM.... I’ve added the most recent 5 weeks to the snag in that original post (area #5); While I would’ve appreciated some more “normal” market behavior the past few weeks, I’m satisfied with the performance of the system and trust that over the long term it’ll return a nice profit. What’s really interesting is what ATM can add with its ability to rank and filter the trades. Here’s that same period using the ATM Macro & Micro method; It’s true that we didn’t have ATM to trade back in October, but everything on that chart is out of sample vs the period used for development of the system and shows definite improvement over the original FTM portfolio. I’ve been very happy with Omnivest auto trading using the current set of Nirvana RTM strategies (thousands of perfectly executed trades). I’m convinced that ATM will only make it better. I’ll be posting more about some very promising development work I’ve been doing this past month with ATM… Mark |
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