OmniVest User Forums
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ATM + OV: A Great Combination!
7 replies, 1731 viewings
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OmniVest User Forums
General Discussion Topics
ATM + OV: A Great Combination!
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Last Activity 4/15/2019 7:43 PM 7 replies, 1731 viewings |
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Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
It was another great Bash this year… Many thanks to everyone that shared their experiences and development work with the new, very promising tools Nirvana’s developed recently. We all learned a lot, and I have enough new ideas to keep me busy for quite a while. Every year the Bash highlights the vision Ed had in creating the Nirvana Club - a place to share ideas and advance everything sooner. I was humbled by the comments on my efforts. Honestly, I just enjoy being part of the process and I’m grateful for the contributions from others. Working together, we’ll all move forward much faster. There was a palpable sense at the Bash that ATM, Option Trader 5, the ability to paper trade with GX, and so many new developments by Nirvana are truly bearing fruit - as confirmed by the presentations and interviews conducted with current users getting profitable results. There was a lot of good news, along with some pleasant surprises. One of those surprises was the ability to trade ATM Macro & Micro via Omni Portfolios / Elite. I found out about it on the Friday evening before the Bash. Obviously, it’s gracious of Nirvana to make it the first portfolio “ported” up to Elite from OT - but I’m as pleased as anyone to now be able to trade it via GX Trader and Nirvana’s servers. Over the past 6 months, that combination has flawlessly handled over 2,000 trades for my accounts - and made auto trading as stress free as possible. Being able to trade ATM Macro & Micro using GX Trader is a definite advantage. That said, there’s something even more important about having ATM available in OV… We can now combine the ATM M&M portfolio with any other OV portfolio - a HUGE enhancement! This is what can happen if you combine ATM Macro & Micro with Follow The Money HD using 2X margin from 2003-present; Using the same settings over the past year; These are some amazing numbers, but you don’t have to take my word for it. You can plot, and confirm, these results for yourself… Anyone who has Omnivest can combine any of the portfolios in Elite with any other portfolios in OV to see what they do and how they perform before / without subscribing to them; You’re not charged if you don’t “Save” them to a portfolio…. and I think it’s the best way to evaluate any portfolio. You can use this OV capability to duplicate what I’ll be demonstrating in this post. To verify the charts I posted above, this is all you have to do… Use these OV Account settings; Then select these 2 portfolios using these Trade Multipliers (ATM: 100%, FTM 200%) while on the Elite tab of Omnivest; Then scroll down the page and click on “Re-calculate Composite” Why are the returns so good, and are the settings and resultant trades reasonable…??? On the first point: a major key to achieving improved performance when combining any two portfolios is whether their trades “complement” each other, rather than duplicating each other. ATM Macro & Micro has already been discussed extensively in the forums. It very effectively trades RTMs Long & Short based on Market State and ranking, thanks to the outstanding capabilities of ATM. I constructed Follow The Money HD last year in OV, and it trades differently. It uses 9 dynamic lists and attempts to follow the moves of the institutions. It also uses RTM strategies exclusively, but trades Long Only. To help me understand what was going on, I downloaded all the trades generated by ATM M&M and FTM HD since Jan 2003 to determine how much “overlap” they have. The following table shows that only about 5% of the 9,615 trades generated by the two portfolios were identical and overlapped. 95% of the trades (9,137) were “unique” (not duplicated) - which is why combining the two portfolios is so beneficial - they use equity at different times. FTM HD is a Long Only portfolio, and after I developed and posted it I elected to trade it very conservatively. The concept was new - using a variety of dynamic lists and giving higher allocations to symbols that trigger more than one trade on a day - so I’ve been trading it at low allocations (2%) until I could verify that the idea worked. The OV settings that I found to work well for ATM M&M in Elite have very few restrictions - the “heavy lifting” of trade selection is done in ATM before it’s ported up to OV. Because of that, I did some additional research to see if those less restrictive ATM M&M settings would be reasonable to use with FTM HD. The following details can only be verified if you happen to subscribe to both Elite Portfolios, because you have to put both of them in an account to see and download the trades… but here’s what I found. This is a snag of the past year in OV with some notes; BTW: I posted extensive details about how OV calculates trade sizes vs the Trades multiplier settings 2 years ago at this link if you want to dig into it in more depth; https://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7742 Suffice to say that the trade sizes look reasonable to me. FTM HD opens multiple trades in a symbol if multiple strategies fire at the same time. My theory was that this would be similar to “multiple time frame confirmation” and a legitimate reason to increase the allocation to those symbols. If there’s only 1 strategy firing, it assigns 2% of equity to the trade. If 5 strategies fire, it opens 5 trades at the same time, resulting in 10% of equity in the symbol. We have to use the same OV settings for all portfolios in an account, and the settings for ATM M&M are quite a bit less restrictive than the ones I’ve used for trading FTM. So, I spent about a week developing a spreadsheet to confirm whether my theory of allowing multiple trades actually improved results - and whether these new settings added an unwanted bias to the performance or outcome. As usual, the project ended up being more difficult than I envisioned, but the results are quite interesting (and I’ll share the spreadsheet when I have more time to explain how to use it). The snag below may look a bit intimidating - but there are simply 2 tables with stats in each… Table A (top) breaks things out by the QTY% invested when the account has 1 or more trades firing in a symbol at a time. It tries to quantify things by the feeling of “I’m uncomfortable when I have a large % of my account riding on 1 symbol”. Table B (bottom) breaks things out by the # of trades in a symbol at one time. The data above is for the 12,727 trades in FTM HD from 2003 using my original restricted OV settings (2% / trade) and reveals the following in table A (data by QTY% in 1 symbol at the same time); 1,301 trades had only 1 trade / symbol (10% of all trades, PPT: 1.00%) 11,426 trades had 2 or more trades / symbol (90% of all trades, PPT: 1.37%) All 12,727 trades together had a PPT = 1.33% And the following in table B (data by # trades in 1 symbol at the same time); There were 829 times when there were 2 trades in a symbol w PPT: 1.34% There were 552 times when there were 3 trades in a symbol w PPT: 1.23%, etc. for each #… Here are the results when using the ATM M&M, less restrictive OV settings; The table above confirms that the PPT remains about the same, so increasing the allocation to 10% / trade didn’t skew the results dramatically - the improved performance comes from the fact that we’re allocating more equity to a good system. Also notice the area I’ve highlighted with label “C”… those trades that result in an investment of >60% of available equity in 1 symbol or 7+ trades in 1 symbol. The times when I suspect I’d be a bit uncomfortable. Over the 15 year period, those 532 trades were ~11% of the total 4,951 trades - and the PPT in those areas is 1.51% vs 0.88% for 1 trade / symbol and 1.38% for all trades. This confirms my theory that PPT generally improves when there are more trades firing at the same time in 1 symbol (confirmation of the significance of the trade). So, what does all this mean? Some subscribers to my FTM HD have been trading it with higher allocations than the 2% I’ve been using. They were right, and I was wrong. I’ll be using these less restrictive settings going forward and put more trust in the system now that I have more experience with it. I also didn’t enjoy the DDs in February, but it was nice to see that FTM HD recovered consistently - which promotes my trust in the system. Comparative results for the past year in FTM HD with my restricted 2% settings vs the ATM less restricted; And finally, I’ll be combining it with the ATM Macro & Micro portfolio (1 Year below); The ATM M&M portfolio added considerable value during the down markets in 2007-2009 (blue box below), and I hope it will do the same if we encounter something similar in the future. Time will tell… Since this is so new, I’m sure there are better settings to be found - but my analysis increases my confidence in the capabilities of these outstanding tools. I’ll post more as I do more research, but I wanted to share these results as they came available… congratulations if you read this far. Please let me know if you find ways to improve things - and good luck in your trading, Mark [Edited by Mark Holstius on 6/21/2018 11:33 AM]  Attached file : 00 Combo 15 Years.png (86KB - 1543 downloads) Attached file : 01 Elite Portfolios Tab.png (95KB - 1503 downloads) Attached file : 02 Account Settings.png (97KB - 1569 downloads) Attached file : 02 Elite Combo.png (144KB - 1512 downloads) Attached file : 02 Unique trades.png (13KB - 1486 downloads) Attached file : 03 1 Year.png (297KB - 1511 downloads) Attached file : 04 orig trades stats.png (260KB - 1467 downloads) Attached file : 06 less restricted.png (160KB - 1492 downloads) Attached file : 07 combo.png (92KB - 1490 downloads) Attached file : 08 combo 2 15 years.png (87KB - 1513 downloads) Attached file : 01 Combo 1 Year.png (81KB - 1498 downloads) Attached file : 05 new trades stats b.png (199KB - 1528 downloads) | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
As always, great information! I'm focused on another project right now, but someday I'll get back to OV. I am wondering how your portfolio would work on a 10K,non margined account, with $2 a trade commission. Would I be able to cover the cost of the subscriptions to the Elite portfolios? 2 Years ago I was putting $100K ($200K margined) on the line with OV and OT sure things. I have to be far more conservative these days. Cheers | ||
| Mark G Member Posts: 41 Joined: 10/11/2012 User Profile |
I think that a lot of people share my condition of having the great bulk of money in IRA accounts that cannot short stocks *AND* cannot use margin. That being the case, do you have any plans for an IRA long only/no margin port? In the meantime, is it correct that your FTM port is the only way/best way to go?? Do you have any data in this regard? --Mark G. [Edited by Mark G on 6/21/2018 2:19 PM] | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I think I can address the questions both of you raised, while reviewing how to modify the OV Account settings to examine any account size or situation. The 5 sections of the OV Account settings I’ve highlighted below should cover most of the adjustments that are popular; 1) Going from Margin to IRA, or whatever % Of Equity level you’d like. 2) How to adjust the ATM M&M and FTM up & down so the QTY% is appropriate for the chosen Max % Of Equity. This should be adjusted up & down vs the “normal” for any portfolio when changing the Max % Of Equity. If you change the Max % Of Equity by a factor (½, or X), then the "normal" Trade Multiplier for the portfolio should also be adjusted by the same factor (½, or X) - if you want to keep the same trade size relative to available equity. 3) How to change the starting balance of the simulation. 4) How to make any portfolio Long Only (IRA). 5) How to adjust commissions. And the following snag shows the result with different IRA account sizes (and a $10,000 account with higher commissions on the last). As always, the effect of commissions and any subscription cost increases as the account gets smaller. Hope this helps, Mark [Edited by Mark Holstius on 6/21/2018 6:48 PM] Attached file : 00 Setting up account.png (247KB - 880 downloads) Attached file : 00 IRA various equities.png (353KB - 836 downloads) | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
Thanks for the analysis! You are very generous in spirit. Best regards... | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
We can analyze all kinds of things by exporting data into excel, but it’s much easier (for me at least) to answer the question of whether a system is smooth and consistent over time by looking at the equity curve. Then, if I change “X”, compare it with the previous equity curve (and its statistics) before “X”. I can adjust X in a spreadsheet and look at how the numbers change, but the equity curve is the best representation of the complete effect on the account (which trades are taken and how it changes everything else). It’s an excellent visual of the domino effect over time of changing “X or Y”. I’d also like to stress that with the outstanding capabilities of ATM and Omnivest, the goal now isn’t restricted to finding the biggest “bang for the buck”, super duper equity curve. As we can see from this combination of “dissimilar” portfolios, we now have the ability to achieve something we’ve been trying to do for many years - make use of the equity that’s sitting on the sidelines when a particular portfolio isn’t trading by combining it with another portfolio that is. If we can construct 3 or 4 “small” return portfolios that don’t have trades that overlap, the result when combining them can be outstanding! Ed announced at the Bash that Nirvana will gladly upload effective ATM portfolios to OV. What I want to emphasize is that even a small, consistent portfolio could be exactly what’s needed to “fill in the gaps” with someone else’s portfolio. Maybe a “small” portfolio that trades using group rotation, foreign stocks, commodities, etc., will be a perfect fit with another portfolio. With the new concurrent market states capability in ATM, the possibilities are endless - and far beyond the research and development capabilities of any one trader or Nirvana. Nothing is “too small” any more. We can combine small, diverse portfolios together in ways we’ve never been able to do in the past… thanks to ATM and Omnivest. So, if you develop something that’s effective and you’d be willing to share it, please don’t ever feel that the returns of your creation aren’t big enough to make it public. With Omnivest & ATM, 10 + 10 can easily equal 40… Mark | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
The tools are phenomenal. We can model extremely complex trading systems. That can be a two edged sword. We cam also create some extremely optimized and curve fit systems. Love your approach to analysis. I wish PortSim had Monte Carlo and Max Favorable/Adverse Excursion (MFE/MAE) capabilities. I will share if I find something interesting. My productivity is limited though. Unlike yours!!! LOL Cheers | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
A heads up to everyone...!!! Barry spoke to me today concerning the upload of ATM M&M to Elite and changes they found they had to make concerning the Qty%'s in the upload. I just got home and tried it, and things are quite a bit different from my post yesterday. Here's a snag of a test run I just did; Notice that I've doubled the Trade Multiplier for ATM M&M (to 2X), and get a curve somewhat close to what I posted earlier using 1X. I'll be running a lot of tests this weekend to see what's changed and how we need to adapt - but I wanted to let everyone know what I found this evening. I'm sure the changes by Nirvana were to ensure that the new upload to OV is accurate vs ATM in OT. We just need to compare what's there now vs what I used in my earlier post and make some tweaks. In the meantime, the use of 1X Trade multiplier for ATM M&M will no longer give the results I posted above. We'll figure it out. The capability to have ATM in OV is still a huge benefit. I just wanted to let everyone know that it looks like things have changed and we'll need to adapt a bit to the changes. Mark [Edited by Mark Holstius on 6/23/2018 6:22 AM] Attached file : 00 New Stats.png (171KB - 1150 downloads) |
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