OmniTrader Forum : ATM : Xsuite with ATM Micro Macro

OmniTrader Forum - ATM
Xsuite with ATM Micro Macro

LSJ

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

Subject : Xsuite with ATM Micro Macro
Posted : 3/15/2018 9:00 AM
Post #44264

I have applied ATM Micro Macro to the bundle of Xsuite strategies. The first run was with all the default settings and all the strategies selected for each market state. The portfolio size is $40K no leverage long only.
I used 5 years of data, exported the Port Sim results, and then ran an Excel pivot table to see what I might learn. The list was the first 300 stocks from the Omniscan list:

My goal is to whittle down the drawdown to 10% or less. It is not lost on me that once drawdown exceeds 7% the percentage needed to recover starts getting exponential. The other factors that I personally desire are the gut check numbers. It is exciting to see the huge gains but if the drawdown is over 20% I just know I won’t be able to sit still. (I’m too old for fireworks!) I want to see the Calmar ratio greater than one and the max consecutive losses is another psychological number. I don’t think I would have the confidence to sit through more than about 8 consecutive losses either.

The first result from Excel is:

Excel detail including the strategies:

Armed with this information the strategy selections are adjusted to eliminate negative returns from the strategy selections for each state.

The ROI went from 130% to 192% while the drawdown went from 22% down to 13.5% and the Calmar ratio went from 0.63 to 1.31.

This is a good start and is just a simple analysis based on the Excel result. I’m sure there are a lot more possibilities.

Attached file : Omniscan List.png (7KB - 2128 downloads)

Attached file : Excel Xsuite Overview.png (6KB - 2127 downloads)

Attached file : Excel Xsuite MiMa Strat.png (41KB - 2136 downloads)

Attached file : Xsuite Port Sim.jpg (633KB - 499 downloads)

Attached file : Xsuite Port Sim.jpg (113KB - 2016 downloads)

mholstius

Posts: 175

Joined: 1/13/2017

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/15/2018 9:48 AM
Post #44266 - In reply to #44264

Thanks for sharing your results, Larry

FWIW:

To get the images into a post;

At the point you want the image, insert;

xxxx = paste the "copy Link Address" from right clicking on the image below the post.

Mark

Attached file : copy link address.png (33KB - 2516 downloads)

Attached file : image.png (1KB - 2426 downloads)

LSJ

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/15/2018 9:56 AM
Post #44267 - In reply to #44266

Thanks for the help. I used html tags but that didn't work. Trying to make it work. Did this once a long time ago and forgot ow i did it!

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/15/2018 10:14 AM
Post #44268 - In reply to #44267

Larry:

So you have aroused my curiosity.

How exactly did you obtain these quoted results?:

Did you construct Methods for each of the individual Market States and then run a Portfolio Simulation for that individual isolated Method?

If so it is a great paradigm for finding strategies in a given Market State that just are not working.

Thanks,

Tom Helget

Attached file : How Did You Get These Results.PNG (10KB - 2044 downloads)

mholstius

Posts: 175

Joined: 1/13/2017

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/15/2018 10:18 AM
Post #44269 - In reply to #44267

Looks great - and good info... we all want smaller DDs!

FWIW: If you're using snagit, it also helps some folks with smaller screens if you can resize the image to 750-800 pixels wide.

Thanks for sharing your data!

Mark

mholstius

Posts: 175

Joined: 1/13/2017

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/15/2018 10:26 AM
Post #44270 - In reply to #44269

Another hint on posting images...

If someone has posted an image, in any thread and in any forum, you can also right click on that image and then use that copied link to insert that image into your current post...

Might be handy if you have a question about someone else's chart, etc...???

Mark

LSJ

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/15/2018 10:42 AM
Post #44271 - In reply to #44268

I found this to be really simple for my old brain.

In Port Sim you view trades. Then choose export report and select .xlsx from the dropdown.

In the new Excel file you find Pivot table in the menu bar. It then gives you choices to select what you want to see. You can then use the Sort function to group the results the way you want. This may just be a Rubic's Cube for trading results and I'd be interested if you found some useful variations.

(Apologies to Mark for "Micro Macro" instead of the other way around.)

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/15/2018 11:29 AM
Post #44272 - In reply to #44271

Larry:

For those of us who don't know about the Insert...Recommended Pivot Tables function of Excel here is what I did.

First I exported the Trades in my Portfolio Simulation in .xlsx form - this is Data Only. Note that this data includes both the Market State and the Strategy:

Then I opened the Excel file thus generated and highlighted all the data (this might be unnecessary but it worked). I went to Insert....Recommended Pivot Tables and chose one of the recommended formats and voila:

What a truly great Excel function!

Thanks for pointing it out to me.

Tom Helget

Attached file : Equity Trades Report.PNG (67KB - 2036 downloads)

Attached file : Excel Insert....Recommended Pivot Tables.PNG (265KB - 2006 downloads)

LSJ

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/15/2018 11:45 AM
Post #44273 - In reply to #44264

Tom,
Thanks for making that clearer for everyone.

I am overflowing with ideas I want to try with all the great resources and the contributions by everyone, especially Mark's.

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/15/2018 12:03 PM
Post #44274 - In reply to #44271

Larry:

Creating the second table you show with the MarketState and the Individual Strategies was a bit more difficult.

First I copied the G/L($) Column so that it was contiguous with the MarketState and Strategy Column. I then highlighted the three columns (not shown). I chose Insert....Pivot Column and selected to display the resultant Pivot Table at $M$3 on the current page. I was then presented with a check box menu for the Pivot Table Fields as shown:

I hope this helps anyone else who, like me, might not be familiar with Pivot Tables in Excel.

Tom Helget

Attached file : Creating a New Excel Pivot Table.PNG (409KB - 2009 downloads)

LSJ

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/15/2018 12:30 PM
Post #44275 - In reply to #44264

Tom,
There is an easier way.
Once the exported data is selected in the spreadsheet I entered "Pivot Table" in "tell me what you want to do" in Excel toolbar.

I then just checked the items I wanted and it created the in a new sheet.

Attached file : Pivot Table 1.png (96KB - 1960 downloads)

Attached file : Pivot Table 2.png (66KB - 1989 downloads)

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/15/2018 12:36 PM
Post #44276 - In reply to #44275

Larry:

Yes, that is way easier!

Trust Microsoft for thinking of everything.

Thanks for the Excel "pointers".

Tom Helget

LSJ

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/17/2018 6:19 PM
Post #44311 - In reply to #44264

I ran two different tests to try to glean the best strategies for the Method using Xsuite. The first test was using Mark's suggestion of testing a single strategy in one market state and testing each strategy in the profile to see and compare performance.
The second test was as above where the trades were exported to Excel and a pivot table used to see the performance of each strategy.
The results of the tests don't lead to the same conclusion. In the pivot table some strategies produce net losing trades while the same strategy produces a gain in the portfolio simulation.
Please help interpret this result!

Attached file : Tests 1a 1b.png (59KB - 371 downloads)

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/17/2018 7:19 PM
Post #44313 - In reply to #44311

Larry:

Yes, that was the source of my confusion as well.

I think the problem here is that the individual strategy is influenced by all that has gone on before it and after it.

In isolation the strategy might perform just fine. But as a result of the Market State that preceded it more cash might be made available to it resulting in maybe more trades being taken than could not be "afforded" in the isolated state and some of those additional trades might lead to a catastrophic loss (that would have never occurred due to the lack of available capital to the isolated strategy). Remember that more available cash buys more trades and those additional trades have a lower Ranking Value and so might be considered less attractive.

I hope maybe that makes some sense.

Tom Helget

mholstius

Posts: 175

Joined: 1/13/2017

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/17/2018 7:27 PM
Post #44314 - In reply to #44311

I suspect the Excel pivot table results were with all market states trading at the same time...???

When using my one strategy and one state at a time method, you'll have to do each state and each strategy at a time and record the results. (9 states * X strategies).

It gets tedious, but it also lets you see the equity curve for each state & strategy pair - and I like to see stability in that curve. Ending statistics alone can be misleading.

I'd also suggest allowing the trades to stay open when the state ends.

Hope that helps - I'll be gone for about a week.

Hope someone can find the holy grail while I'm gone. ;-)

Mark

Buffalo Bill

Posts: 539

Joined: 10/3/2006
Location: Stafford, VA

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/17/2018 7:42 PM
Post #44315 - In reply to #44311

Another idea - use these OL systems into 2 confirm blocks in each strat. First one turn on the L&S Macro state you want to test, second the L&S Micro state. It will only fire when the Macro+Micro is in the correct state. You can test a bunch of strats at once for each of the 9 states then see which strats you like

**Make sure BOTH confirm blocks are set to ref SPY as the symbol.

For extra credit you can then run a couple more tests. Add a third confirm block, take out the SPY ref and set it to match the 1st block - so the SPY and current symbol are in the same Macro state. See if that helps. Add fourth block, take out SPY ref, to then have SPY Macro & Micro = Symbol Macro and Micro and see if that is better. Or maybe just symbol Micro = SPY Micro is best.

Attached file : sysMM Confirm.jpg (459KB - 399 downloads)

Attached file : sysMSMicroDefL.txt (0KB - 400 downloads)

Attached file : sysMSMicroBullL.txt (0KB - 367 downloads)

Attached file : sysMSMicroBearL.txt (0KB - 341 downloads)

Attached file : sysMSMacroDefL.txt (0KB - 332 downloads)

Attached file : sysMSMacroBullL.txt (0KB - 345 downloads)

Attached file : sysMSMacroBearL.txt (0KB - 336 downloads)

Attached file : sysMSMacroDefS.txt (0KB - 345 downloads)

Attached file : sysMSMacroBullS.txt (0KB - 344 downloads)

Attached file : sysMSMicroBearS.txt (0KB - 331 downloads)

Attached file : sysMSMicroBullS.txt (0KB - 341 downloads)

Attached file : sysMSMicroDefS.txt (0KB - 338 downloads)

Attached file : sysMSMacroBearS.txt (0KB - 347 downloads)

LSJ

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/17/2018 8:36 PM
Post #44316 - In reply to #44314

Mark,
I don't believe that is the case. The allocation was set to zero for all states but one - Default and Bull and that is the only state that was used for testing so far. The ATM methods were duplicated and one was used to test the strategies one at a time. The other was used testing all 5 strategies and the trades were exported to Excel for the pivot table.

All trades were left open as well and the goal was Max avg Ann ROI/Avg Ann MDD.

I did only test one market state because I was curious how they would compare.

I want to understand why this difference before I do a bunch of tests the results of which I am not sure how to interpret.

I will continue testing and update if I find an explanation.

LSJ

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/17/2018 8:49 PM
Post #44317 - In reply to #44315

Bill - thanks for that. More great ideas for working with ATM and it is only getting started.

mgerber

Posts: 40

Joined: 12/18/2003
Location: Issaquah, WA

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/18/2018 10:25 AM
Post #44322 - In reply to #44264

LSJ, thanks for your pivot table posts; potentially very useful!

Looking at the simulation statistics in your original post, I am puzzled by one stat. The port sim run made money, but the Average Profit % shows a negative value.

ANYBODY: How is that possible?

Mark G.

Attached file : LSJ, Simulation Statistics.png (146KB - 1933 downloads)

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/18/2018 11:23 AM
Post #44324 - In reply to #44322

Mark:

Yeah there has to be something wrong going on here that Nirvana's programmers need to address.

Tom Helget

mgerber

Posts: 40

Joined: 12/18/2003
Location: Issaquah, WA

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/18/2018 12:42 PM
Post #44325 - In reply to #44324

Barry,

Would you please directly address this?

I have seen this happen several times before, just never got around to asking about the anomaly.

--Mark G.

LSJ

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/18/2018 3:54 PM
Post #44330 - In reply to #44313

Tom,
That seems like a very plausible explanation. It was a small $40K 1x leveraged acct and maybe didn't have enough money. Back to the drawing board - thanks.

Originally written by THELGET on 3/17/2018 8:19 PM

Larry:

Yes, that was the source of my confusion as well.

I think the problem here is that the individual strategy is influenced by all that has gone on before it and after it.

In isolation the strategy might perform just fine. But as a result of the Market State that preceded it more cash might be made available to it resulting in maybe more trades being taken than could not be "afforded" in the isolated state and some of those additional trades might lead to a catastrophic loss (that would have never occurred due to the lack of available capital to the isolated strategy). Remember that more available cash buys more trades and those additional trades have a lower Ranking Value and so might be considered less attractive.

I hope maybe that makes some sense.

Tom Helget

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/18/2018 6:46 PM
Post #44333 - In reply to #44314

Mark:

OK, I performed your suggestion on one of my own Profiles with the Micro Macro technique.

I then choose the better performing Strategies in each Market State:

This gave the following Portfolio Simulation with way more Drawdown than I would like to see:

Excel Pivot Table Analysis showed Strategies that one might have expected to perform well from the original Strategy Analysis going into the red:

And, yes, these numbers are correct. Remember the Market State Totals are given at the top of their component Strategy List. Note that some unrecorded trades are still in play and so the Portfolio Simulation Final Equity disagrees slightly with the Excel Pivot Table Total.

Tom Helget

Attached file : Best Strategies Final Equity.PNG (84KB - 1794 downloads)

Attached file : Portfolio Simulation with Best Strategies.PNG (194KB - 1812 downloads)

Attached file : Best Strategies With Negative Results.PNG (34KB - 1793 downloads)

Attached file : TT Option ATM M&M.xlsx (10KB - 342 downloads)

Attached file : Trades Best Strategies.xlsx (621KB - 433 downloads)

LSJ

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/19/2018 8:10 AM
Post #44336 - In reply to #44264

Tom,
I'm trying to understand all of this to see what it tells me.

I added up the net gains from all 12 Bear Bear states and came up with 1,902,862. Looking at the Pivot Table output for Bear Bear the total is 9,096,448.114. I'm not sure why these are so far apart.

My first assumption is that if I used the same data for the Port Sim and the pivot table that there should be close to the same result. Second, if through an analysis of the individual strategies I eliminated the negative performers and re-ran the Port Sim I should get a better result. By the same token I would expect a pivot table to verify that result with just minor differences.

So, whatever is going on here I haven't completely grasped it. Seems like we're building railroad tracks from opposite ends and not meeting in he middle <:)

Any light you can shed would be appreciated.

Buffalo Bill

Posts: 539

Joined: 10/3/2006
Location: Stafford, VA

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/19/2018 10:37 AM
Post #44338 - In reply to #44336

LSJ/Tom/Mark

One thing about using ATM effected results to rank strategies for use in ATM is that the signals from the strategies are not raw they get ranked by ATM and only X amt of L or S get thru. ATM is directly effecting the results of the strategy - so was the strategy actually good (or bad) or was it ATM ranking and/or trade cutoffs that drove the results one way or another?

IMHO using Port Sim is a better way to look at the over-all quality of the strats themselves in the Macro/Micro market (using the confirm blocks I provided) since it does NOT add the artificial, non-strategy-derived rankings or cutting off L&S signals arbitrarily at 2/day or something. If the sum total of a strategy's signals do well in PS - >70% HR, >1% PPT for ex - then things should only get better when ATM uses it's magic to rank those signals against other signals from other strats, etc.

In addition, using ATM results to pick ATM strats could also be a form of curve fitting

Food for thought

I'm in the middle of running port sims on a long list of Nirvana provided strategies in each of the 9 Macro/Micro states (M&M states). This is Port sim data (FT = 1/1/2007+), no ATM, using the confirm blocks to set each MM state. I will clean up the results and post when I'm done FWIW. No pivot table but it will be an excel spreadsheet! Ha

LSJ

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/19/2018 11:00 AM
Post #44340 - In reply to #44264

Neat! Looking forward to the results. Thanks. (LSJ = Larry).

In the meantime I continue to test hypotheses. A little like the guy who took his chainsaw in because it was cutting slow and when the mechanic started it he said "what's that noise?"

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/19/2018 11:17 AM
Post #44341 - In reply to #44336

Larry:

I don't know how you performed your calculations for the Bear & Bear Market State.

However I am attaching the same Excel Spreadsheet I presented originally with the addition of a summation for the four Strategies utilized in the Bear & Bear Market State showing that the figures presented in the Excel Pivot Table for that Market State are indeed correct.

Remember that the Total for each Market State in the Pivot Table is given above it's various components and not below like we might perform conventional addition.

Although I haven't done the same for the other eight Market States this is enough to convince me that the Pivot Table I originally presented is correct.

Tom Helget

Attached file : Trades Best Strategies.xlsx (669KB - 373 downloads)

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/19/2018 3:59 PM
Post #44342 - In reply to #44341

Guys:

I think the problem here is that while the way Mark suggested testing each Strategy is a good idea since it is performed entirely within the ATM Micro Macro Market State paradigm (even allowing for trade Ranking) it doesn't allow for the full weight of trades the Strategy could have possibly assumed when a greater amount of capital from previous trades in precursor Market States has been made available to it.

That is, only a handful of trades are being taken when we test each Strategy individually as Mark suggested. When all the Strategies are deployed they provide the Strategies going forward in each Market State with excess capital over and above that used in the Single Strategy Test which can be (unfortunately) deployed into loosing trades. More and more trades (or larger and larger trades) can thus be taken with this excess capital some of which might assume losses which swamp the gain the single tested Strategy would have implied.

Therefore the only real way to supply the ATM Method with viable Strategies would appear to be to throw them into the mix and see what happens via Excel Pivot Table Analysis.

And, yeah, that sounds like curve fitting. But the idea here is weather the storm in a variety of past market conditions with Strategies that have been proven to hold their own so that we might be hopeful of them doing the same in future market conditions.

Tom Helget

mholstius

Posts: 175

Joined: 1/13/2017

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/19/2018 8:01 PM
Post #44343 - In reply to #44342

Hi Tom,
I’m still not home, but would like to suggest that you set the trading % of equity for your testing to 1% ( and possibly also use the 2X margin to “take additional trades” ).

That way you should never hit an available equity limit and you’ll see all the trades taken by every state / strategy combination, assuming they’re also set to let the trades complete (not close on change in market state).

If you also set all the states to take the same # of trades (maybe 5L or 5S?), that can help to remove some bias from one strategy taking more trades than another.

It might give a better picture of the relative performance of one strategy vs another in each state. Once you identify the good strategies, you can then decide how many trades to allow.

Just a suggestion...
Good luck in your testing,
Mark

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/19/2018 8:17 PM
Post #44344 - In reply to #44343

Mark:

I already did the 5 Long, 5 Short trade thing for my analysis - this was just to add balance and not give an edge to trading in any Market State.

And I had 2X margin in play on $100,000.

But my Trade Allocation was set to 10% so the 1% Trade Allocation is a real good idea to anticipate all the trades that likely could be taken at higher allocations.

Thanks,

Tom Helget

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/20/2018 11:57 AM
Post #44346 - In reply to #44343

Mark:

OK, I followed your suggestions.

As you might recall one of the bones of contention was the negative performance of the Swing 13 Strategy in the Bear and Bull Market State as denoted in the Excel Pivot Table:

I only completed the first two Market States in my analysis but note that once again I would choose Swing 13 to be included in the top 4 Strategies for the Bear and Bull Market State:

I know you will say, "but what did the Portfolio Simulation curve look like using 1% Trade Allocation?". Quite nice actually with a very small Maximum Drawdown and Average Annual Maximum Drawdown:

So I am still stumped as to exactly how the very poor perfomace of Swing 13 in the Bear and Bull Market State could have been produced.

Tom Helget

Attached file : Best Strategies With Negative Results.PNG (46KB - 1128 downloads)

Attached file : Swing 13 Bear and Bull Final Equity 1% Allocation.PNG (90KB - 1168 downloads)

Attached file : Swing 13 Bear and Bull PS Equity Curve 1% Allocation.PNG (353KB - 1178 downloads)

mholstius

Posts: 175

Joined: 1/13/2017

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/20/2018 2:54 PM
Post #44348 - In reply to #44346

Hi Tom,
I’m still away from home, but that equity curve you posted for Bear and Bull has a majority of its trades in states that are not Bear and Bull...???

Are all the states other than Bear and Bull set for 0% equity?

Mark

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/20/2018 3:07 PM
Post #44349 - In reply to #44348

Mark:

As always you have an eagle eye!

And, no, ALL the Market States were set to 1%.

However, I thought that no trade would be taken regardless of the % of Equity in the Market State unless that Macro & Micro Market State was "in play".

What am I missing there? Is it maybe that your ATM hierarchy is not like that in ATM Universal? That is we are not "falling" from the most desired Market State to the least desired Market State - i.e. looking for Bull Market trades then Bear Market Trades and anything else is Default if it is not Bull or Bear?

Thanks,

Tom Helget

mholstius

Posts: 175

Joined: 1/13/2017

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/20/2018 4:11 PM
Post #44350 - In reply to #44349

Yes, Tom,
The hierarchy is a bit different in that M+M starts with the Macro Bear instead of a Bull state, but ATM still starts at the top of the list of states and then stops at the first one in the order that satisfies the state formula.
If you want to see how Swing 13 performs only in Bear + Bull, you have to set all the other states to 0% equity and then have ONLY Swing 13 selected in the Bear + Bull state (uncheck all the other strategies in Bear + Bull).
In the equity curve, you’ll see that all the other states are “flat lined” (except for the trades that entered in the Bear + Bull state and closed later).
The stats will also just reflect the performance of swing 13 in Bear + Bull.
Try it - you’ll see what I mean.
Then, do the same thing with whatever other strategy and state you want to see.
You have to do them one at a time ( one state trading with 1% equity trading one strategy at a time )
Mark

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/20/2018 4:24 PM
Post #44351 - In reply to #44350

Mark:

Ah, that makes good sense - I guess I am back to the drawing board once again!

Thanks again for your continued assistance in understanding the Micro Macro ATM Method!

Tom Helget

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/20/2018 7:18 PM
Post #44352 - In reply to #44350

Mark:

So when we last left off we were looking for a solution to eliminate the Swing 13 Trading Strategy from consideration in the Bear & Bull Market State.

To that end I set the Trade Percentage of Equity of Allocation in all Market States except for the Bear & Bull Market State to zero. I set the Trade Percentage of Equity Allocation in the Bear & Bull Market State to 1%.

The Allocation Ratio in the Bear & Bull Market State was set to take 5 Long Trades and 5 Short Trades.

Everything else was left alone in the Macro & Micro ATM Method you presented and I used a short Focus List of 81 Optionable Stocks.

Like before Swing 13 put in an excellent show and could be considered in the top 4 Strategies for Final Equity in the Bear & Bull Market State:

And here is the Portfolio Simulation Equity curve:

Curiouser and curiouser!

Tom Helget

Attached file : Portfolio Final Equity with 1% Trade Allocation in Market State Only.PNG (70KB - 1066 downloads)

Attached file : Swing 13 in Bear & Bull Market State with 1% Trade Allocation ONLY.PNG (357KB - 1124 downloads)

mholstius

Posts: 175

Joined: 1/13/2017

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/20/2018 8:13 PM
Post #44353 - In reply to #44352

Hi Tom,
That equity curve and the associated stats looks much better...
If you’re planning on trading just your 81 optinable stocks, that looks like a good choice.
However, I’d suggest a larger list of symbols to minimize any survivorship bias or curve fitting...???
Good luck with your testing.
I suspect some others may have learned from this discussion.too.
Mark

EYEGUY

Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/20/2018 8:36 PM
Post #44355 - In reply to #44353

Mark:

Respectfully, that's just it.

What have we learned?

The Swing 13 Strategy when isolated in the Bear & Bull Market State produces one of the best looking Equity Curves and Final Equity of the twelve Strategies examined.

Yet when all the Strategies are operational and the full Micro Macro ATM method is in play it falls flat on it's face in the very same Market State one would think it would perform well in:

This proves that Strategy isolation is not a suitable method to aid one in selecting Strategies to employ in the ATM Method under consideration.

Tom Helget

Attached file : Best Strategies With Negative Results.PNG (46KB - 1065 downloads)

mholstius

Posts: 175

Joined: 1/13/2017

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/21/2018 8:19 AM
Post #44358 - In reply to #44355

Still not home, but...
I’d question what was being analyzed and presented by excel.
We know that the equity curve and stats show what happens in the Bear + Bull state using Swing 13 using the choices made in the ATM settings.
By using 1%, we can also see that an AVG of only 0.4% of equity is being used - so there’s probably very little interaction between the states.
I’d go with the known stats and continue trying to identify additional good strategies using that process.
It’s tedious, but we know that the stats are correct.
Until you’re sure what’s being analyzed by excel, that’s an unknown...
Mark

Buffalo Bill

Posts: 539

Joined: 10/3/2006
Location: Stafford, VA

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/21/2018 10:44 AM
Post #44363 - In reply to #44315

So I did some initial testing on strategies for each M&M state - my results attached in the excel SS. Notes BT 2006, FT 2007+ SP100+NAS100 list. Only FT numbers presented. I used my confirm blocks to only pass signels if the SP500 was in the selected market state. Numbers are PS info NOT ATM (IOW no trade ranking).

The first sheet has a box showing each M&M state and the Long, Short or Both strats that show promise noted for each. **NOTE: you'll see lots of strats that do well long or short but not both for a given M&M state hence my recommendation ATM be modified to select L or S or both for each start in each MS. If you agree pass it along to Barry and Ed**

There is a "score" column on sheet 1 - it is a rough strategy ranking of how each did overall. I gave each strat 1 pt for looking tradeable in the L, S or Both for each MS. So a score of 18 - 9 MSs and Both L&S = 9x2 = 18pts. TLB2 RSI, WT3 ST, NSP-35 CB scored very well (all > 13). CRSI, CRT-3, VBX-3 NN, lots of X suite strats, MVX-15, ARM5 RTM17, WT3 LT all also scored well. Those are a good set of strats to include in your ATM strategy selection testing

The second sheet is all the numbers for every strat broken down by M&M state

The last sheet is where I did a PRELIMINARY test on using the MS filters on each symbol as well as SP500. I selected Macro Default+Micro Bear as the MS. Then I added a confirmer to only pass signals if the SYMBOL was in Macro Default as well. Then Symbol in Macro Def AND Micro Bull, and lastly no macro but just Micro Bull. Quick analysis tells me this is something we need to explore - the strat results IMPROVED - higher HRs and PPTs. This means we could risk more per trade potentially and min MDD. IDK yet - I did a quick look at ONE M&M and did NOT have a chance to try adding these symbol states in ATM.

Note - IGNORE THE t3-sx stuff at the bottom of the last sheet. Something else

I am heading to the airport for a trip to Beijing. I will look at this more but I hope someone smarter than me can play around with that idea. It could be really good for our ATM results I think.

Also, this was just my first set of strat tests - I will start on another set of more strats, most with retrained ARM blocks (on SP100+NAS100 list) OR with newly added ARM blocks (my NNs) if none were available (like CRSI, CRT-3, TLB2 RSI for ex). When complete I will share my results

I don't know how the .pdf version will look - gotta go but thought it might be good if someone doesn't have excel

Attached file : MM Strat results.pdf (152KB - 381 downloads)

Attached file : MM Strat results.xlsx (96KB - 378 downloads)

mholstius

Posts: 175

Joined: 1/13/2017

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/22/2018 6:39 AM
Post #44366 - In reply to #44363

Outstanding, Buffalo...
That's a lot of work, and a lot of good data!
I just got back home last night, and it'll take me a while to digest it all...

Thanks for sharing it - hope you had a good trip over to Beijing.

Mark

SteveL

Posts: 262

Joined: 8/19/2005
Location: Boulder, CO

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/30/2018 6:22 PM
Post #44425 - In reply to #44363

Hey, Buffalo.
Hope you had a good trip.

I like your idea of using the Confirm Block with the two systems. But, ...

Instead of a PortSim report, wouldn't the File->PrintReports->Strategies->PerformanceSummary be more useful/instructive about how well each of these strategies performed for each market states? And you could run all the strategies for a particular market state in the same analysis run. And then select the best for each market state for inclusion in the ATM market state. Of course, there is that ever present "curve fitting" problem because you'd be choosing strategies that you know worked well during each of those periods. But I think that problem exists with your current approach as well (if I'm correctly interpreting what you are doing).

Buffalo Bill

Posts: 539

Joined: 10/3/2006
Location: Stafford, VA

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/30/2018 8:53 PM
Post #44427 - In reply to #44425

Steve

That is actually the report I used - the one you suggested. I export it to excel then sort by HR to get candidates. Then I looked at the PS equity curve and stats for each strategy alone (as Mark suggested), in each M&M state, in port sim to decide on which to include in each M%M state. Then I ran a ton of comparative runs deleselecting each or multiple strats trying to find a better, and shorter, group for each.

That was my process

SteveL

Posts: 262

Joined: 8/19/2005
Location: Boulder, CO

Subject : RE: Xsuite with ATM Micro Macro
Posted : 3/30/2018 10:38 PM
Post #44429 - In reply to #44427

Duh. Yea. Obviously you used that report, since you have all the stats from that report. My brain must have been out to lunch.

Thank you for the data. I'm going to go look at it again.

Keith Parsons

Posts: 76

Joined: 6/28/2009
Location: Durban, South Africa

Subject : RE: Xsuite with ATM Micro Macro
Posted : 2/12/2020 3:33 AM
Post #46748 - In reply to #44315

Hi Buffalo,
Thank you very much for sharing these Systems. I want to use your work in the Confirming Blocks in Mark's MacMic strategies. However I note the compiling issue with "End If"

I would like to know if you have had this compiling problem. If not did yours work correctly in the Confirming Block ?

NB: My motivation for this is that in MacMic Concurrent and running the ATM3 Method Settings I get unrealistic low curves. In fact it is lower than even that % Equity curve. Hoping that your Systems help rectify this.

Apologies for any inconvenience

Kind regards,

Keith Parsons

FileName: sysMSMicroBullL.txt; Line: 6; 'If' must end with a matching 'End If'.
FileName: sysMSMicroDefL.txt; Line: 5; 'If' must end with a matching 'End If'.
Build failed.

Attached file : sysMSMicroEndIf Error.jpg (20KB - 264 downloads)

jpb

Posts: 168

Joined: 5/11/2005
Location: Brown Deer, WI

Subject : RE: Xsuite with ATM Micro Macro
Posted : 2/12/2020 7:48 AM
Post #46749 - In reply to #46748

Keith,

I haven't tried Buffalo's systems but in looking at the code, it looks like it just needs one more End If added. Jim educated me previously that within VB, IF can take multiple formats, one of them being a single line IF which doesn't need an End If. I suspect that was how OT processed one of the IF statements originally but perhaps something changed.

I've attached a small change to the sysMSMicroBullL.txt to add in another End If and indented the last If statement for easier reading/grouping of the IF statements.

I believe Buffalo's original intent was to wrap the multiple inner IF statements in one that checked for a close price greater than 0; a bad data check.

If that works for you, you can apply the same extra End If to the remaining files. I spot checked a few and they all looked uniform in format and structure.

Attached file : sysMSMicroBullL.txt (0KB - 255 downloads)

Keith Parsons

Posts: 76

Joined: 6/28/2009
Location: Durban, South Africa

Subject : RE: Xsuite with ATM Micro Macro
Posted : 2/13/2020 2:13 AM
Post #46753 - In reply to #46749

jpb,

Really appreciate your responding to my post. Very kind of you. Most certainly I will post any positive aspects that I come across on Buffalo's code in the next few day.

Many thanks,

Keith

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