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Buffalo Bill
Posts: 539
Joined: 10/3/2006
Location: Stafford, VA
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OK I was working on my ATM3 Smart Calls method and looking at a Port Sim result when I noticed something that was unexpected.
I set the Allocation method in EACH market state to Fixed $ - $1500. Each one. Optimization of the allocation is NOT checked. Each MS is exactly the same. BUT PS shows VARIABLE amounts of money used - from $300 to $3700 with an AVERAGE allocation of about $2000. Shouldn't all those numbers be right around $1500? Maybe less for some entries, ok, but never a ton more OR it should be allowed only up to a maximum amount of $ we set.
Now autotrade (which I use) is set to round to the nearest 100 shares (required setting for AT using options) and this may be the issue.
What is going on?
See attached
 Attached file : ATM3 Smart Calls method allocation issue.jpg (225KB - 292 downloads)
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jpb
Posts: 168
Joined: 5/11/2005
Location: Brown Deer, WI
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A shot in the dark... What's your Port Sim setting on the Account Settings tab for the Leverage? Is it set to Increase Number of Trades or Increase Trade Size?
From what I understand, OT will ignore leverage for options so I'd expect this parm to be ignored. But it is the only setting I could think of that might affect it.
The only other one that I've seen affect it is on the Method Settings (Settings in the lower left corner of a Method window) -- the Concurrent Market States tab has a Blend factor. I had that enabled once and saw that even though I had 16 market states that were explicitly defined to not overlap, when I ran as CMS vs non-CMS, the CMS would produce better results. The reason wasn't because of CMS, rather, I had the Blend Factor set to 1.20 which raised my allocation by 20%. Since only one MS was firing at a time, it raised the allocation above my allocation level for the market state.
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Buffalo Bill
Posts: 539
Joined: 10/3/2006
Location: Stafford, VA
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Hmmmm
Good observations
I have CMS set using the Smart Calls method default. Blend is set at 2.5. I will play with that - thanks!
And yes, increase trade size is set, but like you I thought that was a stock-only leverage thing.
Wonder what Barry will say
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Barry Cohen
Posts: 6338
Joined: 1/19/2004
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The reason you're seeing varying sized contracts is due to the Blend Allocation setting. That setting is enabled by default for the ATM Smart Calls method. Disable it if you want a fixed trade size.
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