Current location | Thread information | |
OmniTrader Upgrade Forums
ATM Trillion $$ Equity Curve |
Last Activity 4/21/2021 9:48 AM 12 replies, 1449 viewings |
|
|
Printer friendly version |
^ Top | |||
mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile | Just for fun - since it came up as a challenge at the Bash - here's a Trillion $$ equity curve using the ATM Macro & Micro in Elite plus one other portfolio at 2X leverage; I'll be posting more this weekend about some good ways to combine the ATM Macro & Micro that's in Elite efficiently. Great Bash! Mark [Edited by mholstius on 6/8/2018 4:23 PM] Attached file : Trillion dollar curve.png (83KB - 919 downloads) | ||
^ Top | |||
Diamondjag Veteran Posts: 270 Joined: 11/25/2006 Location: Brighton, Co. User Profile | Well, that didn't take long. Not surprised you were the first to do it! Thanks for your presentation at the BASH and for all the work and ideas that you are willing to share. It inspires the rest of us. [Edited by Diamondjag on 6/8/2018 4:25 PM] | ||
^ Top | |||
mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile | Lol... These are amazing tools - and it's fun learning how to use them. A whole different ballgame now... Mark | ||
^ Top | |||
John J Veteran Posts: 272 Joined: 8/3/2010 Location: Leduc, AB User Profile | Holy smokes Mark..!!! I wish this forum had a like button...I would hammer it like a woodpecker.. ;) | ||
^ Top | |||
mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile | Thanks for the kind words... Actually, this was just a byproduct of some research I was doing this week on risk & reward (only 108% Avg % Invested, but notice the 41% MDD). It just uses the ATM Macro & Micro on Elite and my Follow The Money HD, also on Elite. I hope to post more about what I learned this weekend. Mark | ||
^ Top | |||
Randy Regular Posts: 50 Joined: 12/6/2003 User Profile | OMG I was thinking 6-12 months and it only took you a week ;-o Good job Mark! Guess we all should have known who would win. Thanks for all the efforts you put into helping us understand how to use these amazing tools. Truly visionary work while some of us are still trying to figure out which button to push. Congratulations, Randy | ||
^ Top | |||
LSJ Legend Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL User Profile | Not to be a wet blanket but doing these unbelievable returns with ATM are great experiments but I just know it wouldn't work for me. Taking a quick look at the trades in one of my sims there was a trade size that amounted to 27% of the shares outstanding in that stock and the trades in general were very large. So, back to earth for me. My goal with ATM is finding a really smooth equity curve with low drawdown, a good return and a good Calmar. Using an IRA with no leverage and including commissions typically I'm finding results in the neigborhood of 40-50% Avg Ann ROI, 6-8% Avg Ann MDD and Calmar around 2 to 3. So pretty boring stuff maybe but I like the fact that there were also no losing years in the entire 6 year backtest. All underwater periods were less than two quarters. I wish I could turn my clock back 30 years but this approach seems appropriate for me now. No matter how you slice it all the work done by Mark, Nirvana and others gives us a very versatile tool - thanks. | ||
^ Top | |||
Diamondjag Veteran Posts: 270 Joined: 11/25/2006 Location: Brighton, Co. User Profile | Couple of comments. The trillion dollar equity curve came about from a comment at the BASH. Would have to watch the recording to see who said it but it was basically thrown out as a challenge. Mark took on the challenge and quickly conquered it. Regarding how you get to a trillion. We all know it's unrealistic for many reasons, the least of which is the size of the positions you would have to take. So you take these astounding returns and pare them back to what's workable. With these outsized returns we are now beginning to see that much larger returns than we thought, maybe even 100% or more a year, might be possible. This work is continually stretching the possibilities. Regarding your returns. They are excellent. Virtually no money managers make 40-50% per year. Most can't beat the market. There was a brief discussion of this at the BASH. Bernie Madoff said he was making 12% a year (of course he wasn't) and customers were beating a path to his door, wanting to give him money. So...a trillion? Maybe not, but we are entering a very exciting era with Nirvana products and Nirvana Club members. | ||
^ Top | |||
John W Regular Posts: 87 Joined: 8/1/2011 Location: Sydney, NSW, Australia User Profile | WELL DONE MARK! Is there any possibility you will be able to offer an Elite portfolio with a fully dynamic symbol list incorporating your excellent strategic choices in the near future? THANKS AGAIN FOR INSPIRING US! John | ||
^ Top | |||
CJL Member Posts: 7 Joined: 9/2/2005 User Profile | Not sure if talk about the bash should be here or the club forum but im not giving away any secrets and wanted to comment with what members are talking about. One of the best parts of the bash is hearing from the members. They were all good this year. So I want to thank you all for your contributions along with nirvana who did an outstanding job. Mark- i did like how you went month by month to quantify your results. Its time consuming but worth it. There were limited examples you showed in what would have happened in the following month (out of sample). Did you look to see how much further the out of sample results held up for? 6 months? a year? 5 years? Thanks Joe [Edited by CJL on 6/9/2018 10:10 AM] | ||
^ Top | |||
mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile | LSJ… no argument from me on that. I’m just looking for a “reasonable return” too. That said, the equity curve can serve as a VERY useful “normalizing” tool to compare different systems and their rules. If we come up with an idea and put it into a system, the equity curve with and without the idea can be a nice "shortcut" to see if it really improves the results over long time periods with lots of symbols - both in the shape / slope of the curve and the stats. It’s definitely a time saver and a great visual of how things work in different market states. Short answer: it’s not at all reasonable to think we can make these grandiose sums - but the equity curve can be an extremely useful “visual statistic”. Just for kicks… $82 Trillion (just stocks / ETFs, no leveraged ETFs or options); John… I’m hoping Nirvana can automate the process sometime in the future and have it run each month as a “walk forward”. A system like that would be extremely trustworthy. Joe… sorry, but I’ve been quite busy trying some of the excellent ideas others were kind enough to share at the Bash and haven’t had time to do more monthly comparisons yet. Thanks to all for the kind words and encouragement. I didn’t have time to finish my research on risk & reward this weekend, but hope to get something up in the near future… Mark [Edited by mholstius on 6/10/2018 7:48 PM] Attached file : More trillions.png (221KB - 560 downloads) | ||
^ Top | |||
John W Regular Posts: 87 Joined: 8/1/2011 Location: Sydney, NSW, Australia User Profile | Great news Mark, looks like you've just exceeded the GDP of Planet Earth a few times over! WELL DONE! I want to particularly support the 'walk forward' or dynamic process, this would make a huge impact on reliability and trust that backtested numbers will maintain their trajectory going forward. I'm sure Nirvana knows this, just want top add my voice and request that Nirvana pursues this ASAP! [Edited by John W on 6/10/2018 8:07 PM] | ||
^ Top | |||
Ken Wilsdon Member Posts: 6 Joined: 4/12/2006 Location: Calgary, Alberta, Canada User Profile | Perhaps the challenge should be to create a trillion $$ equity curve with under a 10% max draw down. THAT would be a fantastic achievement, even if it is theoretical, and could be instructive on how to reduce risk in a portfolio while maximizing equity over the longer term. Draw down is, in many ways, more important than ROE, as not many people could stomach a > 40% draw down, no matter how great the reward. The Ulcer Factor would be too great. But many could stomach a < 10% MDD over the same time period as the trillion $ portfolio above. |
|
|
Legend | Action | Notification | |||
Administrator
Forum Moderator |
Registered User
Unregistered User |
E-Mail this thread to a friend |
Toggle e-mail notification |