OmniTrader Upgrade Forums
ATM
Allocation issue
3 replies, 1805 viewings
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OmniTrader Upgrade Forums
ATM
Allocation issue
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Last Activity 4/21/2021 9:48 AM 3 replies, 1805 viewings |
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Buffalo Bill Legend   Posts: 539 Joined: 10/3/2006 Location: Stafford, VA  User Profile |
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 [Edited by Buffalo Bill on 3/28/2020 8:27 PM]  Attached file : ATM3 Smart Calls method allocation issue.jpg (225KB - 291 downloads) | ||
| jpb Veteran  Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI User Profile |
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. | ||
| Buffalo Bill Legend Posts: 539 Joined: 10/3/2006 Location: Stafford, VA User Profile |
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 | ||
| Barry Cohen Sage   Posts: 6338 Joined: 1/19/2004 User Profile |
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