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ATM and "Resilient Portfolio" in Omnifunds
47 replies, 4580 viewings
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OmniTrader Upgrade Forums
ATM
ATM and "Resilient Portfolio" in Omnifunds
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Last Activity 4/21/2021 9:48 AM 47 replies, 4580 viewings |
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Trailbrake Member Posts: 11 Joined: 2/5/2004  User Profile |
Thank you for the detailed response. Perhaps, Nirvana will help us out with the equity balancing features to support Omnifund emulation and Omnifund portfolio development in Omnitrader. Yes, I've been studying/playing with Antonacci's Dual Momentum outside of OT but, I recently started trying to build with Tactical Asset Allocation as espoused by Meb Faber, Adam Butler et al. I have some work to do but, perhaps I can post an example in the next few days. I have the same issues trying to replicate a balancing algorithm in a signal driven tool. Resilient looks a lot like TAA except DOG seems a better hedge than TLT which is typically the TAA bear hedge, if you get the market state and allocation right. Trying to duplicate, modify and improve them, if possible, with the desired outcome of have a portfolio of strategies that, in aggregate, push returns up and volatility down . Kinda like Omnivest would if it had Omnifunds equity balancing features. But, even if I can come close on several of these and perhaps export to Omnivest, I think it could be quite a powerful ensemble strategy. Just looking for a bunch of grails, none of them particularly holy. Thanks, Tim | |||||
| John W Regular  Posts: 87 Joined: 8/1/2011 Location: Sydney, NSW, Australia User Profile |
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| EYEGUY Icon   Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
No, I had never thought to but you are correct in that you can't see your Monday trades on Friday on OmniFunds and it is only on Monday that they become available (I think) so using 6 might have some utility although there isn't a "bar" for it. Tom Helget | |||||
| jpb Veteran  Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI User Profile |
I originally tried BarDayofWeek()=6 in the system, but it never generated any trade signals. I tried various different day values but even using 5 (Friday), never created orders to be executed on Monday. It always wanted to go to Tuesday. Maybe it is because I had a MOO set in the TradePlan. The only thing that worked for me was to say BarDayofWeek()[1]=4 (which meant I am Friday and should generate an order for Monday. I reached this conclusion when I would run the TODO, look at the Port Sim trades to see where they were entering and exiting. That's how I made adjustments to the system for firing a long signal and set the number of bars for exit in Trade Plan. Thanks, Jeff B. | |||||
| Jim Dean Sage  Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
Bar day of week, or of month, is based on the charted bar’s ID. The bar’s ID is keyed to the date and time of the Open of the bar. Unless you are dealing with Forex symbols that trade during the weekend, BarDayOfWeek = 6 or 7 are essentially meaningless in OT-land. I read about some attempts to use it - and how it acted differently for half the year - imo that is all a fluke. Bdow=6 doesn’t mean anything useful unless the symbol trades on Saturday. | |||||
| John W Regular Posts: 87 Joined: 8/1/2011 Location: Sydney, NSW, Australia User Profile |
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| jpb Veteran Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI User Profile |
I struggle with Port Sim and making it generate orders on the day I want it to -- at least, that was what we were trying to do here. Normally I'm not day specific. Although, I will say, in running the simple test using the strategy/profile/system I posted earlier in this thread, when orders are submitted on different days, you get different results. Some of them were more dramatic. I didn't save any of those results. Maybe later, I'll dust that off. | |||||
| EYEGUY Icon Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
Can you please check your inbox at the top left of this thread? Thanks, Tom Helget | |||||
| Trailbrake Member Posts: 11 Joined: 2/5/2004 User Profile |
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| JamesT Member Posts: 15 Joined: 5/19/2004 Location: Washington User Profile |
James T. | |||||
| John W Regular Posts: 87 Joined: 8/1/2011 Location: Sydney, NSW, Australia User Profile |
Omnifunds closed DOG and all other symbols and reopened with a new symbol set and allocation percent early this week. ATM handles this differently, only on Friday and Monday. Here are some questions about how to handle the last day of each week using an EOD profile. 1. What is a good time to run the trade plans, is anytime after market open OK. 2. Should users select the "current positions" tab and manually run the ToDo list. 3. Should users let AutoTrade handle everything, if so what changes need to be made to distinguish the end of week settings from the Monday morning run? Here's some highlighted areas that may be relevant. 4. What about DOG. Its already shown as closed during the week because it dropped below its MA, how should this be handled. OT thinks its closed whereas the broker still holds the position. 5. Should all positions be closed manually by clicking on "C". [Edited by John W on 4/30/2020 3:28 AM]  Attached file : 2020-04-30_17-33-37.jpg (60KB - 745 downloads) | |||||
| Barry Cohen Sage  Posts: 6338 Joined: 1/19/2004 User Profile |
2. No, leave it on the My Symbols list. 3. AutoTrade should handle everything. 4. With Resilient, there are 2 situations that can result in closed trades. On Fridays when update portfolio runs during market hours, the trade plan exits will be triggered & submit MoC orders to close all the trades at the end of Friday. The other situation is due to a market state change. This could happen any day during either process that AutoTrade performs. When that occurs it should submit market orders on that day. If this is not happening, like how you are reporting what happened with DOG, then that would be a bug. Perhaps you can send me your AutoTrade logs for this week. 5. If using AutoTrade there shouldn't be anything that you have to do manually, but this method is pretty new & there might be some things that we aren't aware of yet, like #4. | |||||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
Ok I’m confused. If you’re fully automated, then you have a choice between using MOO orders for both entry and exit - presuming calc and submission is done outside Market hours. Or, you can use a mix of MOC &/or Mkt orders for Entry and exit, and set up AutoTrade to run *during* exchange hours. Barry, your post below shows a combo of MOO and MOC. Please explain how that can be hands-off automated. Thanks. | |||||
| John W Regular Posts: 87 Joined: 8/1/2011 Location: Sydney, NSW, Australia User Profile |
Re your Point 4. I didn't run Autotrade mid-week I figured the trade plans only allowed new MOO trades Monday and MOC trades Friday. My bad. Re DOG. It no longer exists in OT because the market state changed mid-week. All other symbols opened on Monday remain open in OT. It will be interesting to see if the DOG trade plan closes DOG today, because its trade plan is the same as all the other symbols. So, I'm hoping that today being Friday that the trade plan exits will be triggered for all open symbols including DOG. As seems to be a favourite phrase in politics lately - "We'll just have to wait and see"! [Edited by John W on 5/1/2020 6:13 AM] | |||||
| Barry Cohen Sage Posts: 6338 Joined: 1/19/2004 User Profile |
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| Barry Cohen Sage Posts: 6338 Joined: 1/19/2004 User Profile |
The Resilient trade plan has a MoC exit that only triggers on Fridays during market hours. | |||||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
When does OmniFunds on server do it’s calculations? How does it know to run Entry calcs for MOO orders after hours, so the order can be submitted before the exchange opens - and conversely, when and how often does OmniFunds update TradePlans during open hours, so that it can submit the MOC order before the exchange closes? | |||||
| Barry Cohen Sage Posts: 6338 Joined: 1/19/2004 User Profile |
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| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
AutoTrade is set up to run its calcs at night to determine Entries and place order before exchange opens. Then trade plan kicks off. Is RT feed assumed? There has to be a way for the TP to be recalc’d during exchange hours, if you want to use an MOC order to exit. Does the TP have some logic in it to only run the exit checks in the final minutes before the day ends? If no such logic, AND if RT feed continuously monitoring the TP, then any intraday H or L might trigger the MOC order, which doesn’t make much sense to me. In that case, why not just use a Mkt order and have done with it? | |||||
| Barry Cohen Sage Posts: 6338 Joined: 1/19/2004 User Profile |
Well, it's set up to run before market open, so entries should occur Monday mornings.
No, ATM does not work with RT.
That is what AutoTrade's "Update Portfolio" process is for - it will trigger the trade plans so that their MoC orders get submitted. | |||||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
Strongly recommend that you change the label to “Update Active Trade Plans” Thanks. | |||||
| Barry Cohen Sage Posts: 6338 Joined: 1/19/2004 User Profile |
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| John W Regular Posts: 87 Joined: 8/1/2011 Location: Sydney, NSW, Australia User Profile |
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