mholstius Regular  Posts: 76 Joined: 6/15/2011  User Profile | Nirvana originally included the excellent “Universal” method with ATM, and has since added methods that utilize updated Market State definitions and ARM5 strategies. I’m always working on ways to increase diversification and stability, so I thought I’d experiment with some new Market State definitions in ATM. I spent the past couple of weeks developing this new “Micro States” method. It adapts rather quickly to changes in the market and trades a list of 300 symbols using a cross section of 8 strategies. Like Nirvana’s Universal method, it has Bull, Bear, and Default states - but it changes the market state much more often. Nirvana’s Universal method recorded 79 changes of market state from 1/1/2003 to the present. This Micro States method had 269 changes of market state over the same time period. The snag below colors the Market State zones for both the Universal and Micro States methods since 2003 to illustrate the difference; The snag below magnifies the areas numbered 1-4 in the Micro States method above to illustrate when the market states change; Below are some statistics on the changes in Market States from 2003 forward; These are the Strategies used by the Micro States method (only XLS-19 V2 is used in more than one market state); Now, how does it perform in the Port Sim…??? This is a 15 year run from 1/1/2003 to present using 2X Margin and both Longs and Shorts; This is the same 15 year period from 1/1/2003 to present in an IRA using 1X and Longs Only; Here are the statistics for the two 15 year runs from 2003 to the present; The first half of this chart is the particularly challenging period in the market from 2014 to 2016; I’m posting this because a lot of us new owners of ATM are trying to learn how to make the most of this great new tool. This new Micro States method is just an example of what can be done - and I haven’t even utilized any of the Optimize capabilities available in ATM. ATM isn’t like anything we’ve had before (or that I’ve ever seen on the market). It allows us to test and implement ideas we used to only guess about, uncovering relationships we couldn’t quantify before. My hope is that if we share our discoveries, we can accelerate the learning curve. While a particular idea one person has may not be the Holy Grail, it could be the missing puzzle piece for someone else… That said, I believe this new Micro States method has potential - so that’s why I’m sharing it with everyone. It appears to have stability, consistency, and diversification over the past 15 years; 9,542 trades 8 different strategies trading 300 symbols 269 market state changes To make it easier for everyone who owns ATM, and in case its results and availability might have an influence on those of you still considering the purchase of ATM, I’m donating this Micro States method to the library that Nirvana is making available to all ATM owners. My hope is that everyone can save some development time, verify the method by duplicating my results, and let us know if you find ways to improve it. Maybe you’ll develop a better ranking system, find better strategies to use, or define a good dynamic list to pair with it. The possibilities are endless… If you don’t want to wait for the official release of Micro States from Nirvana, I’ve attached a pdf file that contains sequential screen shots showing all the details so that you can duplicate the Micro States ATM method today: “Details of Marks Micro States ATM Method.pdf” I’ve also attached the symbol list I used. It’s similar to the list I’ve posted previously, but with the recently extremely volatile SVXY removed: “Micro States Symbol List.csv” So, this is just free for the asking…??? Yup. There’s no $100/mo subscription - but I do have one small request. If you find that this Micro States method adds value to your investment in ATM, either by saving you development time, learning the concepts and ideas it uses, or improving your trading results… Please, donate whatever you feel that additional value is to the St. Jude Children’s Research Hospital; https://www.stjude.org/ They’re doing some amazing things for kids dealing with serious illnesses. Thank you! Mark [Edited by mholstius on 2/26/2018 10:48 AM]  Attached file : 00 Comapre Profiles.jpg (126KB - 2746 downloads) Attached file : 01 Various Periods.jpg (187KB - 2750 downloads) Attached file : 02 Statistics.jpg (102KB - 2732 downloads) Attached file : 03 Strategies Used.jpg (24KB - 2728 downloads) Attached file : 04 Margin.jpg (101KB - 2671 downloads) Attached file : 05 IRA.jpg (99KB - 2754 downloads) Attached file : 06 Port Sim Statistics.jpg (121KB - 2633 downloads) Attached file : xx 2014.jpg (77KB - 2654 downloads) Attached file : 07 St Jude.jpg (3KB - 2597 downloads) Attached file : Details of Marks Micro States ATM Method.pdf (1675KB - 623 downloads) Attached file : Micro States Symbol List.csv (1KB - 480 downloads) |
