|
mholstius
Posts: 76
Joined: 6/15/2011
 User Profile |
Ed and Jeff have done a great job of sharing the capabilities of Nirvana’s new ATM3 upgrade in webinars, and I thought it would might help to add a few more details…
We all face the question of what is the most useful “target” / goal to give us an edge?
Historically, we’ve used HR, PPT, CAR, CALMAR, etc. – with the inherent problem that each can be quite specific and have their own weaknesses.
So, for about a year or two I’ve worked on developing a formula that would evaluate a number of different parameters and assign a single number that would correlate with the overall equity performance in the past.
I hope I’ve come up with something useful, and Ed’s dedicated a lot of time and resources this year to incorporate it into the updated ATM3.
This post is an attempt to show a bit of what it does.
I’ve run numerous tests to confirm that the number derived from the formula accurately reflects past performance.
One of my more extensive tests involved 500 symbols, and the following snags show the equity curves in the order of the ranking number produced by the formula…
The equity curves produced when charting the top 3 of 500;
Ranked #50, 100, and 200;
Ranked #300, 400, and 500;
The theory is that given a choice, we’d rather trade something tomorrow that had a high rank number vs a low one…
As Ed said, moving forward on a monthly basis using excel (even with 1M cells) just wasn’t possible – but ATM3 gives us that capability.
ATM 3’s only been out for the past week or so, but I’ve been able to run some tests that appear to validate the theory.
The formula (rank “Mark II” in ATM3) uses the backtest period to generate the ranking number, and ATM3 uses that number to choose the symbols to trade the following month - calculating a new number each month and then walking forward the following month.
I have a very diversified list of 365 symbols that I use for development work. I knew that VBX-3 hadn’t performed well with this list over the past few years, so I figured it would be a good test.
I set up ATM3 to trade the top 15% of the ranked symbols (55 of 365), walking forward each month from 1/1/2017 to the present using 10% allocation / trade.
It produced the significantly better results you can see in the snag below…. (ATM3 curve in green)
Final equity rose from $90,000 to $123,000
Avg Ann MDD fell from 25.3% to 4.6%
# of trades fell from 788 to 250
And the Avg % Invested fell from 40% to 12% (considerably less risk)
The better, stable, and robust performance got me thinking…
What if we allocated more to each trade to more efficiently utilize equity, rather than letting it sit on the sidelines?
So… I ran the test again, adding 20% (blue line) and 30% (now the green line) allocations;
The performance improvements are impressive, and the equity curves are very similar – they don’t improve just because a particular allocation cherry picked better trades.
With 30% allocation;
Final equity rises from $90,000 to $161,000
Avg Ann MDD falls from 25.3% to 7.4%
# of trades decreases from 788 to 186
And Avg % Invested falls from 40% to 22.8% (again, less risk)
While we might not trade at those allocations, it’s a concrete example of what’s possible with ATM3.
Just take a minute to reflect on what this demonstrated…
I gave ATM3 a big list – and it not only chose the symbols that traded the best with VBX-3 in the past, it repeated that process every month.
And then, more importantly, it charted the walk forward, out of sample results of what would’ve happened if I’d been able to use ATM3 in the past.
We’ve never had that before – and it’s simply incredible!
There are currently 7 different ranking algorithms in ATM3: CAR, HR, Consistency, Stability, Smooth, Mark I, and Mark II.
No surprise, I tried “Mark II” for this run - but I’m certainly going to try the others too. Maybe one of them will work even better…???
This was a limited test to simply see if ATM3 could find the best symbols to trade with VBX-3.
It can also find the best Market State & Strategy pairings, and even combine those with the Symbol & Strategy pairing capability this test demonstrated. So many outstanding possibilities…
I haven’t had time for all that yet – I just wanted to share these early results since they’re a concrete example of what ATM3 can do.
Imagine what’ll happen when we pair the improved ARM6 AI capabilities with ATM3….
That thought puts a smile on my face.
Mark
 Attached file : 01 Top 3.png (104KB - 2012 downloads)
Attached file : 02 Middle 3.png (108KB - 1937 downloads)
Attached file : 03 Bottom 3.png (116KB - 1940 downloads)
Attached file : 04 VBX3 ATM3 Results.png (174KB - 1901 downloads)
Attached file : 05 Higher Allocation vs Risk.png (241KB - 1892 downloads)
|
|
Jeff Brown
Posts: 31
Joined: 1/29/2008
User Profile |
Mark, Thanks for sharing this impressive test.
I have just a few questions and a request:
1) When you ran the test, did you have leverage defined? It looks like up to 300% (3x)?
2) Did you have Port Sim set to "Increase Number of Trades" or just the "Increase Trade Size"?
3) Where did you come up with such an awesome ranker? I'd love to hear more about your thinking process and what lead you to it.
With results like you've shown, you've got me wanting to test a ton of strategies that haven't performed in the past and see what ATM3 can do with them just by giving them symbols that behave well for how it works. I've already got 2 VMs running since Friday night when I installed ATM3 -- both AI strategies and a Method I'm using in live trading to see how much better it could have been. But I didn't touch the ranker. Now I want to get another test running...
|
|
mholstius
Posts: 76
Joined: 6/15/2011
User Profile |
Thanks, Jeff…
Glad to hear you’re experimenting with ATM3. Hope you’ll share what you find.
I think ATM3 will “rank” right on up there as one of the premier pieces of software from Nirvana – and that’s saying a lot.
The tests I posted above all used 2X leverage and “Increase Trade Size”.
The only difference between the black, blue, and green plots is the allocation of equity / trade.
Black used 10% / trade, blue used 20% / trade, and green used 30% / trade.
ATM3 was set to trade using VBX-3 Long and the symbols that had Mark II ranking values in the top 15% as of end of the previous month;
I’ve been working on the algorithm / formula for a couple of years now, trying to boil it down to one number that can be used to rank the “quality” of the equity curve in the past.
It took a lot of work on the part of the Nirvana developers to incorporate it into ATM3 – and it’s a testament to their skills that it runs as fast as it does.
(I just checked, and I’ve created 16,000 spreadsheets on this machine – 3,000 of them since 1/1/2018. That’s probably not a good thing… sigh.)
Good luck in your testing – we have a lot to work with, and a lot to learn with 7 different ranking algorithms to choose from;
Hope you enjoy the walk forward…
Mark
Attached file : 01 ATM3 settings.png (53KB - 1827 downloads)
Attached file : 02 ATM3 rankers.png (9KB - 1811 downloads)
|
|
BenQ
Posts: 17
Joined: 8/15/2016
Location: Kent, WA
User Profile |
Thanks for sharing this Mark. This is fantastic research.
|
|
John W
Posts: 96
Joined: 6/18/2011
Location: Sydney, NSW, Australia
User Profile |
WELL DONE MARK! THANK YOU AGAIN for your KINDNESS and GENEROSITY!
|
|
Keith Parsons
Posts: 47
Joined: 6/5/2012
Location: Durban, RSA
User Profile |
Thank u Mark for sharing. Your posts over the years have helped me ever so much.
Really appreciated.
|
|
mholstius
Posts: 76
Joined: 6/15/2011
User Profile |
First – thanks for all the kind words…
Just trying to share, since we can all move this forward a bit faster if we work together.
There are a ton of new possibilities with ATM3 – if each of us shares something new we’ll all improve that much quicker.
Ed was kind enough to share the latest build with me this afternoon, so I’d like to show what I was able to find in a few runs.
I have a strategy that I was developing a year ago that wasn’t doing very well, so I’d “put it on a shelf” in 2018.
I thought it would be an interesting challenge for ATM3, so I dug it up and ran it using the same 365 symbol list I used in my first post here.
As I expected, it didn’t do very well – but ATM3 did a nice job of improving the results;
I had time for another run before supper, so I did one that you can duplicate if you have ATM3…
The list is simply the SP500 from Omniscan using X-MFI for the strategy with the following pretty generic settings in ATM3;
No Market State (just C>0)
Allocation 10%
All Longs
Symbol-Strategy using Top 30%
Mark II
Internal FT 30 Bars
Monthly
Cutoff of 0
Below is the result;
The lower red plot is the normal 10% of Equity
The blue line is the ATM3 result using allocation of 10%
Since that result was only using 13% of equity (vs 51% for the “normal” run), I did it again and just increased the allocation (no other changes).
The green line is the result after increasing the allocation to 20%.
The improvements are quite obvious.
I have to run for the evening but wanted to share this for all of you that now have ATM3 – and those that are still trying to decide.
It’s definitely a winner... and did I forget to mention the walking forward part too?
Mark
Attached file : 00 My Strategy.png (212KB - 1677 downloads)
Attached file : 01 ATM3 SP500 Settings.png (210KB - 1677 downloads)
Attached file : 02 X-MFI.png (244KB - 1666 downloads)
|
|
SteveL
Posts: 133
Joined: 2/15/2007
Location: Boulder, CO
User Profile |
Hi, Mark.
Thanks for sharing your thoughts, tests, etc.
Early in the thread, you indicated you are running test with walk-forward testing starting in 2017. Does that apply to all the testing you are showing?
Steve L.
|
|
mholstius
Posts: 76
Joined: 6/15/2011
User Profile |
Hi Steve…
Yup – it can be hard to read in the snags…
They start on 1/1/17 and run for 3 years, except that the snag for “My Strategy” started on 1/1/16 for 4 years because I was doing something else when I grabbed that one.
Also, I forgot to include some of the settings I used in OT and Port Sim for anyone that might want to replicate this – so here are those details…
I’ve been concentrating on testing the ability of ATM3 to dynamically find the best symbols to use with strategies, and being able to verify the results of those automated choices walking forward using out of sample data is amazing.
I haven’t begun to use the optimization capabilities or the ability to find the best strategies to use with Market States - choices also made using the BT period and validated by a walk forward in out of sample data.
I thought ATM was a game changer when it came out, but this adds a whole new dimension.
Mark
Attached file : 01 Settings.png (235KB - 1634 downloads)
|
|
Buffalo
Posts: 603
Joined: 7/11/2007
Location: Braintree, MA
User Profile |
Mark
You have any idea why in the auto trend ATM3 method there is no trade ranking used? Barry?
|
|
mholstius
Posts: 76
Joined: 6/15/2011
User Profile |
Good morning Buffalo…
To be honest, I just haven’t had enough time to look at the Auto trend method, so I can’t comment.
If there’s no trade ranking, that sure sounds like something that could be modified and improve the results.
With ATM3, there are a lot of tools that can be used to advance things… so every little bit of collaboration (like your observation) can go a long way toward helping everyone become more profitable.
Here’s hoping you can find a ranker that helps…
Mark
|
|
Barry Cohen
Posts: 2308
Joined: 1/1/1900
User Profile |
| You have any idea why in the auto trend ATM3 method there is no trade ranking used? |
Jeff says, "The ATM3 automation is essentially ranking the combinations based on recent performance. While we could add another step and rank the trades based on an indicator, this particular method doesn't generate a large number of trades a day and we found the indicator ranking to be an unnecessary step."
|
|
Buffalo
Posts: 603
Joined: 7/11/2007
Location: Braintree, MA
User Profile |
Thanks Barry!
Adding in strats for more trades so I may need to add some trade ranking
ATM3 can build the symbol-strat and MS-strat combos, then if still multiple trades available this maybe good to have.
Anyone found a good trade ranker beyond VTY-PR against SPY?
|
|
james
Posts: 32
Joined: 5/9/2006
Location: victoria bc
User Profile |
I have tried every combination I can think of to replicate Marks' very detailed setup using X-MFI but when I get to the Portfolio Simualation I end up with the following notifications. 1) 'Object reference not set to an instnace of an object' and 2) 'There were no orders obtained to run a simulation, try a different source'
How do I deal with this ?
|
|
Barry Cohen
Posts: 2308
Joined: 1/1/1900
User Profile |
James, if you'd like to attach your ATM method (...OT2020\ATM) & profile (...OT2020\Profiles) I can check it out.
|
|
james
Posts: 32
Joined: 5/9/2006
Location: victoria bc
User Profile |
Barry,
It appears that the files, even if sent individually are greater then 5,000k
Is there another way of sending them ?
James
|
|
mholstius
Posts: 76
Joined: 6/15/2011
User Profile |
Hi James...
I'm pretty much out of it with the flu at the moment, but oftentimes choosing a different Focus list in the Port Sim will help with the problem of not finding data: 'There were no orders obtained to run a simulation, try a different source'
Mark
Attached file : list.png (53KB - 1151 downloads)
|
|
Barry Cohen
Posts: 2308
Joined: 1/1/1900
User Profile |
James, you can right-click a file & select Send to -> Compressed. Hopefully the compressed file is small enough afterwards, otherwise you can email me at bcohen@nirvsys.com
|
|
james
Posts: 32
Joined: 5/9/2006
Location: victoria bc
User Profile |
Barry,
Files attached
James
Attached file : ATM Auto Trend Copy MH.its.zip (1KB - 194 downloads)
|
|
james
Posts: 32
Joined: 5/9/2006
Location: victoria bc
User Profile |
Barry
Trying again to send profile
Attached file : ATM Auto Trend Copy MH.zip (664KB - 218 downloads)
|
|
james
Posts: 32
Joined: 5/9/2006
Location: victoria bc
User Profile |
Hi Mark,
Sorry to hear about the flu bug. Just finished a case of one myself
I tried your solution and no go
Hope Barry is able to solve
|
|
Barry Cohen
Posts: 2308
Joined: 1/1/1900
User Profile |
Thanks James,
In your method, for each market state, you have "Use These Strategies" enabled, but there are no strategies enabled. This is resulting in an error & I'll report it. But you can fix it by enabling at least one strategy in each market state or by selecting the "Use All Strategies in Current Profile" setting in each market state.
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
I am not happy with the % equity allocation method. It gives unrealistic equity results as the portfolio equity grows large. That comes about because the purchase orders become very large to the point where they would move the market if executed in the real market. That becomes orders of magnitude worse when we are using options. The volume for options is far smaller than for stocks. Typically the open interest for a +1 or 2 level OTM call with short expiration will be in area of 2000 or 3000 contracts. The order size used by the ATM smart calls method just released gets up to the thousands. I saw many at 1000 and 2000 and some at 3000 and 4000. This happens when the equity is large toward the end of the simulation. So just one person using that method would be giving a market order to buy close to or more than the entire open interest of a given call contract. What if more people try to use the out of the box ATM smart call method. If they use it on the same day, who knows, it could be market orders for 10 times the open interest of a given contract. The market maker would have wide open eyes, drool at the mouth, and dream about the huge profit he was going to make that day. He would set the price as high as the regulations allow. After that initial volatility, the price would fall to normal and the call buyer would take an almost certain large loss. I think use of % equity to determine allocation would result in self-limiting equity growth in the real world.
So I want to use something else that does not give crazy large orders as equity grows. I am now trying the fixed size option in port sim. However, if I give it a fixed size of 10 or 20, it will issue orders varying from 1 up to 60 or so contracts. I am not sure why that is happening. For values larger than 10 or 20 it could have something to do with using signals from multiple market states. I would like to understand better what the port sim allocation methods do. The ATM manual is extremely brief on that topic. I have not found a port sim specific manual. Does anyone know of a manual that explains the methods like fixed size, NN trade size, Kelley criteria, and so on? If so, please point me to it.
|
|
Barry Cohen
Posts: 2308
Joined: 1/1/1900
User Profile |
You're absolutely right, Gary, but when you AutoTrade % of Equity, it calculates share sizes on the right edge & according to your broker rather than 10 years of trades contributing to an absurd account balance. There are a number of ways to combat this if one wants (for instance port sim filtering, method allocation changes, & smaller test periods). Like you found, using Fixed Trade Size is one way.
The reason you're seeing varying sized contracts is due to this Blend Allocation setting. ATM Smart Calls was designed to use that setting, but you can certainly disable it if you like, & your Fixed Trade Size will work as you would expect.
Attached file : Blend.jpg (36KB - 1001 downloads)
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
Thanks Barry.
Yes I am trying some method allocation changes. There are various available. but I have not found documentation that describes what they do. I need to know that to make my experimentation meaningful. Where can I find that documentation?
It is not obvious from reading the name of the allocation. For example when I look up Kelly criteria on the web it gives me the following:
There are two basic components to the Kelly Criterion. The first is the win probability, or the probability that any given trade will return a positive amount. The second is the win/loss ratio. This ratio is the total positive trade amounts divided by the total negative trade amounts.
These two factors are then put into Kelly's equation which is:
K% = W - (1-W)/R
where:
K%=The Kelly percentage
W=Winning probability
R=Win/loss ratio
But when selecting Kelly criteria in portsim it asks for the following:
initial amount, multiplier and warmup trades. That has no recognizable relation to what the web says about Kelly criteria. So how do I know what those are and how they are used in our specific portsim?
I need the documentation that describes those allocation methods.
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
I should have included more info from the web definition of Kelly criteria to make that equation reasonably calculated:
Putting It to Use
Kelly's system can be put to use by following these simple steps:
1. Access your last 50 to 60 trades. You can do this by simply asking your broker or by checking your recent tax returns if you claimed all your trades. If you are a more advanced trader with a developed trading system, simply back test the system and take those results. The Kelly Criterion assumes, however, that you trade the same way now that you traded in the past.
2. Calculate "W"—the winning probability. To do this, divide the number of trades that returned a positive amount by your total number of trades (both positive and negative). This number is better as it gets closer to one. Any number above 0.50 is good.
3. Calculate "R"—the win/loss ratio. Do this by dividing the average gain of the positive trades by the average loss of the negative trades. You should have a number greater than one if your average gains are greater than your average losses. A result less than one is manageable as long as the number of losing trades remains small.
Input these numbers into Kelly's equation above.
Record the Kelly percentage that the equation returns.
Since portsim has all of the backtest available, it seems like this equation could have been used but based on the significant difference in parameters used, apparently a very different calculation was used in portsim.
|
|
Barry Cohen
Posts: 2308
Joined: 1/1/1900
User Profile |
While it isn't very extensive, what we have documented for them is under Help -> OmniTrader Help -> Portfolio Simulations -> Allocation Methods.
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
Thank you Barry
Yup, it is not extensive but still helpful for the methods described there. However, there are 3 methods now available that have no mention in the doc you defined. These are:
NN trade size
NN % of equity
NSP-35 method
Are these described anywhere. two of those look like something I would like to try.
We want to do all we can to make portsim runs representative of what we will see when trading on the right edge. That is why you went to the trouble of all the walk forward operations in ATM3. I believe % equity is unequivocally not representative of what we will see on the right edge. Yes it will be using the broker equity size. But obviously we want that to grow. The more it grows, the larger the size of orders ATM will generate and then the more the market maker will steal our profits on market orders. So, I am searching for alternative allocation methods that avoid that problem. I have found some that look promising. I'll post those results when I have collected a reasonable set.
In the meanwhile, thanks for you help in finding documentation on the allocation methods. Hope you can find something on those that are missing.
|
|
Barry Cohen
Posts: 2308
Joined: 1/1/1900
User Profile |
NN stands for Neural Network, so those methods come with ARM from the Nirvana Club. From the ARM User Guide...
ARM-enabled versions of OmniTrader have access to allocation methods within the Portfolio Simulation mode that make use of the NN Score prediction. These methods, called NN Trade Size and NN % of Equity are derived from the Fixed Trade Size and % of Equity methods, respectively.
In the NN Trade Size method, the number of shares used in the simulation is calculated for each signal as a linear function of its Neural Network Score. The parameters for this method define the linear function by providing the Trade Size for two different Score values (Low and High). Because a higher NN Score implies a prediction of a better signal, the allocation should increase with the Score.
Similarly, in the NN % of Equity method, the percentage of equity used in the simulation is calculated for each signal as a linear function of its Neural Network Score.
|
|
Barry Cohen
Posts: 2308
Joined: 1/1/1900
User Profile |
NSP-35 also was released to the Nirvana Club. In the NSP-35 User Guide...
One of the features of the NSP-35 trading system is a new money management method, which is used to manage the large number of trades generated by the NSP-35 Strategy. To reduce the correlation of trades taken, the method sets a cap on the number of new positions opened on any single trading day, thus preventing overexposure to market wide events.
The NSP-35 Allocation Method for OmniTrader's portfolio simulation allows users to limit the number of new positions taken on any given day. Parameters allow the user to set the percentage of equity allocated to each trade and the number of new positions allowed on each day.
• Percentage per Trade—Specifies the percentage of equity to allocate to each trade.
• Positions per Day—Specifies the maximum number of new positions that can be taken on a single day.
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
Thank you very much Barry. That info is helpful.
I found one more allocation method available in portsim but not documented.
That is the fixed risk method. Could you please state how that works and what the parameters are used for.
|
|
Barry Cohen
Posts: 2308
Joined: 1/1/1900
User Profile |
Sure thing, Fixed Risk comes with TurtleTrader, so just look at page 17 of that user guide. I'd post it here, but there's a couple pages of information on it.
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
So here are some results from my search for a trade size allocation method that is not % of equity. I have attached a word file with the results info. For each different attempt, I first show the equity curve with the associated stats. After that, I show the particular settings that were used to get the equity curve. After that I sometimes show the last few trades from that run. I would have liked to show the entire set of trades for all of the forward test but when I tried to do an export, it looked like it was going to take very long to perform. So I just did a copy of the last few since that is where I saw the % of equity method go into extremely large quantities of contracts that would have driven the price way up due to being almost all or more than the open interest for that contract. After that I have a brief comment regarding my opinion of the allocation method.
I hope this is useful for you.
Attached file : ATM3 smart calls allocation analysis.docx (1982KB - 237 downloads)
|
|
Buffalo
Posts: 603
Joined: 7/11/2007
Location: Braintree, MA
User Profile |
Thank you! If I find anything of use I'll post
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
I thought i would give a very small snapshot of experience using ATM3 on the right edge. I did some manual paper trading at TDameritrade. At the time I didn't have a way of seeing the trades that ATM 3 generated. But I thought it would be useful to just use the symbols that ATM put a buy signal on and produce my own trade that closely mimicked what ATM 3 would do based on the trade plan in ATM3.
So I generated buy to open calls with a strike price 1 or 2 steps out of the money (above the current price) and expiration 1 or 2 weeks away. I made them limit orders at the ask price. I used a standard quantity of 10 contracts for each order.
There was a big drop in the market on Monday so I expected ATM3 would have a bundle of orders on Tuesday 2/25. It did. There were 11 symbols with an open green triangle. So I generated those 11 orders at about 9:30 our time. All but one of those orders filled. The result was a gain of about $3000 until the tsunami of selling hit the market. That dropped the result to a loss of about $9000. I ran ATM3 again with the new EOD option data. It generated 32 new forming signals and kept the original 11 open.
The next day on 2/26 I entered those 32 new orders with the same form as described in paragraph above. Again at about 9:30 our time. All but one of those orders filled although slowly through the day. So with all the open orders the result was initially a gain of about $8000. But it turned down badly as the day progressed to a loss of about $45000. All but 2 of those symbols are now in a loss. Those 2 are ADSK with a gain of $778 and PFE with a gain of $77. The others are in at a loss in the range of $132 to $4033. There was one outlier loss. That was GOOG with a loss of $8000.
So trading buy to open calls can be treacherous when done in the middle of a market panic.
I have now revised the ATM3 tradeplan to use limits set at the middle of the bid-ask spread. I will try autotrade to paper with that. That will give a better picture of what ATM3 smart calls will do on the right edge. However, if the tsunami of selling is still going on, I would not consider this to be a fair test. I would just turn it off while the external event is ongoing.
By the way Barry, I am not sure I was right to trade on the forming signal. Does ATM3 do that or wait for the solid green triangle?
|
|
mholstius
Posts: 76
Joined: 6/15/2011
User Profile |
Thanks for all your work and especially for sharing your word doc, Gary… lots of good info there!
Can you clarify what the options cost you?
You state that you had an initial gain of about $8,000 that progressed to a loss of about $45,000.
I’m assuming(?) that the options cost less than $45,000 – and that your actual loss if/when held to expiration would be limited to your cost.
Thanks again for sharing your experiences,
Mark
|
|
Barry Cohen
Posts: 2308
Joined: 1/1/1900
User Profile |
Very nice, Gary, but I think you might have made some mistakes. Just from a quick glance on that word doc, your results for the first 2 curves look identical: NN Trade Size and Fixed Trade Size. And the results for the last 2 also look identical: Fixed Risk and Kelly Criteria.
| By the way Barry, I am not sure I was right to trade on the forming signal. Does ATM3 do that or wait for the solid green triangle? |
ATM3 is just functionality. It'd be more correct to ask if Port Sim or AutoTrade trades on the forming signal. Port Sim does. AutoTrade has a setting for trading forming vs new signals.
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
Barry
I am prone to mistakes. I will check those out. Thanks for finding them.
OK, then it is our option to choose forming or new signals to make the trade.
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
Mark
I am currently showing a $67,322 loss which is 48% of the cost so cost was $140254. btw, the loss is slowly getting a little better. It was over $80,000 for a while.
No the options cost more than the current loss. If the options were held to expiration, they would expire worthless and the loss would be 100% of the cost. We cannot lose more than the cost when buying calls.
I have to admit I would not have the courage to put out such a large bet in the real world. I am and I suppose all of us are hurting with the black swan upon us. I have hedges with gold and T-bonds that are doing well. but I didn't buy enough of that insurance. I had a March put on SPY but sold that when the market made a sharp turn up. I have trailing stops under most of my investments. Unfortunatly some of those ase getting filled.
btw, I have changed my ATM3 test to use limit orders and to trade both short and long. I am in process of trying that with autotrade into a paper account. Will let you know what happens.
In my opinion, the initial gain experienced with buying calls on the symbols ATM3 listed as buy to open calls shows that, technically, the signal was well placed by ATM3. But even the best technical analysis will not overcome a black swan.
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
I already have an update on my new test with limit orders and both long and shorts enabled.
ATM3 issued 5 long orders and no shorts. Of the 5 long limit orders, only 1 has executed at this time. That was 31 contracts of MDLZ Mar3 strike 56.5 with a cost of $3040.50. It has a current loss of 11.3%.
The other 4 have not yet filled. I did this test with autotrade into an OT paper account. I am wondering whether OT is going to see ongoing options data. I am subscribed to options data but not really sure if it keeps streaming in. If not those limit orders will not fill during this day. Does anyone know how that works?
I might have to go back to using manual trades in TDameritrade or maybe open an IB paper account.
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
Barry
I attached a word document showing the modifications I made to ATM3 smart calls to use limit orders, fixed price allocation and to trade both longs and shorts. Did I do this right?
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
it didn't attach my word document before.
Attached file : modified ATM3 smart calls.docx (604KB - 195 downloads)
|
|
Barry Cohen
Posts: 2308
Joined: 1/1/1900
User Profile |
| I am wondering whether OT is going to see ongoing options data. I am subscribed to options data but not really sure if it keeps streaming in. If not those limit orders will not fill during this day. Does anyone know how that works? |
In EOD profiles, data does not ever update automatically - that functionality is the most fundamental difference between RT profiles. IN EOD profiles the ToDo List (or On Demand) is always needed to update whether run manually or with AutoTrade.
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
Here is another update. ATM3 smart calls issued some more buy to open calls and some closes yesterday. Since the market is tanking and buying a call is a sure road to a loss, I did not bother to enter those orders. I did take a look at the bid-ask for a few of the closes. Some were at 90 to 95% loss and others were at around a 50% loss. I did not look at all of them. There were 15. Today ATM3 issued 2 more buy to open calls. Again I did not bother to enter them.
I think I have it correctly configured to trade in both directions (showed you my configuration in a previous post) so not sure why ATM3 does not issue some buy to open puts. That would be the only money maker in this market.
I saw some posts in other threads indicating a couple other folks were going to try ATM in their small accounts. If so, how did you do.
It seems to me that ATM3 needs some filtering and ranking to be able to come somewhere close to match on the right edge what we see in portsim. Also needs to get puts engaged either by use of the short side of the trade plan or with the hedge tab we saw in Ed's beta version. Of course, the market this week may not be a fair test. But that is with 20/20 hindsight.
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
Here is a second version of my search for an allocation method that produces realistic results that one can reasonably expect will represent what will be seen on the right edge. I corrected the errors Barry found. Thank you Barry.
There is still a lot of experimentation left to do with variations of the methods that look promising. I hope to get to that eventually. But before I do that, I wanted to restart my test of how ATM3 handles the right edge. I started that last week but gave it up because the market was tanking. I thought that was a market state too exceptional to be a reasonable test of performance. So will wait a bit for the market to settle.
BTW, I would like to see Nirvana take up the practice of testing new products on the right edge. It would not be a big effort. Just dedicate a set of PCs to do that with autotrade (assuming you would be testing more than one product at a time). Turn it on to trade in a paper account and come back in a month. All we ever see is portsim runs. Right edge results would make the pitch undeniably impressive.
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
I just noticed that my attachment did not make it into the previous message. so will try again.
I restarted my right edge test of ATM3 using limit orders. I use autotrade so I can see the orders placed by ATM3. Then i use TDAmeritrade to manually place the orders in a paper account.
Today it had one order for 4 call contracts of CTXS. That is up 26% so far today. That is very good to find an upstock in a major down market.
Attached file : ATM3 smart calls allocation analysis.docx (2700KB - 209 downloads)
|
|
mholstius
Posts: 76
Joined: 6/15/2011
User Profile |
That's a very extensive document you attached, Gary...
Thanks for all your work putting it together and sharing it.
Mark
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
Thanks much Mark. That means a lot from a guy that gives us so very much.
btw CTXS continues up in spite of a crashing market. Now it is up 90%. Encouraging. I'll try to keep this test going. We'll see how it plays out.
|
|
james
Posts: 32
Joined: 5/9/2006
Location: victoria bc
User Profile |
I have attempted to copy Mark's ATM example from earlier in this thread.
I have copied the Marks' settings and rechecked
I am attaching the my results along with Marks'. My result is not similar to Marks' and I cannot figure out why
Sorry for my lack of control with Snagit. Mark would give that a D-
Does anyone have an idea where I should look to justify the great difference
Attached file : Compare.pdf (332KB - 194 downloads)
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
Now we are finished with the second day of the test. Today was another bad day for the market but a fairly good day for ATM3. It gave me 11 orders for long calls. As mentioned before I am using limit orders so some orders may not be filled. That was the case for 4 of them. One of those expired since I had set it to last only a day. The others I set for GTC so they are still working. I have attached a current position statement from TD Ameritrade. CTXS is still shining. It was up over $2800 for a while yesterday. if I was trading in alive account, I believe I would have just taken that gain without waiting for an ATM3 close. The others are mixed with some gainers and some losers. Without the outlier of CTXS, the net gain was $318.27 today. And that in a down market. The total gain so far is $2931.27and the cost was $15856.
I should make a point about this testing. I am using EOD data. So I get just one data point of options data per day. Options are volatile and we are in a volatile market so option volatility is magnified. Thus it is not likely that the exact order from ATM3 will be filled as expected by ATM3. Even if I was using market orders direct into a broker the next day, it is not likely the order would be filled as portsim saw it. I found that on some symbols, the strike price from ATM3 had moved to ITM territory when I was doing the manual orders in TDAmeritrade. ATM3 wants to use a strike price one or two levels into OTM territory. So, to stay true to what ATM3 would want, I picked a strike at 1 level above current price with the expiration date chosen by ATM3. Also, I wish to use only limit orders to trade options. I set the strategies that ATM3 is using to use limit orders at the midpoint of the bid-ask spread. I saw that the ask price when I was doing the manual order was generally different than it was in the order in autotrade. So when doing the manual trades, I set the limit to the mid-point of the currrent spread for the strike price chosen. That seems to be working out since most of the manual orders are filling.
Attached file : 2020-03-06_19-58-31.jpg (115KB - 182 downloads)
|
|
gbarber
Posts: 28
Joined: 2/26/2018
Location: PEARLAND, TX
User Profile |
One thing I notice is that you have plotted for current day data. That will make the end of the curves different. I am not sure what the last data point was for Mark's material.
Another point is that I don't see the plot for autotrend copy MH 20. Maybe it is hidden behind another plot.
Another possibility is that it appears you are using a different scale than Mark used.
The shape of the curves seem to be similar to what Mark shows until 2019.
|