OmniVest User Forums
General Discussion Topics
Proprietary Strategies
28 replies, 2631 viewings
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OmniVest User Forums
General Discussion Topics
Proprietary Strategies
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Last Activity 4/15/2019 7:43 PM 28 replies, 2631 viewings |
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Alan Faris Member  Posts: 38 Joined: 10/11/2012 Location: Los Angeles, CA  User Profile |
The automation of the entire trading work flow provided by OmniVest/TradeProcessor is one of it's best features. I think it would be very attractive to the members if they could add their OmniScans/Strategies to the Nirvana strategies offered in OmniVest as long as only they and members they designate can access them. This would take storage and processing time, if a point is reached where a new server is needed I don't think anyone would object to a charge considering the huge time savings it would provide. Alan Faris | |||
| Alan Faris Member Posts: 38 Joined: 10/11/2012 Location: Los Angeles, CA User Profile |
If Elite Trader is used to handle proprietary strategies inside OmniVest will the Trade Processor first run the OmniScan associated with the strategy? Alan Faris | |||
| Jim Dean Elite  Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
I seriously doubt that OmniScan in its conventional form is part of the OVest process. If it was, we'd have dynamic Lists now. I'd assume that the ET strats will have option of running on any of the eventual canned, hopefully dynamic Lists. If you need a scan, I'd choose a BIG list and build the tech scan criteria into the Filter Block. If you need fundam scan you're probably outta luck. Also it's my guess that you can't use compiled DLL's with the ET interface either tho I'd love to hear that I'm wrong about that. Just guesses. Hopefully a specific response to both of these things will appear. | |||
| Steve Mayo Legend  Posts: 414 Joined: 10/11/2012 Location: Austin, TX User Profile |
Even if I'm wrong, Ed has said that any of us can run OT or VT on a personal machine, have those signals sent to Elite Trader, to which uses can then subscribe and use in OV. If 100 people want to pay me $5-10 a month, I'll be happy to set up a dynamic list and send the signals to OV. :-) I think we'll get all these wonderful things eventually. We've just got to get beyond the Alpha stage and have a stable reliable platform (and a broker that will support it) first. | |||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
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| Ed Downs Elite  Posts: 645 Joined: 2/7/2007 Location: Austin, Texas User Profile |
Jim - What's an "HRE" day? | |||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
I think we have nomenclature issues here. In all my "List" discussions here and in the other threads, I am referring to the FOCUS LISTS that the Strategy is processing, and the need for that to be dynamic - ie kept up to date for symbol-population each new day ... like your liquidity list. The "HRE bar" thing was a shorthand way of saying that makeup of the focus-lists do not change across the historical simulation ... the symbols in the FL are determined by the logic applied "today" (Hard Right Edge) ... then those "today" symbols are used for the entire 12 years ... clearly not too good, for your "liquid stocks" list, for instance. I hope that clears things up. | |||
| Ger Regular Posts: 62 Joined: 10/11/2012 Location: Austin, TX User Profile |
1) I have stitched together strategies in OV that over a 12 year backtest perform really well, for example : MDD<10, TPM<100, CAR>30. 2) I then backtest this portfolio for year to date performance, and results are somewhat dimenished. 3) Now I backtest for the last 60 days and results look really bad. So now I optimize for the last 60 days (using only "both" direction strategies and results are outstanding, BUT...when I backtest this strategy over one year and 12 years, the results are terrible. My question to anybody who would care to chime in is: 1) Is it best to pick a strategy(s) that are very robust over a 12 year backtest and just let it run, even in obvious downturns like now where it losses money? Or 2) Try to adjust the strategies to fit the market conditions? Yes, I know this is very hard to do. regards, Gerry | |||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=4059 | |||
| Ger Regular Posts: 62 Joined: 10/11/2012 Location: Austin, TX User Profile |
To be able to b do this in OV, Nirvana must do the following enhancement(s): 1) must be able to pick or isolate a timeframe to test startegies. This could be done with a simple "sliding" bar beneath the time axis. 2) It would be tremendously useful to have similar "sliding" bars on all the independent paramenters such as TPM,MDD,CAR,%invested, etc. For example , you could adjust a parameter like TPM to just "enable TPM between 10% and 50% of the entire range of all values of TPM (just an example). 3) Longer term, maybe OV would allow us to use "Strategy Wizard" to autoscan and find local optimal conditions. Gerry | |||
| Ger Regular Posts: 62 Joined: 10/11/2012 Location: Austin, TX User Profile |
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| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
The only problem that I see with what you are suggesting is that sometimes the market is so strongly against the signal direction that NO symbols (or very few) would qualify. But if the PERCENTAGE allocation was still active for that strat/portfolio, then it would focus a LOT of shares on a FEW stocks. Not very Omni-Vesty if you get my drift. We really do need the curve generation to allow us to input multiple date ranges that have gaps. That would provide a huge amount of flexibility. | |||
| Alan Faris Member Posts: 38 Joined: 10/11/2012 Location: Los Angeles, CA User Profile |
In addition my software analyizes 300 + strategies at a time so I can rank the strategies vs market behavior. Over the years I've made frequent postings of my results. I can't support public software, it's a big job. Nirvana certainly could offer a product, it's mostly straightforward database manipulation, the only trick is for 300+ strategies it's a very large database so tricks are required. Alan Faris | |||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
The solution I suggested is much simpler and not at all "black-boxy", and is eminently do-able in OT, by defining fancy Filter Block rules. It would be do-able in OVest if the recommendations I made in the other thread are implemented. | |||
| Alan Faris Member Posts: 38 Joined: 10/11/2012 Location: Los Angeles, CA User Profile |
I don't understand how Elite Trader works now (without joining other strategies). Do we select "All Optionable US Stocks" for instance and then provide additional filtering in our strategy. Omni Scan would seem to be more efficient. Alan Faris | |||
| Ger Regular Posts: 62 Joined: 10/11/2012 Location: Austin, TX User Profile |
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| Alan Faris Member Posts: 38 Joined: 10/11/2012 Location: Los Angeles, CA User Profile |
I went back thru the manuals for the last decade of plug ins and found the strategies which were identified as trending, breakout, swing etc. When I tested these strategies I often found them to be more profitable at a trade behavior other than previously thought. You can do this by eyeball and by clicking on the trade exit and checking it's return. If you can define ex-post (after the fact) that a trade had a certain behavior then you could determine a strategies performance for each trade type. You could then find the best strategies for each trade type. I have SDK software which displays the performance of each strategy in the profile over the last 6 weeks. The results are displayed on a percent scale with all strategies normalized at zero on the left side. It's pretty obvious which strategies should be used currently. Alan Faris | |||
| Barry Cohen Icon Posts: 1844 Joined: 10/11/2012 User Profile |
Certainly. Have you heard of T3, NSP31, NSP41, or RTM7 for example? They are proprietary strategies, but customers are still able to modify the blocks in them. | |||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
Here's how I read the question ... can we provide custom Filter Block rules FROM THE OMNIVEST WEBSITE INTERFACE ... without having to create whole new strategies using the proprietary blocks/components and then add them to the mix via Elite Trader. These Filters would for instance be designed to keep a particular Strategy ( or maybe an entire Portfolio) OUT of the market when the market's price action did not seem to be in an appropriate Market State for that Strategy (or Portfolio). Thanks. | |||
| Barry Cohen Icon Posts: 1844 Joined: 10/11/2012 User Profile |
Currently you just place trades in your OT/VT while connected to Elite & the trades are received & displayed on the site. The user would use whatever list of symbols they wanted & just display on the Elite site what list they were using. That could all change though, we'll see. | |||
| Barry Cohen Icon Posts: 1844 Joined: 10/11/2012 User Profile |
I don't know what the future holds, but that isn't currently possible. | |||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
Is the ability for customers to provide some market-state-kind-of Filter Rules at the Strategy &/or Portfolio level currently IN THE LIST of things being CONSIDERED for the future? | |||
| Tony Birchfield Member Posts: 18 Joined: 12/1/2014 Location: Phoenix User Profile |
I did a search in effort to see what is going on with elite trader. Of course, most development is now surrounded around OV. So that seems like a good place to start. 1.) Does anyone know if elite trader is operational. If not when? 2.) Would appreciate feedback on possible timeline to make user created strategy trades available to OV by way of Elite Trader as originally discussed? Thank You, Tony | |||
| Barry Cohen Icon Posts: 1844 Joined: 10/11/2012 User Profile |
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| Juan Regular Posts: 74 Joined: 10/11/2012 Location: Round Rock, Tx User Profile |
For example, Nirvana team has several dozen of their own strategies that go to OmniVest like R1, R2, ...R24, T1, DAR, IT1, IT2, etc...Each of these strategies has it's own trade plan and stop loss logic. What I hope Nirvana allows us to do is migrate from OmniTrader our own strategies that we develop in OmniTrader. Then we can upload these to OmniVest and bash it to our dynamic lists or Historical lists in Strategy Lab. We could either slightly edit existing strategies. For example, on several occasions, I've wished I could tinker with the stop loss logic and tweak it to get exclude some badly performing trades. Or, I could come up with whole brand new strategies. For example, the new "Fibonacci Plug-in" which came with OT 2015 has a lot of promise. I would really like to explore this area but I can't use it in OmniVest, yet. The key thing would be is to allow these strategies stay separate from the LISTs. The biggest benefit would be in OmniVest's "Strategy Lab" which would give us the ability to upload our new custom built strategy and bash it to all the dynamic or historic lists available. Note, this functionality is not even available in OmniTrader. So this would be huge in OmniVest. Barry can you confirm if this is the direction Nirvana is moving in? Thanks. Juan |
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