OmniVest User Forums
User-Created Portfolios
Great problem - too much Equity
14 replies, 1496 viewings
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OmniVest User Forums
User-Created Portfolios
Great problem - too much Equity
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Last Activity 7/22/2015 8:11 AM 14 replies, 1496 viewings |
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Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
I’d like to lower it to keep the portfolio size down to enable more reasonable equity amounts while testing the limitations over different time periods. It’s a nice problem to have – many thanks to Ed and everyone involved with OV!!! Never thought I’d see $4.5 Billion equity levels… My interpretation is that there are 3 areas we can influence with the limitations as they exist. 1. The “reasonable trade size” based on Daily Avg Volume of the symbol 2. Risk limits – how much exposure to any particular symbol 3. Symbol characteristics (price, volume) While I can just start the run over again in 2007 with $100,000 and then not trigger the “Max trade Size as %” limit, I’d like to be able to adjust the starting equity size to show the true underlying performance (by keeping the equity level lower and avoiding that limit). Mark [Edited by Mark Holstius on 1/22/2013 12:37 PM]  Attached file : 01_Sim_starting_equity.jpg (719KB - 822 downloads) Attached file : 02_Sim_limitations.jpg (755KB - 817 downloads) Attached file : 03_Sim_restarted_in_2007.jpg (705KB - 803 downloads) | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
You are right, the starting equity in OV is always 100K and the ending equity is unchanged no matter what starting equity at commencement. I believe this is a bug but this is still awaiting comment by Nirvana. See http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=4195&posts=1 John | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Guess I stuck this in the wrong place - you posted a good example & if I'd seen it I would've added mine there. Mark | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
Yes, it would be great to simulate smaller accounts AND margin costs. Small accounts trading RTM strategies can crater even with small commissions. Add in margin costs and it might be impractical to trade anything less than a $50K account. (GXTrader flat-rate commissions really help, but I'd sure like to simulate the margin costs...) All topics discussed in other threads... | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I’m “late to the party” in the forum here, but learning a lot catching up with all the work that so many of you have done troubleshooting and improving OV. I agree we could be involved in something very significant. I had time this past weekend, so started with your post about sorting by CAR. I sorted by Max & Min / Actual & Normalized: giving 16 possible combinations and chose 10 symbols in each, compared their equity curves in pairs, and then repeated that process. I was left with 5 groups each containing 10 symbols: I started with the 10 in the “CAR Max Actual” (Norm = Normalized in the grid above) and then - very tediously – tried adding each strategy individually, checked results, and kept the ones that improved the ending equity. Curve fitting at its finest - but with an ending equity of $4.5B you have a lot of room for error… My final list has 19 strategies in it, but even that group can be improved depending on the time period and filters chosen. As an example, here’s my group starting in 2007 with my filters followed by the same group with your filters: Since each strategy’s benefit depends on how it “meshes” with the current ones you’re using (duh), the combinations are infinite. Some strategies that didn’t look good actually added a lot when added to the group as they “filled the gaps”. I’m hoping we can come up with some standard “sort & mix” that will be consistent. Lots of work to do in that regard, but it sure looks promising. In hopes that someone can help with perfecting the “sort & mix” – here’s the list that gave the $4.5B. I bet we’ll be able to improve on the results… If you’re reading this Ed – thanks for the tools!!! Mark [Edited by Mark Holstius on 1/23/2013 11:59 AM] Attached file : 01_Compare_Groups_of_10.jpg (258KB - 670 downloads) Attached file : 02_2007_with_my_filters.jpg (655KB - 662 downloads) Attached file : 03_2007_with_Keith_filters.jpg (641KB - 657 downloads) Attached file : 04_Strategy_List.jpg (733KB - 701 downloads) | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
As I said, I'm playing catchup. Has anyone confirmed that these strategies all have "real" tradeplans and exits and not just "Next Pivot Point" statistics? Mark | ||
| Jim Dean Elite  Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
I've asked that question elsewhere, even more specifically ... but have not gotten an answer yet. I asked whether tradeplans were used vs orders blocks, and whether the exit methods differed substantially from one strat to another. I had just "assumed" that Market Reversal (NPP) exits would be a no-no ... but it never hurts to make sure :~) [Edited by Jim Dean on 1/23/2013 12:34 PM] | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
When I looked at your settings particularly "Max Trade Size as a Percentage of Daily Volume" I think there is something for all of us to think about. As a purely personal observation from trading a lot of small stocks over the last 12 years, my belief is that if you put on a trade at 3% or more of the daily volume then it starts to move the price of the stock. Also I’ve found it’s even worse when trying to sell to close the position - the buyers are a lot less abundant if 3% of the stock is suddenly up for sale! That means that the back tested simulation of opening prices won't hold up in real market conditions if a handful of people using OV set their OV trades to buy up to 1% or 2% of the "Max Trade Size as a Percentage of Daily Volume". In the Russell 1000 I ran an OmniScan to find out how many stocks on average traded less than 1000K,2000K and 3000K per day [e.g. Avg(C,14)*Avg(V,14) < 1000000]. There were 45 in the less than 1000K category, 177 in the less than 2000K category, and 298 in the less than 3000K category. Using my belief that 3% is the maximum to trade before the price starts to move then 3% of these 3 categories is 30K, 60K and 90K respectively. For instance, let's imagine there are a number of people with a 100K account using OV. If the average trade size for these people is 10K then if only 3 of them traded the same stock, that would be 3% or more of the daily volume of the 45 stocks in the less than 1000K traded per day category. I’ll let you do the math for the other 2 categories. In Ed's simulation settings I've noticed he has often used 0.1% of the "Max Trade Size as a Percentage of Daily Volume", this would mean that 30 people using this setting could buy the less than 1000K category, or 60 could buy into the 2000K category or 90 people buy into the less than 3000K category before the risk of slippage versus the simulation set in. Note also that 90 people buying into the less than 45 stocks in the less than 1000K traded per day category would definitely move the market (more than 9% of the daily traded value) I don’t know what stocks are in each of the OV Russell lists, perhaps the smaller traded stocks have been filtered out by Nirvana already. For the larger stocks in the SP100 or NAS100 whether you set at 0.1% or 1% or 2% should make no difference because their traded value each day is enormous. I encourage you to run your strategies again using 0.1% to better simulate what is likely to happen when OV customers start real trading, because the strategy performance on smaller stock symbol lists will likely decline in future if there is a good uptake of OV. Also I encourage you to use 0.1% on smaller symbol lists anyway or you might find out you are the big buyer and seller in the real market! Hope this helps. John | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Actually, that was one of my considerations in publishing that list of strategies: what happens if a large # of traders using this all put in their orders at the open? Obviously, it could have an effect. At this point in the “development / reflection / and learning” stage with OV, I hope the odds of someone smarter than I seeing something I don’t and passing it on is worth the “risk” of sharing… My sense is that there are better portfolios possible if we help each other. I ran the sim with the 0.1 - here’s the difference on the 2007 run… Mark [Edited by Mark Holstius on 1/23/2013 8:02 PM] Attached file : 01_Max_Trade_Size_Changed.jpg (1467KB - 567 downloads) | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
You rock! Thanks! I have put off spending tons of time picking strategies and portfolios that compliment each other due to the alpha/beta state of affairs. I didn't want to invest a ton of time only to have OV strategies or processing change with or without notice. I think it's getting closer to real, so I better revisit the issue with an eye for finding something I want to trade for real. W.r.t. stops - I've not identified any broker stop loss (fail safe). Nor do I believe OV or TP maintain or monitor internal exits intraday. (Features offered by trade plans and integrated brokerage.) My guess is that this will improve with time, though Ed and team have not commented on posts re. this issue. So I think really basic EOD trade plans for now. Cheers! | ||
| Jürgen Flach Regular Posts: 73 Joined: 10/11/2012 Location: Hoechberg (Germany) User Profile |
One comment from my side is: * what I see on the strategies page in the calculation summary line above the equity curve seems to be depending on the sequence of steps selection account or portfolio on the page, e.g. which account or portfolio was enabled on the strategies page at the last logout and stored for the new login, changing account or portfolio after new login etc. - so don't believe every time what you see - it depends ... I've an question regarding ending equities on different pages: I see the mentioned ending equity on the strategies page 7.5 billion. I stored the strategies selection in a portfolio and afterwards I looked at the results on the portfolios page. There I see an ending equity of 52 million for the stored portfolio -> can anyone clarify why there is a difference and which figure in the end is correct? strategies page portfolios page Jürgen [Edited by Jürgen Flach on 1/24/2013 6:00 AM] Attached file : strategies_page.png (6KB - 497 downloads) Attached file : portfolios_page.png (3KB - 479 downloads) | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I hadn't tried just using the top 20 CAR Normalized - but I had a problem when I tried it to see if the selection order affected anything. When I just chose the top 20 CAR Normalized in order and ran it from 2000 to present I got Ending Equity of $2,648,138,157: That seemed far off from what you had, so I did it again using 0 commissions and got $7,036,513,294 (a bit closer): I don't know if the lack of commissions is giving the difference between the Strategy and Portfolios pages, but you might try running it again after checking your account settings...??? I'm curious to see what you get. Mark [Edited by Mark Holstius on 1/24/2013 9:32 AM] Attached file : 01_004_Commissions.jpg (909KB - 465 downloads) Attached file : 02_No_Commissions.jpg (903KB - 464 downloads) | ||
| Jürgen Flach Regular Posts: 73 Joined: 10/11/2012 Location: Hoechberg (Germany) User Profile |
i think you're right with commissions. I have the IB commissions in place and the main difference between your settings and my settings is that IB has a cap for the commissions of 0.5% of trade volume. I added a screenshot of the IB commission information and you may check if I did something wrong putting it in the OV account commission setting. If i'm right the IB commission cap of 0.5% of trade value comes only into play if penny stocks are traded, means stocks less than 1$. If I got it wrong, somone might correct me. If these trades are filtered out for long and short the ending equity is far less. There is also the screenshot from my OV screen incl. account settings. But that doesn't help me understanding the ending equity difference on strategies and portfolio page which is huge difference. Jürgen [Edited by Jürgen Flach on 1/24/2013 11:35 AM] Attached file : ib_commissions.png (3KB - 451 downloads) Attached file : screenshot.png (135KB - 455 downloads) | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Maybe you should try putting 0.005 in the second line - could be a bug where OV ignores that first line with 0.005 if the bottom lines are checked? Mark [Edited by Mark Holstius on 1/24/2013 12:31 PM] Attached file : 01_Cost_per_Share.jpg (252KB - 433 downloads) | ||
| Jürgen Flach Regular Posts: 73 Joined: 10/11/2012 Location: Hoechberg (Germany) User Profile |
I entered the additional commission setting as proposed and checked the respective line. After storing the settings the simulation run and the result was the same as before 7.4 billion. Jürgen |
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