Juan Regular  Posts: 74 Joined: 10/11/2012 Location: Round Rock, Tx  User Profile | This thread has zeroed in on what I think is the "Achilles' heel" of OV. Say 500 OV users go in regularly on the same symbols over and over again. Most certainly this will reduce returns especially for lower cap stocks. Here's a solution that I think would work to reduce this. Since OV and TP are supposed to work as an automated solution, why do we have to be limited to buying and selling at the 8:30am CST OPEN? Why not recreate each strategy to run and execute trades at say 8:30am market open (current default), 9:30am, 10:30am, 12noon, 1:30pm, 2:30pm, and 3pm CST? The idea is really quite simple. For each strategy, run historical equity curves based on buy/sell signals at "after market hours", 9am, 10am, 11:30am, 1pm, 2pm, 2:30pm CST based on real-time data and then execute these 30 minutes later at market open 8:30am (current default), 9:30am, 10:30am, 12noon, 1:30pm, 2:30pm, and 3pm (market close). For example, pretend at exactly 2pm is when the strategies are run and trades are determined, then execute these trades at 2:30pm CST. Take all the strategies and split them across these designated time frames and build the historical equity curves based on this. Then we can select these and reduce the impact of say 500 users buying/selling the same symbol at 8:30am CST. For example, the strategy R18-B-SP, Nirvana would build seven new strategies with the following names: R18-B-SP(keep orig name which runs at 8:30am), R18-B-SP_0930AM, R18-B-SP_1030AM, R18-B-SP_12PM, R18-B-SP_130PM, R18-B-SP_230PM, and R18-B-SP_3PM. Even though 8:30am or 3pm will show the highest gains, I would surely select strategies that executed at other time intervals simply to reduce the risk and slippage. It may be difficult to build equity curves back to 2000 but surely we can go back to 2007. I know several data vendors have this. Also, the historical equity curves at these time different time intervals are an absolute must to buy into these strategies. Since OV and TP are supposed to be a fully automated trading solution that runs unattended, executing trades during regular market hours should not be a stretch. And if OV/TP is really moving to real-time trading, then it's a must to have. I think this would be easiest to implement and reduce the open gap issue that will certainly reduce profit over time if everyone is making the same trades in concert. Lastly, I've done much analysis on NSP-33, NSP-41, and the T3 suite and noticed that returns are typically higher when you buy/sell at the close (3pm CST). The problem with executing this, of course, is if you have a regular job, you're not able to do this during business hours. Thus, you're stuck running this overnight. But the TP/OV solution can overcome this and much more with the multiple timeframe solution I just described above. IMHO, I really believe this solution makes sense and hopefully the Nirvana Team will bring this into consideration as they progress into OV/TP real time trading. | |
