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Mark Holstius

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Joined: 10/11/2012
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Subject : RE: Improving RTM Results With Limit Entries
Posted : 8/15/2017 6:25 PM
Post #36860 - In reply to #36858

Great suggestion Gary, it leads right into a good discussion… and some more data to chew on.

All of these variables affect the outcome;

1) Dataset (# Trades)
2) Allocation % (Size of trades)
3) Previous Close -X% Limit

#1 And #2 obviously affect the % Inv, and the equity goes up as they’re increased. Unfortunately, equity available to invest each day is a fixed resource so we have to account for that and try to stick to something reasonable. When incorporated into OV we’ll be able to experiment more and let OV take care of what happens when we run out of capital to invest. With some major modifications, I could do it for the data I have - but excel is pretty much maxed out with my 3.5M cell spreadsheet. I’ll just wait for Nirvana to impose the correct limitations on trades taken…

I know this is a bit of data overload, but here’s a table with all the pertinent stats for the various combinations;




The columns are divided into 4 sets of % below the previous days close; 0%, -1%, -2%, and -3%.
Each of those is subdivided to give # Trades, PPT, and HR

They intersect with rows divided into my 3 sets of data: FTM, ARM4, and Both
Each of those is subdivided into OV MOO, Limit filled @ Open, Limit Filled During The Day, and Both


I chose to use -2% for my testing, so if you go down in that column to the FTM rows you can find all the pertinent stats for OV MOO and each of the Limits (Outlined in Yellow).

If you pick a row and go across, you can see that as the Prev Close - X% goes from 0% to -3%, the # of trades decreases and the PPT increases.

So, if we just change the Limit from -2% to -1%, we move between the boxes outlined in green.

Just wanted to give some background behind the chart below that only changes the Limit to -1%;




It may look great, but the number of trades has gone up considerably and the 73.3% Avg % Inv means that it’s “overinvested” on a number of days - something that I hope OV will be able to handle correctly at some point.


You probably already knew that… but it’s interesting, so thanks for the question.

We’ll have much better luck coming up with a robust solution in OV vs my spreadsheet, but the data shows that there’s definite potential.

BTW - yes, my data includes IB commissions.

Hope that helps,
Mark


[Edited by Mark Holstius on 8/15/2017 6:56 PM]

Attached file : 01 Tabulated Data.png (86KB - 919 downloads)
Attached file : 02 Results.png (43KB - 873 downloads)

Deleting message 36860 : RE: Improving RTM Results With Limit Entries


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