Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile | I share your concern about stops… The FTM portfolio only uses Long RTM strategies, and I have no knowledge of any stops in the strategies. The reading I’ve done supports the theory that any stops will be detrimental to RTM style trades. I wondered about that a lot, so I recently did extensive testing on % stops with my dataset of 25,118 RTM trades over the past 15 years. I found that any stop from -1 to -20% only hurt the overall performance of the system. You can read my thread about it here; https://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7846&posts=8 It’s tough to watch when an individual trade goes bad (TRV), but I haven’t found a way - yet - to avoid those bad trades without sacrificing a number of good trades at the same time. The TRV trade looked reasonable on the day it entered; Unfortunately, it’s just one of those “Black Swan” events. There was no way for OV to know that hurricane Harvey (and now hurricane Irma) was going to cause insurance stocks to tank. I also don’t know the specifics of what will cause the RTM to exit. I’m kind of surprised it didn’t get out the last couple of days, but I’m treating the portfolio like an index fund & trying to trust its historical performance and let it run. I designed the FTM portfolio with 2 dynamic levels in the hope that it would be able to recover after Black Swan events, not to avoid them. I’m still working hard to find ways to improve it. Hopefully Nirvana will add some tools that will make that possible later this year. Another of my goals was to have the trades small and diversified enough that I don’t stay up at night worrying about any particular position - so actually, I’m quite happy that the portfolio only took one position in TRV. True, we’re sitting on a 10% loss, but I’m using 2% allocations - so the loss is just .2% of equity. With all that in mind, I want to share my concern and sympathy for everyone affected by Harvey, and soon by Irma. I don’t want to belittle the loss in TRV, but it’s nothing in comparison… Mark [Edited by Mark Holstius on 9/7/2017 7:24 PM]  Attached file : TRV.png (66KB - 881 downloads) |
