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Mark Holstius
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This seems to be a better Forum Folder for this discussion - and I found an error in my CALMAR calc that I posted earlier today while I was running out the door, so I'm moving my posts over here...
I've really done a very little amount of work with the Conditions settings (less than an hour), so that's what has me excited.
First, I added a condition concerning the slope of the equity curve and used the "eyeball" technique to pick 6 strategies from the list;
This morning I decided to try adding a 7th strategy ("eyeball" again);
And just as I was leaving for a while I tried combining it with some Portfolios I've used before that use no conditions (more "eyeball" work);
Sorry, but my previous post had a very incorrect CALMAR on it I came up with in my rush to leave... but this demonstrates the improvement gained by staying fully invested (what Steve & Ed have been emphasizing all along).
I'm thoroughly amazed at what I've been able to do in a short amount of time - and this is just "manually flying" the machine. Imagine what we'll do when it's upgraded with a programmable autopilot!!!
Thanks for implementing such a great concept Ed (and staff)!
Mark
 Attached file : My Third Condition Test.jpg (278KB - 1601 downloads)
Attached file : My Fourth Condition Test.jpg (277KB - 1565 downloads)
Attached file : My Fifth Condition Test.jpg (274KB - 1567 downloads)
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John W
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Thank you Mark, this is very motivational for all of us!
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Mark Holstius
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This is just an example Jim - the specifics at this point really don't matter. We'll be able to do a LOT more in a little while...
Mark
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Steve Mayo
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Mark alluded to the "secret" above -- it's getting the best-performing strats/ports to stay as close to fully-invested as possible without overly diluting them with lesser-performing ones.
The Condition filter goes a long way toward cutting off low-performing equity so that it can be reallocated to a better performing strat/port. But, Port Balancer should do that even better. :-)
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Bruce Britt
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Mark and Steve, very nice work! Thank you for sharing! -Bruce
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Geoff
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Yes, very exciting Mark, I second what John said, very motivating. Thanks again.
When you say you "added a condition concerning the equity curve", was that one of the 'canned' conditions or did you add your own condition to the list? If it was your own, can you give details or a general overview of how it operates?
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Mark Holstius
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Still really just playing around and changing one parameter at a time to see what the effect is. I save a picture of the results using Snagit and put them into Evernote so I can go back and compare them later.
Some good areas I've found so far - try equity slope conditions and sorting the results by % Wins to choose which Strategies you like and want to save.
This morning I was concentrating on increasing the CALMAR without regard to the Avg % Invested and got some great results.
A year ago Ed said that getting a CALMAR >6 was good, so I tried for >10. Lately, I've been trying to stretch that to >20.
Well, with these Condition capabilities everything's changed...
CALMAR > 40? Incredibly, Yes. Next target >50...??? (Never thought I'd say that)
Now I'm looking forward to being able to "Hard Switch" the strategies...
Amazing stuff, Ed!!!
Attached file : Max CALMAR.jpg (267KB - 1318 downloads)
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Mark Holstius
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OK - Steve e-mailed me and said I was just showing off...
I don't mean to do that, or create that impression - I'm just playing around with the capabilities Ed gave us here. Please don't take it that way...
No exports to spreadsheets and massaging (I'm not not as talented there as Steve) and no fancy multi-step formulas (not as talented there as Jim). I'm just using the capabilities in the Strategy Lab to sort and pick strategies and then putting them into portfolios.
Soooo.... I took my own challenge and added 2 more strategies over lunch (bringing it to 9 in 2013) and got a CALMAR of 51.0.
I really didn't think that was possible. Nothing extravagant or esoteric - and I know this is curve fitting on a bull market. But, I suspect this sort of portfolio building and then switching will take things to another level...
Thanks again, Ed & staff!
Mark
Attached file : Max CALMAR 2.jpg (268KB - 1280 downloads)
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JimB
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I am very grateful for what you have been posting. I am not a quant guy and new to OV, so it is very helpful. Please keep it up. Thank you.
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Jim Dean
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This might make your testing even more interesting ... putting Calmar Ratio directly in the Equity Condition formula field ...
http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=6157
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Mark Holstius
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Amazing Jim...
Like I said - nowhere near as talented as you on that stuff!
I've put it in my Evernote folder and will definitely look thru it and try it. Unfortunately, I'm out of time today...
Thanks,
Mark
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Steve Mayo
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Perhaps I should joke about your bragging more often!!
That's an amazing graph my friend!
PS: You are still only at 102% invested -- looks like there's room for some more strats there. How do I coax you into shooting for a one-year Calmar of 100? he he!
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Mark Holstius
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I kept that other 98% as space for you to fill Steve... ;-)
Mark
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Jim Dean
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Yes, it is amazing ... and I'm sure that as Steve mentioned, if you follow whatever approach you are using that the % invested could go even higher. I'd be interested in seeing a blow by blow writeup about how you got to that group, btw.
JUST IN CASE there are some readers that aren't really understanding the "curve fitting" effect ... it's probably useful to make a few comments about it to put this into perspective.
First, as Mark mentioned, he is testing during a clearly bullish year. So, things are gonna look rosy, to some degree or another, just throwing darts blindfolded. (Well, maybe without the blindfold, and only a couple of feet away ;~)
Second, he is presenting (afaik) the chart that covers the SAME year that he used for developing the combo. That is, the combo is specifically tuned to that year. The important question is, of course ... is that tuning "representative" of "all bullish years" ... and, as a companion note ... how does one know about the bullish year, BEFORE the year begins?
If in fact the combo that Mark has come up with provides good generalized performance, and is not heavily dependent on "specialized" conditions that would not normally repeat in other bullish periods, then that portfolio can be quite valuable.
The trick is the second question above ... how do we know a bullish year, before (and during) that year ... that is, how do we know to USE this wonder-bull porfolio, and to KEEP using it, via some kind of conditional test.
One possible way is to develop "Market State" formulae, but I've rambled on enough about that in other places.
Another exciting approach is the upcoming Portfolio Balancer. That is, IF that portfolio is sufficiently "generic", then since it's performance seems to be a pretty straight line with consistent small proportionate wiggles, it's reasonable to assume that the "Calmar RATE" would show up for that portfolio early-on in a 2013-bullish-type year ... and PortBal would switch us over to jump onto the rocketship.
=====
The "classic" way to test/verify the general usefulness of this combo of strategies is to identify several independent bullish periods of time, and develop *separate* portfolios, each "sort of tuned" to the different periods. Then, STOP developing them (no more changes allowed!), and test each of them on all the OTHER bullish periods, besides the ones that they were developed on. The set of strats that holds up the best for the other segments is the one to use!
========
So ... Mark's work IS really exciting to see (he's got the magic touch at picking out strat's). What will be even neater to find out, is if he could take the port as it stands, then find a few other "bullish years", and rerun it in those time windows, to see how well it works.
Thanks, Mark!
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Steve Mayo
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Good points, Jim.
In Mark's thread here and the one he challenged me to do (that's sadly not getting anywhere near the same attention! LOL) I think we have both been clear that we are simply exploring what's possible, and having a little fun challenging each other while we wait for Port Switcher....these experiments are not intended to be used for actual trading (yet?). We're just excited about the new condition and hard entry/exit filters for strat building....because these are the building blocks for the forthcoming PortSwitcher as well!
Adding to Jim's point, before I would actually trade this not only would I first test it over lots of different timeframes, I would also do a whole bunch of metrics to see how robust this "system" really is. What's the standard deviation and how much does it change in different markets? What's the distribution of the daily returns? How many wins and losses in a row and is that consistent with what should be expected given the hit rate? Are the individual strats and the overall system generating enough trades to be statistically sound? If I change a setting such as the sorting (or switch-out a strat or 2), do I get comparable results? How many symbols are actually being traded versus how many are in the trading pool? etc., etc.
There's some fantastically talented people using OV that know much more about such stuff than me...but if I can find the time, I'll try to show how to do some of this in a future post. Meanwhile, I'm certain Nirvana is working hard to build some of those things into the next release.
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John W
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Guys, Could you post just your "settings", I'd like to use your results as a benchmark and see if I can get anywhere near!
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Steve Mayo
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The only one we use when testing is just the "Allow trades to..." checkbox at the top. We run $100K with GX commissions, and use alpha sorting just because that's what we've been doing for 14 months now and want to be able to compare with prior runs.
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Mark Holstius
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Sorry Steve, but actually I posted the results earlier today using what we use for "trading" settings - but this is a good opportunity to show the difference your settings can make...
Here are the results with the same set of 7 strategies in 2013 using both sets of settings;
Settings are really an individual preference, but I hope that helps.
Be sure to try different ones on the same account to see the differences and decide what you like...
Mark
Attached file : 2 Settings.jpg (752KB - 1180 downloads)
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John W
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Thank you Mark for sharing the "Settings", it's nice to have a benchmark. If I find anything that even gets close to you guys I'll publish it.
This brings up another interesting issue that I've been trying to lock down for some time without solution.
Changing the Settings can cause significant performance differences, beautifully illustrated by you in this post.
The question is:
In the new OV Pro feature set is there a place for having (say 3 or 5) user defined settings and using the best equity curve combo? Or using the machine to come up with the best Settings in combination with the new OV feature set.
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Mark Holstius
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Interesting idea, but not really (that I know of) John.
My suggestion would be to get a portfolio or account you like and then change 1 setting at a time up & down in value to see what it affects & decide what you like - then keep that.
The settings do make a BIG difference...
And, now we have a pretty much infinite set of variables to play with in the Strat Lab too. Not to worry - I think everyone will be able to build great portfolios using the tools Ed's coming out with sometime in the near future.
Mark
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JimB
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Thank you for these examples and the comments. Very helpful.
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kmcintyre
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Mark, (Steve and Jim too)
Thank you for your continued research and willingness to take the time to post your findings.
Using "LRSlope and eyeball" has served me well when picking a portfolio of mutual funds (as previously posted).
To clarify, Mark, you used the canned strategies and only changed the condition used to enable trading the strategy long/short. No equity conditions(?). No conditions on external symbols/indexes(?) No custom DLs(?).
So what I'm hoping is that the Port Wiz will allow me to solve for an OScript formula. Say one that uses LRSlope and Calmar (or some other measure of tradability). This will allow codifying the "LRSlope and eyeball" technique.
A difference between what you're doing and what Port Wiz would do (I think) is - you're looking at each strategy separately, picking good ones (regardless of interaction with other strategies), then reporting on the portfolio performance.
Port Wiz would use a similar "LRSlope with eyeball" criteria, but pick strategies based on combined performance. I.E. "LRSlope with eyeball" on the portfolio itself. I'm hoping this produces good results with less work. (I'm hoping we get the tools to try it too...)
But I can see that manually tweaking a condition for each canned strategy prior to running Port Wiz would (could) further enhance returns. Building the best portfolio of the best "tuned" strategies...
As a senior citizen, time is becoming an increasingly valuable commodity. (Do I spend man-months experimenting with OV or do I spend the time RVing, visiting kids and grandkids, packing life into life?) Tools that allow me to work smarter are highly desirable to me. And it sounds like they are right around the corner!
Mark, your work give me great hope for V3. I can't wait to give it a go!
Cheers
Keith
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Mark Holstius
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Well Keith, I can appreciate your desire for time with the family - I'm hoping things will get easier too.
But, in the meantime my OCD side tried playing some more today with what's available on the site now. No exporting to excel and massaging, no custom DLs, no conditions on external symbols / indexes. Just the canned conditions Ed has provided and one simple one concerning equity slope I did that really hasn't added much to the mix. Not "bragging" - just trying to show the capabilities Ed's given us.
Here's what I was able to build today with NO portfolio switching - just one portfolio with about 20 strategies 1/1/2007 - 1/1/2014 (my "trading" settings noted previously in this thread on both);
I can only dream of what we'll be able to do once we can hard switch the entries and exits at the strategy level.
Once again - great stuff Ed!
Mark
Attached file : Portfolio today.jpg (561KB - 1010 downloads)
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Geoff
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Hi Mark, thanks for your further explanations, your examples can only be described as educational, I certainly didn't see them as 'showing off', if they were then, please, keep showing off, we will ALL be watching in appreciation I'm sure.
Like everyone else, I have been watching OV developments closely these last couple of months in particular, especially regarding port switching etc... Can you clarify one thing for me if you would? I think I know what 'hard switching' is, but after searching the forums, I haven't been able to actually find a definition; could you clarify please?
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Mark Holstius
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Thanks, Geoff - I hope these posts to "show what's available" are taken right. Yes, it takes a little time & tweaking at this point - but a lot of that might be automated shortly, and I hadn't really looked at what was possible via the Strategy Lab until this week. Kinda "blew it off" and really should've investigated it more... Anyway - I discovered some powerful things are possible with this tool, was surprised by the results - and just wanted to share what I'd found.
AFAIK - Ed's planning on adding the ability to not just stop entering trades when a condition triggers it (say an X day MA falls below a Y day MA), but to exit any open trades in that strategy the next morning at whatever the current price is. ("Hard Sell").
The "Hard Buy" (AFAIK) is more difficult in that when the condition signals a return to the market, any trades that would've been in force in the strategy had you not stopped trading could then be entered (at the price the next morning) and carried to their normal exit rules. My understanding is that the default would be the current "just stop buying when the signal is triggered and resume new trades when it allows" - but that the "hard" exit and entry rules will be an option. Maybe one will be helpful and the other not. Won't know until we try... pretty interesting concept and capability though.
Hope that makes sense - it's not something that's ever been done (AFAIK), and should be really interesting...
Mark
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Jim Dean
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An OVest "hard exit" is equivalent to an OScript or OLang based exit using a trade plan, keyed to whatever conditions you want. I use it very frequently. Of course, OT trade plans have no access to equity curves unless a VERY complex OLang Indic is created for the Strat.
An OVest "hard entry" is equivalent, similarly, to an OT trade plan entry order that uses an OScript or OLang Condition. The strategy creates a an entry Signal, but the OScript condition forces that signal to be delayed (or entirely skipped) based on the conditions dictated by the OScript.
So, these are "new" to OVest but not to N-land. They are very powerful and very important. They offer one further step towards providing the "power of trade plans" to the OVest user.
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Steve Mayo
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Adding to Mark's nice explanation...
Hard Switching was the technique we used in our mock-up of PortSwitcher....basically to sell all open trades in PortA and buy all open trades in PortB as of a certain date. In writing the code to implement it, Nirvana split it up into a "hard sell" and a "hard buy." So, now you can decide to let your open trades in Strat/PortA continue to a normal close AND/OR decide whether you want to jump into the in-play trades for Strat/PortB or wait until that strat/port fires new trades. Neat!
However, with the hard switching (e.g, both boxes checked) that we (Mark Holstius and Steve Mayo) used in our mock-up, we could know (almost) exactly what the result would be -- basically, we were just stitching together pieces of the equity curves. But now, with 'soft' switching (one or both boxes UNchecked -- or as the current system is implement pending those checkboxes -- it's impossible to predict what the result will be without actually running it through the simulator (i.e., recalculating trade by trade, day by day).
OV is all about trying to stay fully invested and what happens at the 'equity ceiling' to accomplish that. By electing to NOT close open trades (the current system without the checkbox), you tie up equity in Strat/PortA that may or may-not have performed better if it could have been employed by Strat/PortB. Likewise, by NOT immediately entering the in-play trades of Strat/PortB, you miss out on those trades (which may or may-not have improved/worsened your return). In other words, you don't know what will happen until OV runs it through the simulator.
We added 'soft switching' because there was concerns that hard switching could mean closing out trades at a loss that might have later turned around and because you might end up getting into trades after they had made their initial move. That's absolutely true -- but comes from thinking like a trader. If, instead, you think of OV as a mutual fund, then hard switching is more logical. You buy-in or sell-out of a mutual fund at the daily closing price with no regard to what stocks the manager bought or sold that day based on that fund's performance (read equity curve), based on what that fund has done in the past and what you expect it to do in the future.
With soft switching, we introduce a new set of conditions that make the past and future unpredictable, at least over the time that it takes the soft changeover to equilibrate (and then compounding that unpredictable loss/gain over time). Granted, everything in technical analysis is based on backtested simulation -- soft switching is no different -- but as a scientist, I have to caution that it is introducing a new variable that can dramatically change the "characteristics" of the system. Hard switching does too, but it's more directly a function of the individual strats/ports used in the composite; soft switching is not the sum of the parts but rather a whole new creature, at least during the equilibration period. Using conditions and soft-switching at the strat level means the "switching" condition gets applied daily so the system may never really equilibrate, of course, depending on how frequently the condition takes effect.
Bottom line, this is a brave new and exciting world. We need to do a lot of testing to better understand it.
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Mark Holstius
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Well put Steve…
And, I want to re-iterate something you posted in this thread a while ago.
Consider the charts I’ve posted as a “proof of concept” for me of ways to set up and use Strategy Lab and Conditions - with the hope of utilizing some of those concepts when everything comes together with the Portfolio Switcher and Wizard. They’re a great example of “curve fitting” – but an even better example of what these tools allow us to create. I’ve never been able to get an equity curve like that before – especially with all the restrictions in my account settings. And, I think I can tweak the concepts / rules I used this week to create even better results (yes, there’s room for improvement from what I’ve seen).
But – we’ll need to use the Switcher / Balancer to find statistically reliable ways to choose the correct Portfolios and Strategies to trade at the HRE through “walk forward” testing.
Like Ed said – this is the only product “out there” with these capabilities.
Like you said – it’s a brave new and exciting world (full of possibilities).
Looking forward to it,
Mark
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Jim Dean
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I agree with your evaluation, Steve ... well put, and hits the nail on the head. I *strongly* concur that hard-EXITS are important vs soft ones ... if the market turns against an extant trade, get out before it turns too ... or gets worse.
There's one other consideration tho re hard Entries ... it's a nuance but sometimes might be an important one. I posed this as a question, but haven't heard back yet. The question is ... if we do a "hard entry" in the "middle" of an already-in-process trade, then how does that strategy's Trade Plan get applied, FOR that hard entry, both in simulation and in the Trade Processor?
Two possibilities:
1. TradePlan acts like the trade started at it's theoretical point, not at the midpoint.
2. TradePlan is shifted to start at the hard-start "midpoint".
Pros and cons here ... both re trading logic, and re difficulty to implement it in the TradeProc. Something to consider:
Some Trade Plans (like for RTM strat's) are super-simple "get out after five days" ... for a plan like that, the hard-entry might occur on the last of those five days, and exit on the next bar. Good? Bad? hard to say ... but imho it's more likely to be a "noise" trade, not actually capturing most of the profit.
Other Trade Plans, such as those used for Trendfollowing strat's, can be much more "robust", using rule of eighths, trailing profit with various cushions and thresholds, or any of an infinite number of custom TPlans once Elite Trader is active. Some of these, it might be smarter to "shift" it to use the #2 method. For others, maybe #1 is best ... but, again, my guess is that the #1 method will often result in very quick exits. Good? Bad? who knows?
Ideally, we get an option for this. A user input that says
a. Hard Entry with simulation Trade Plan
b. Hard Entry with shifted Trade Plan
For those of us who will be doing a lot of ET development, with a heavy focus on stops, that distinction is important. If you find out what the "plan about the Plans" is, please let us know.
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Steve Mayo
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Hmm, great question, Jim.
Ed's goal was to replicate the switching approach Mark and I used at the portfolio level -- which would presume #1 in your list of possibilities. So, I'm thinking that is likely what the programmer did. I think it will just include/exclude that trade (or that portion of it) when generating the equity curve. However, Ed has noted that it takes much longer to run with hard entries than with hard exits turned-on. Seems to me that both would trigger a next-morning transaction affecting the available equity that would have to be processed so I'm not sure I understand why they are different. Maybe it does recalculate the stops -- treating them sort of like newly signaled trades-- as well, but I'm doubtful given how the trades are coming from a different server that is running all the strategies each evening.
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Jim Dean
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As long as OVest is "running" the entire trade, then #1 is likely. BUT, if now or in the future, the TProc "takes over" trade management (ie runs the trade plan to preserve scaling in/out, various different mixes of order types, etc) ... then #2 would be the most likely.
Or, maybe there will just be a "rule by fiat" that all uploaded ET strat's MUST have only one entry and one exit, and very limited rules for virtual stops, etc. I hope that last one is not the case! I can see how scaling in/out might be outside the OVest paradigm, but I hope robust stops aren't.
Please discuss this with Ed. There may need to be one solution for initial release, but firm plans for enhancement later.
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kmcintyre
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Fantastic thread!
Mark, I have always thought your posts to be valuable reads. Please "show off" (aka "share") frequently!
Steve, I never miss one of your posts either. You guys have presented so much valuable information - it's SICK!!! (That means "good" these days...)
All OV users owe you two for your contribution to current Nirvana development efforts. I have no idea what your business relationship is with Nirvana, but I hope you guys are being compensated. You have my admiration. As soon as I make 10% on my live account I'll buy you two (and Ed) dinner...
Cheers!
Keith
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Ed Downs
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Good day, folks. Working on OmniVest today...
We are testing Dynamic Entries and Exits, which incorporate a "Hard Switch" that Mark is referring to. Attached is my PDF that shows a specific Strategy before and after employing Dynamic Entries/Exits. The effect of "chopping off" trades when the curve goes against you and "re-entering" trades when it goes in your favor can be quite dramatic. The experiment I ran shows Draw Down reduced by half and CAR nearly doubled.
See attached PDF for all the data. One last thing about this somewhat simple example - I used the very basic "Continuous Trend" filter on SPY to specify switching, NOT the Equity Curve. So, if Continuous Trend on SPY shows that the ETF is going down, it closes all trades and when it's going up, enters all trades that would be open.
Note tha this has NOT yet been released. All of Mark's experiments have been done without the benefit of this little jewel. I can't wait until he and others get their hands on it. We are running weekend trading tests with this on our test server. Fingers are crossed that we can release it Monday.
Attached file : e1.jpg (43KB - 635 downloads)
Attached file : e2.jpg (47KB - 646 downloads)
Attached file : dynamic3.jpg (81KB - 633 downloads)
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Jim Dean
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very very cool. thanks Ed!
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Mark Holstius
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Looking forward to it Ed...
So sad - I'll be out of town for a week starting Thursday. ;-)
Mark
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tgrafa
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Geoff: Mark did as excellent job of explaining the "hard" entries and exits. The link below is Ed's presentation covering the same which he refers to as "dynamic' entries & exits. Part 4 of the attached.
http://videos.nirvanasystems.com/OmniVest/4-30-14/breaking_news/video.html
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kmcintyre
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Very exciting! Can't wait to see V3 in operation - all the pieces working together.
Keith
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Mark Holstius
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I posted the chart for that $19m portfolio I built after exploring the capabilities of Strategy Lab on the previous page and thought it would be good to see how it's done with "out of sample" data since 1/1/14.
So you don't have to "page back" I'll repeat the original chart comparing it to Ed's ARM4 (my "personal benchmark"):
And here's the "out of sample" performance so far in 2014...
Mark
Attached file : Port v ARM4 Developing.jpg (589KB - 547 downloads)
Attached file : Out of sample performance 2014.jpg (698KB - 566 downloads)
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Jim Dean
Posts: 1059
Joined: 10/11/2012
Location: L'ville, GA
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Thanks, Mark
That "completes the story".
IMHO, all samples of portfolio results that are posted should show the "trained" region, as well as one or preferably more "out of sample" regions.
Gives a proper perspective.
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Geoff
Posts: 180
Joined: 12/4/2012
Location: Byron Bay NSW Australia
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Thank you Mark and Steve.. again! For answering my question about 'Hard Switching', it was as I had thought but your detailed explanations were invaluable in appreciating and understanding the consequences of utilising the various options.
FWIW my own observations (and others I'm sure) from analysing strat performance, at the point where market conditions change (eg, from bull to bear) it seems that often, once the market starts to pullback it takes about 4 to 5 days for the strats to fully react at which time they either start firing short orders or stop issuing long orders. During this 'Market' transition time the strat indicators are obviously re-adjusting and the strats adapt to the new market conditions which is why I think the OV Ports do often rebound sharply. This rebound often starts BEFORE the market has finished pulling back.
Conclusion:
1. For a Port to achieve its potential max performance, it needs to capture the rebounds (obvious).
2. If you set a 'Soft Sell' could you run the risk in some cases, of locking up 'equity' in trades that are likely non-performers, and risk missing out on taking up new orders from strats that have already adapted to the changed conditions?
I realise this is all hyperthetical and there is probably no definitive answer but, it's the reason I asked the question about 'Hard Switching', sounds to me like a great feature after my experiences with switching ports that have NOT issued an order because of old positions not closing.
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John W
Posts: 654
Joined: 10/11/2012
Location: Sydney, NSW, Australia
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Geoff, One of the neat things that I understand is in the upcoming capabilities is that it will be possible to answer the question of whether it makes sense to hard switch, soft switch or a mixture!
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Geoff
Posts: 180
Joined: 12/4/2012
Location: Byron Bay NSW Australia
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Thanks John, it seems the next release of OV will see us enter a new and exciting phase of OV.
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