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New Flexible By Design Elite Trader Portfolio
19 replies, 1463 viewings
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OmniVest User Forums
General Discussion Topics
New Flexible By Design Elite Trader Portfolio
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Last Activity 4/15/2019 7:43 PM 19 replies, 1463 viewings |
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Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
The Paired RTM-ETF Custom Strategy concept relies on taking many small trades with RTM-ETF combinations that have been consistent in the past. My hope is that increasing the number of Groups, ETFs, RTMs, and Custom Strategy pairings will mitigate some risk through greater diversification. I also hope that it might allow trading with lower trade Allocation percentages while still obtaining a reasonable return - which could help with slippage for MOO orders with lower volume ETFs. With that in mind, I’ve posted a “Flexible By Design” Portfolio in Elite Trader that was constructed utilizing; 42 Groups Containing 347 ETFs Paired with 23 RTMs To create 778 Custom Strategies; ......526 Long Strategies ......252 Short Strategies All of my selection algorithms used were developed during or prior to 2015, but this is my first Portfolio containing a much larger set of Custom Strategies to see if the additional RTM-ETF pairs actually help. Doing this takes advantage of some of the ETFs that’ve come on the market since the last recession, but I was concerned that adding ETFs that only began trading the last 5-8 years would add a bias to the recent performance. Fortunately, that doesn’t appear to be a significant factor. My primary goal was to add more RTM-ETF trades from different groups, thereby utilizing the equity sitting idle in my original portfolios. As always, there are times when a group (Large Cap Stocks, etc.) will enter a number of trades at the same time. This can be unfortunate when wrong, but statistically proves to be a benefit in the long run. Over the period from 1/1/2007 – Present, I’m happy with the improvement in the depth and breadth of trading; My original Margin Portfolios took 1401 trades with an Avg % Inv of ~57% This new Margin Portfolio takes 2232 trades with an Avg % Inv of ~93% The examples below used 20% allocation / Strategy with Buying Power set at 190%. 1) The Past Year (BTW: the first time I’ve ever seen a Calmar over 40) 2) Past 2 Years 3) Past 5 Years 4) 1/1/2007 – Present You can also use this Portfolio in an IRA by simply adjusting the Portfolio Trade Multiplier, Buying Power, and setting the Maximum Short Allocation to 0% as shown; Below are the results from applying those settings to trade the Portfolio’s 526 Long Strategies in an IRA vs the 143 in my current Low Risk RTM-ETF Longs portfolio; 5) The Past Year 6) 1/1/2007 – Present My Account Settings are similar to those I posted for my other portfolios. I’ve adjusted the Minimum Trade Size down to 1% and have the Maximum Exposure unchecked, but still taking 2 trades / symbol if available (not a particularly common occurrence). As I said, there have been a lot of ETFs created since 2009, and this is an attempt to take advantage of the diversification they can add. Barring some obvious oversight or error I might find, I plan to let them trade until the next Bash to see how they perform over time. These new Custom Strategies utilize some younger and probably lower volume ETFs, so I reiterate that it’s an experiment. I hope that some of you will come along and contribute to a collection of data on slippage, etc. – and I hope we all make a bit of money along the way. For those of you currently subscribed to both my Long & Short Portfolios, changing your subscription to this Portfolio should be an easy choice - you’ll get the added benefit of 508 additional Custom Strategies for the same price (currently). I reserve the possibility of a change upward if this experiment is successful… but if that’s the case, we’ll all be happy. ;-) Those of you trading my Low Risk RTM-ETF Longs Portfolio in an IRA can continue to do so, or drop that and subscribe to this new one instead in order to use the 526 Long Strategies available in this Portfolio (an additional 383 Long RTM-ETF Strategies vs the 143 in my Low Risk RTM-ETF Longs Portfolio). Whatever you choose to do, I certainly wish you luck in your trading… Mark BTW: My next post will explain how to make use of an Excel spreadsheet I designed to easily calculate the settings needed to obtain any combination of Margin Levels (Trading Equity) and Trade Allocation sizes you may want for testing different levels of risk… either with this Portfolio or any that you might be using. [Edited by Mark Holstius on 8/2/2016 3:58 PM]  Attached file : 01_Compare_1_Year.png (135KB - 821 downloads) Attached file : 02_Compare_2_Years.png (148KB - 803 downloads) Attached file : 03_Compare_5_Years.png (149KB - 808 downloads) Attached file : 04_Compare_2007-Present.png (154KB - 819 downloads) Attached file : 04a_IRA_Settings.png (86KB - 830 downloads) Attached file : 05_Compare_IRA_1_Year.png (130KB - 808 downloads) Attached file : 06_Compare_IRA_2007-Present.png (151KB - 807 downloads) Attached file : 10_Account_Settings.png (244KB - 788 downloads) | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Steve | ||
| Bruce Britt Regular Posts: 81 Joined: 10/11/2012 Location: Louisiana User Profile |
Thanks for sharing it. -Bruce | ||
| stephen m New User Posts: 1 Joined: 3/12/2014 Location: northern ireland User Profile |
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| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
A few questions - 1) I have one position open in the current long/short portfolio pair. If I change my subscription, will that position be gracefully closed? 2) Is the new portfolio priced the same? 3) For me, a more critical stat than CALMAR is the "happiness index" which is the mean bars between new highs. (Actually I'm sure I could quantify it better by weighting the max bars between new highs with the mean...) Is the new portfolio similar or better to the old pair? Thanks! Keith | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
1) I have one position open in the current long/short portfolio pair. If I change my subscription, will that position be gracefully closed? Since this is new, I really don't know. AFAIK, it's supposed to handle it OK, but I think this is the first "real test". If you're willing to watch it, maybe you can verify that it really does work...??? 2) Is the new portfolio priced the same? Yes... Flexible By Design is $100/mo - the same price as subscribing to both the Long & Short Portfolios in the past. (and you get 508 more Custom Strategies). 3) For me, a more critical stat than CALMAR is the "happiness index" which is the mean bars between new highs. (Actually I'm sure I could quantify it better by weighting the max bars between new highs with the mean...) Is the new portfolio similar or better to the old pair? I totally agree. Unfortunately, I'm a bit miffed at Microsoft at the moment. They "upgraded" Excel in Office 365 on the Mac and broke it somehow. Now it won't open my large analysis files. Grrrr So, I don't have the stats I used to be able to give until it gets fixed. Sure looks OK when I step back year-to-year though. You can do that on your own too - just check "Use Prior Year" in the Account Settings and then change the Simulation End Date by -1 year to step back and re-run to go back in an orderly way. I've also had some questions on setting this up, so here's a recap of all the details I see as of today, 8/3/2016 in a Margin Account starting on 1/1/2007; Mark [Edited by Mark Holstius on 8/3/2016 2:23 PM] Attached file : 01_Flexible_By_Design_Settings.png (432KB - 699 downloads) | ||
| arby Member Posts: 20 Joined: 10/11/2012 User Profile |
I also have one position open in "Low Risk RTM-ETF Longs" It is "DES" , opened August 1st. Today, I canceled both of Mark's low risk strategies ( because for me they renew tomorrow) and replaced them with the new "Flexible by Design" portfolio. I noted that "DES" was not an open position in the new portfolio although I had started the simulation from July 3rd. So I expect to have to close "DES" manually. If there is a kind soul who has "DES" open and sees it being closed by "low Risk RTM-ETF Longs", I would appreciate a heads-up in this forum. Cheers, Arby | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
Originally written by kmcintyre on 8/4/2016 3:55 AM 1) I have one position open in the current long/short portfolio pair. If I change my subscription, will that position be gracefully closed? Yes there should be a graceful exit, OV 'knows' you have a strategy in play that you no longer use but it will complete the trade on that strategy as normal. | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
According to a post by Barry yesterday, it should be handled correctly; http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7740&posts=2 Guess we'll find out, huh? ;-) Mark [Edited by Mark Holstius on 8/4/2016 5:56 AM] Attached file : close positions.png (110KB - 654 downloads) | ||
| arby Member Posts: 20 Joined: 10/11/2012 User Profile |
So far so good. Trade Processor is showing a managed position for DES. Arby | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
I subscribed and replicated your results in simulation (1/1/07 - 8/1/2016). I have a few days of overlap on my subscriptions, so I'll watch DES until 8/10 with subscription. After that I trust what Barry sez! lol Let the good times roll! Cheers, Keith | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
So why did you remove the Max Exposure % per Symbol = 60% setting? Thanks! Keith | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
The 60% limit was there to cause the original Low Risk RTM-ETF Portfolios to take 2 different size trades when 2 Strategies traded at the same time using the same symbol. In a Margin Account (BP 190%) the first trade would be 20% of the available Trading $ (20% of $200,000 = $40,000) and the 2nd would be 10% (10% of $200,000 = $20,000). The Max Exposure is based on the original equity ($100,000), so it had to be doubled to 60% to correctly use the 2X Margin. Problem is, if you change the Margin then you have to change that Max % in the same proportion - so it makes it more difficult than I was trying to do. I want this Portfolio to easily adapt to everyone's desires for Margin, % Allocation, and use in an IRA - so I made the decision to drop that setting. i.e. See my "Portfolio Settings Calculations Spreadsheet" post at: http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7742&posts=3 It now takes the 2nd trade at a % equal to the 1st. Sometimes that hurts, but statistically over time it helps. You can see the effect by simply changing the Max Strategies from 2 to 1. If trading 2 was a net negative, things would be better using 1. Also, you previously asked about the days to a new high (length of a DD), and today I was able to get a limited version of my extensive analysis spreadsheet working... So, here's a comparison of the Margin Low-Risk RTM-ETF and the newer Flexible By Design as far as DD statistics; With the Flexible By Design Portfolio the time in a DD: Avg is 1 day shorter 95% of the time it's 4-5 days shorter The Max is 25 days shorter Hope that helps, Mark [Edited by Mark Holstius on 8/4/2016 7:37 PM] Attached file : Flexible vs Low Risk.png (64KB - 571 downloads) | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
Yes, that helps a lot! Sure seems like a better mousetrap! Cheers Keith | ||
| arby Member Posts: 20 Joined: 10/11/2012 User Profile |
Keep an eye on "DES" for me. Trade Processor just gave me this error message: "The Trade Processor could not be started for the following reason: arby7/154014: Failed to retrieve orders/positions: EliteTrader portfolios enabled without subscription ......" I think I will have to remove "Low Risk RTM-ETF Longs" as an enabled portfolio to get TP to open. Cheers, Arby | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Hmmmm. That's above my pay grade, but maybe(?) it's because you subscribed over the weekend and something needs to be done at Nirvana to enable it that won't be done until they come in Monday AM? Anyway - I've sent an email to Barry and Angela to ask them to look at this. Mark | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I just looked and I show DES as a closing trade this morning (Monday 8/8/16) for everyone trading it... Mark | ||
| arby Member Posts: 20 Joined: 10/11/2012 User Profile |
Arby | ||
| Angela Duran Veteran Posts: 168 Joined: 10/11/2012 Location: Nirvana Systems User Profile |
Please do remove the elite Low Risk RTM portfolio now that the subscription has expired. I am still seeing that portfolio active in one of your OmniVest accounts. Thank you, | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
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