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Follow The Money
23 replies, 3192 viewings
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OmniVest User Forums
General Discussion Topics
Follow The Money
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Last Activity 4/15/2019 7:43 PM 23 replies, 3192 viewings |
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Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
First, thanks for the many positive responses after my Bash Presentation. I usually expose all the details of anything I’m doing, so I appreciate the support I’ve received after leaving out some details this time. The dynamic nature of this portfolio is particularly intriguing. I hope the concept holds up going forward and benefits all of us. LD & I have had numerous conversations about how portfolios invariably retreat into a DD right after you start trading them live, no matter how extensive your testing might be. His advice is to wait for a DD before you go live. If that’s true, this could be a perfect time to start this one (more details near the end of this post). BTW, if you’re not a Nirvana Club member but would like to see my presentation, I’ve downloaded it along with my slides and they can be accessed in my Dropbox folder using these links; Slides: https://www.dropbox.com/s/odtfos847xo7eaf/Bash_2017_Mark_Holstius_Slides.pdf?dl=0 Video (45 minutes): https://www.dropbox.com/s/k6cc0ppvsiacbpz/Bash_2017_Mark_Follow_The_Money_Video.mp4?dl=0 I can’t overstate the value of the Nirvana Club for me over the years - it was one of the best investments I’ve ever made. There were several great presentations at the Bash and a wealth of information shared during breaks - all of which influenced some of changes I’ve made to the portfolio this past week. My Process Daily Selection Of Liquid Stocks My core theory with this portfolio is that large Institutions appear to place short term trades using algorithms similar to Nirvana’s RTM strategies. With that in mind, I use 5 Dynamic Lists to select highly liquid stocks on a daily basis that are exhibiting characteristics correlated with the following 5 indexes; Dow SP500 Small Cap Financials Energy Stocks are selected from a list of 4,300 Optionable stocks and have to meet these minimum requirements; 10 Day Avg Close >= $5 10 Day Avg Money Flow >= $50 Million I use money flow (vs # shares) in the dynamic lists because it “normalizes” the activity of different priced stocks. By using a minimum of $50M money flow, the # of shares required is based on the stock’s price; With a $5 stock, that minimum equates to 10M shares, and with a $200 stock that minimum equates to 250,000 shares. If we use the OV Account Settings to set the Min # Shares to 1M; A $5 stock will need $5M traded, and a $200 stock will require $200M traded (which may eliminate high priced stocks from consideration) The formula I use in my dynamic lists also adjusts the $50M minimum by year; Avg(C,10)*Avg(V,10)>=(BarYear()-1967)*1000000 This roughly adjusts for inflation, scaling back the Money Flow requirement in the past; 2002: $35M 2007: $40M 2012: $45M 2017: $50M Weekly Selection Of Strategies The portfolio only utilizes RTM Strategies, and I added Nirvana’s excellent CTX1 & XLS2 RTMs to the mix after the Bash to achieve more diversification in the selection of trades. I choose to use 25 of 40 RTM-List pairs for trading. Since there are ~ 40 Billion possible sets of 25 starting with a group of 40, if I pick just 1 set of 25 pairs I’d be curve fitting to the data. Instead, I feed all 40 pairs to Portfolio Wizard and have it select a set of 25 each week based on the previous year’s performance. Over the past 15 years, Portfolio Wizard produced over 500 unique sets. In about 50% of the weeks, the set changed week to week, with the rest of the weeks showing a repetition from 2-7 weeks in a row. The Results Development period: 1/1/07 thru 1/1/16 Dynamic selection of stocks each day, dynamic selection of strategies each week - a walk forward. The choice of trade size is adjustable. These charts use 4% of equity trades, but include results using 2% in the strip at the top. Margin 1 year Margin 5 Years Margin 15 Years IRA 1 Year IRA 5 Years IRA 15 Years Margin Statistics; The following tables of statistics are sections of my large analysis spreadsheet. Files showing my full spreadsheet page for both Margin & IRA are attached and can be viewed / downloaded below this post; “001 Spreadsheet_Margin_4_Percent “ “001 Spreadsheet_IRA_4_Percent “ Interesting points; Portfolio is in a DD condition over 60% of the days ~80% of DDs last < 10 days ~90% of DDs < 5% There were only 2 days in the past 15 years when it experienced a DD > 15% The portfolio is currently about 7 days into a DD and down about 4%. As LD says, it’s much better to begin trading a system during a DD. Since the current DD fits the statistics for about 90% of the previous DDs, this may be a perfect time to start. Whether during a DD or not, ~75% of days are flat or higher than the day before, and about ~25% of days are lower than the day before. IRA Statistics; Market Events / Black Swans I didn’t try to develop a portfolio that avoided market DD events. The portfolio is affected by them, but has consistently recovered in the past; Advanced OV Analytics Steve Mayo’s new Advanced OV Analytics capability is extremely useful - and the full results of his analysis of the margin portfolio is available in the file “001 Advanced OV Analytics” attached to this post below. Here are a few of the pertinent charts from his Analytics tool; Steve shared with me that the portfolio appears to have a “normal” range of volatility - which implies that it hasn’t been overly optimized / curve fit. At the same time, the rolling monthly returns reflect the positive bias (Alpha) of the portfolio. Steve’s Monte Carlo analysis and Box Plots appear to support the potential for consistent returns in the future. It’s an obvious plug, but Steve’s Advanced OV Analytics tool is just amazing. It’s incredibly powerful and so convenient & easy to use now that it’s attached to OV. It makes it easy to analyze & compare any Account or Portfolio just by clicking on the "Omnivesting" link on various locations; Thanks for a great addition to OV, Steve! Account Settings There are a minimal number of Account settings. The “Max Strategies” of 5 allows a range of allocations for a symbol. My assumption is that if a stock is triggered by more than one list or RTM, it deserves a higher allocation. Using 4% of equity / trade, a stock could use from 4% to 20% of Equity. Portfolio Trade Multiplier Settings It’s quite simple to change between 2%, 4%, or whatever allocation you like dependent on your outlook for the market. Simply adjust the “Trade Multiplier” value for the portfolio; Review The portfolio was developed to lower risk through diversification; 1) Numerous small trades 2) A mixture of highly liquid stocks (no ETFs) 3) Long only trades (no risk of inability to borrow stock) 4) An assortment of RTMs 5) A variety of Indexes used in the selection process 6) Variable allocation (up to 5 trades in the same symbol: 4%-20% trade size possible) And most important; 7) Stocks are selected dynamically on a Daily basis 8) Strategies are selected dynamically on a Weekly basis As always, there’s no guarantee of future performance - but I feel this portfolio is promising for a number of reasons. 1) All the results shown are a walk forward utilizing daily stock selection and weekly strategy selection. 2) The period 1/1/07 thru 1/1/16 was used for any development decisions (# of strategies, etc.). The periods before and after were never seen by the processes. 3) Trades are Long only and all the stocks are liquid. Fills shouldn’t be a problem, and there’s no uncertainty about whether the stock can be borrowed for shorting. 4) Small trade size alleviates the pain of having a single, large position in a drawdown. 5) Market State is not a consideration in either the Dynamic Lists or the Portfolio Wizard. 6) I haven’t attempted to avoid Market Events or Black Swans - and the portfolio has recovered well in the past. I’m trading this in both an IRA and Margin account, using IB and Gar Wood. With the data I’ve seen so far, I don’t plan to interfere with it going forward unless something drastic happens. I’ll try to extract and share even more information on what I feel is “normal behavior” based on the data now that I’ve expanded my ability to refine the DD statistics. This portfolio is posted now in Elite trader as “Follow The Money Rev02” Thanks for reading - and good luck in your trading! Mark [Edited by Mark Holstius on 6/16/2017 3:39 PM]  Attached file : 01_Money_Flow_Chart.png (393KB - 1572 downloads) Attached file : 02 1 Year Margin.png (101KB - 1577 downloads) Attached file : 03 5 Year Margin.png (112KB - 1563 downloads) Attached file : 04 15 Year Margin.png (106KB - 1552 downloads) Attached file : 05 1 Year IRA.png (98KB - 1567 downloads) Attached file : 06 5 Year IRA.png (108KB - 1589 downloads) Attached file : 07 15 Year IRA.png (108KB - 1548 downloads) Attached file : 08 Margin Statistics.png (210KB - 1530 downloads) Attached file : 09 IRA Statistics.png (206KB - 1590 downloads) Attached file : 10 Black Swan Events.png (160KB - 1543 downloads) Attached file : 11 OV Analytics Volatility.png (221KB - 1582 downloads) Attached file : 12 OV Analytics Monte Carlo.png (76KB - 1582 downloads) Attached file : 14_Account_Settings.png (135KB - 1552 downloads) Attached file : 15 Margin Allocation.png (101KB - 1557 downloads) Attached file : 16 IRA Allocation.png (100KB - 1534 downloads) Attached file : 001 Spreadsheet_IRA_4_Percent.png (896KB - 250 downloads) Attached file : 001 Spreadsheet_Margin_4_Percent.png (902KB - 243 downloads) Attached file : 001 Advanced OV Analytics.png (1015KB - 263 downloads) Attached file : 13 OV Analytics.png (106KB - 1491 downloads) | ||
| Bruce Britt Regular Posts: 81 Joined: 10/11/2012 Location: Louisiana User Profile |
Thanks for sharing. -Bruce | ||
| tgrafa Regular Posts: 63 Joined: 10/11/2012 Location: Midland, Texas User Profile |
Does this increase the volatility of the portfolio - looks like you could have 1/2 of the portfolio invested in one symbol? On March 29th your portfolio shows to have 6 positions in AMP. With the max set to 5 how would this happen? Maybe a bug in OmniVest? Thanks again for making this available Trey | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Hope it makes all of us a bit richer by the next Bash. Mark | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
They go to the heart of how Elite Trader works / looks vs how my portfolio actually trades. I noticed that in your settings you allow 5 strategies to trade the same symbol at the same time. Does this increase the volatility of the portfolio - looks like you could have 1/2 of the portfolio invested in one symbol? You can use the Trade Multiplier settings when you add the Portfolio to an account to adjust the trade allocation to anything you want. In an IRA; Trade multiplier of .20 = 2% / trade X 5 = 10% max / symbol Trade multiplier of .40 = 4% / trade X 5 = 20% max / symbol In a Margin Account (using 200%); Trade multiplier of .40 = 2% / trade (Of Margin Equity) X 5 = 10% max / symbol (Of Margin Equity) Trade multiplier of .80 = 4% / trade (Of Margin Equity) X 5 = 20% max / symbol (Of Margin Equity) I’ll use a picture to try to explain things on the Elite Trader site and hope I don’t just muck things up; Let me know if this helps - or not...??? Mark [Edited by Mark Holstius on 6/18/2017 3:36 PM] Attached file : Elie Trader Example.png (799KB - 1355 downloads) | ||
| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
May be hard to code, but, especially for Elite Portfolios, it seems to me the Elite designer's Account Settings should be used to put forward the designer's best case settings to show expected customers results. I believe this especially true for 'outsider' people who do not have a good grasp on how significantly Account Settings play into final simulation and real time results. Anyway, I love your approach in this portfolio. I'm on board. | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I share your sentiments about being able to somehow show the results using the author's settings. Maybe someday. Glad to have you on board. In the near future I'll have some more detailed information about what I've found to be "normal behavior" for the portfolio - but family matters call for the next couple of weeks. Mark | ||
| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
BTW, in one day, already exceeded 1st months subscription costs from your portfolio's picks, in a somewhat small account size, and in account that is still littered with positions from my previous portfolio (which did NOT do as well). I believe your portfolio's picks ALL exceeded today's robust market in % attainment. Nice start. | ||
| tgrafa Regular Posts: 63 Joined: 10/11/2012 Location: Midland, Texas User Profile |
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| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
One of the symbols that this portfolio has been actively trading is ARNC. The portfolio has recently closed 5 losing positions in this stock and currently has two open positions. ARNC is the company that sold the flammable aluminum cladding that was used on the UK apartment building that burned. This came to light a few days ago and the stock is taking a hit. Apparently, there is a lot of this cladding in use on high rise buildings in the UK. My guess is that ARNC's stock price, in the short term, will be driven mostly by negative press and the potential size of the liability they may face. While I'm not one to second guess OV's trade generation, I'm going to disable any OV long trades for ARNC for awhile until things shake out. BTW, the two ARNC positions that were opened this morning are up about 1% as the stock has recovered slightly or is being pull along with the general market strength today. Steve | ||
| Wes Smith Veteran Posts: 199 Joined: 10/11/2012 Location: Ontario,Canada User Profile |
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| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Steve | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Your observation about the ARNC trades was spot on. I appreciate you putting it up here while I’ve been enjoying one of the primary benefits of using OV: visiting our grandchildren for a while and not worrying about things while I’m gone. Interestingly enough, that trade seems to be a good example of what I spoke about at the Bash: building a portfolio that responds well after a Black Swan event rather than one that avoids them. It certainly appears that the fire in London and its effect on ARNC fits the bill. It might be possible to avoid trading in a symbol if there’s negative news, but that would require more effort than I want to invest on a daily basis. While we obviously would’ve been better off not having the DD in ARNC, I’m happy with the results so far in both my margin and IRA accounts - an 84% HR on 39 closed trades since posting it on Elite 6/16/17; That said, I have a few ideas I’ll be investigating over the weekend; 1) I didn’t have much time before the Bash to review & refine my list containing ~4,300 Optionable stocks. It might be good to go through them and remove the non-US stocks - especially those in markets that trade quite a bit outside of the normal US times and days. (Asian & European markets come to mind) 2) I’ve tried hard to avoid curve fitting. While my statistics showed an improvement allowing multiple positions in a symbol, that could be some sneaking in - so I’ll do more testing there. 3) Using an average $50M Money Flow over 10 days in the Dynamic Lists could be biased by a large spike in volume in the last day or 2 due to negative news (ARNC?). I’ll look at requiring something more stringent than an average. I also plan on posting more information about what’s been “normal” for the portfolio over the past 15 years in terms of DD sizes and lengths. We have to expect them, especially with the possibility of a market correction at some point, but I still feel the dynamic responses of the portfolio should help it perform well going forward. Mark [Edited by Mark Holstius on 6/29/2017 4:28 PM] Attached file : Portfolios_data.png (22KB - 916 downloads) | ||
| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
Personally I've thrown in the towel trying to anticipate - OV and strats always prove to be smarter than me. So now, all I track these days is where am I from MDD and Avg Annual MDD (though not quite comfortable with how OV derives AAMDD), where am I from going forward Simulation value and slippage. As long as they track, I'm good because I've found them to be solid to expected performance. And Mayo's tool gives me a great additional level of comfort after build-out. Look forward to your thoughts on expectations. Agree with your thoughts about foreign stocks. They can be all over the place. But my 2 cents: I find with OV my best performers have been the keep it simpler ones. It seems once running, my Accounts and Portfolios that I have lots of layers of filtering perform worst. I guess I form-fitted? But that is why I like the basic concepts of your Portfolio, so please continue to keep me informed as to direction. First week in, looks good. Thanks, | ||
| berklee Member Posts: 28 Joined: 9/16/2013 Location: Greenville, SC User Profile |
Thanks for your sharing your work on FTM. I last traded OV in the market through and IB account in 2013 - and dealt with the same AWS issues you commented on in your presentation. I am now ready head back into the market with an IRA using your FTM strategy without the need to babysit the TradeProcess or on the AWS server. Are there any setting adjustments that are required for trading this strategy in an IRA (other than 100% equity = NO MARGIN) Best, Lee | ||
| Joe New User Posts: 3 Joined: 6/20/2017 Location: Nj User Profile |
I'm a newbie here with omnivest. The bash presentation of these concepts were very informative and inspiring. I was looking at the performance of the "Follow The Money Rev02" on the myomnivest.com website and it seems since 6/15/17 that the strategy is showing negative performance while in the above post its showing positive performance. Why might there be the difference ? Thanks Joe Attached file : FTM.jpg (79KB - 213 downloads) | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I'm a bit busy with some family things and improving the portfolio today - so I'll get back to you about that issue later this weekend. There's a reason for the difference you see that I'll explain when I have time. Happy 4th! Mark | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I've started another thread to answer your questions about Account Settings and performance, along with an easier way to experiment with any Elite Portfolio. This is the link to the new thread; https://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7832&posts=1#0 Mark [Edited by Mark Holstius on 7/2/2017 1:23 PM] | ||
| Keith Parsons Member Posts: 25 Joined: 3/12/2014 Location: Durban, South Africa User Profile |
Running FTM on two (2) separate accounts on separate PC's. I have had no new Opening Orders for 5/6 days now for both accounts. Would just like to know if this is the same for all members. Many thanks. | ||
| James McNeill Regular Posts: 68 Joined: 3/8/2013 Location: Victoria, BC, Canada User Profile |
I have had none Jim | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
The last Opening Order I show was 2 weeks on Wednesday 8/23/17. That's also the only open position at the moment: TRV (at -6.14% today - glad it's a small position) TRV has been in the news since the hurricane: Travelers stock weighs on Dow industrials in late trade The Dow Jones Industrial Average on Wednesday was seeing modest gains capped in late-afternoon trade partly on the back of a decline in insurer Travelers Cos. Inc. TRV, -1.06% in the wake of the Hurricane Harvey. The Dow DJIA, +0.18% briefly slipped into negative territory, with Travelers stock down 1% as the impact of a now-Tropical storm Harvey was being assessed in the Houston and Louisiana area. Some estimates peg losses in the Gulf Coast region at around $160 billion, which could hit insurance companies. Kinda glad we don't have many open positions given the current world political scene... Mark [Edited by Mark Holstius on 9/4/2017 2:45 PM] | ||
| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
Otherwise, TRV is my only other open (2) positions, opened on 8-23 as well. All account settings appear correct, as defined above. I'm running FTM Rev02. Is everyone referring to Rev02, or Rev06? | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I’m glad you mentioned that you’re still using Rev02 - but I’m sorry to have to show you the differences since I posted Rev06 on 7/6. I hope there will be ways to improve the FTM portfolio even more in the near future, so I’ve been busy with projects to accomplish that and I failed to notice that there are still 2 people subscribed to Rev02. I have no way to know who any of the subscribers are, but I just sent an email to Angela asking her to contact the other person to point them to this post. I haven’t been following Rev02, so I set up a margin account with it this evening and ran a simulation starting on the same date I posted Rev06; Here are the results with Rev06 over the same period; I haven’t been completely happy with the performance of Rev06 and hope to be able to improve it, but I’m sorry to have to point out that it’s been better than Rev02 with 70 fewer trades since 7/6. I’m concerned that we may be in for some drawdowns given the current political and world situation, but I don't want to react to every little change in the market with a revision to the portfolio. Since it's dynamic on a couple of levels, I plan on just letting it run "on autopilot" and hope its past statistical performance holds up over time. Thanks for being a subscriber - wish I had better news, Mark [Edited by Mark Holstius on 9/4/2017 7:44 PM] Attached file : 01 FTM Rev02 Results.png (184KB - 626 downloads) Attached file : 02 FTM Rev06 Results.png (163KB - 595 downloads) | ||
| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
No sorrow on your part as I'm always a little gun shy of flopping between Portfolios too quickly. Understanding there were some tweaks in Rev06, I had a note to ask you your view of Rev02 to 06 performance after my running 02 for 90 days. A few weeks short of my target, but certainly there are compelling trend difference proving out as shown above. I'll swap to 6. As far as our world order, seems to me RTMs perform better with at least some chaos, so I look forward to greater volatility than we've had as of late. Just have to be able to sit on one's hands and hang on... |
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