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OmniVest User Forums OmniVest Pro Tools Beta In Strategy Lab, Dynamic Entries and Exits Beta		Last Activity 10/7/2016 12:00 PM 2 replies, 597 viewings

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Juan

Regular

Posts: 74

Joined: 10/11/2012
Location: Round Rock, Tx

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Subject : In Strategy Lab, Dynamic Entries and Exits Beta
Posted : 8/12/2014 2:49 AM
Post #32536

I've been working on creating new robust strategies for ECA. In my analysis I found that for Trending Strategies having checked the boxes labeled "Enter Positions" and "Close Positions" can make a huge difference.

However, next to these check boxes is the statement "IMPORTANT: Dynamic Entries and Exits are currently in Beta Test and should only be used for simulation, until this notice is removed.".

This caution has been there for months. When will this get tested and this cautionary label removed?

The reason I ask is because in my testing I've seen huge "Ending Equity" improvements by simply having the boxes checked.

For example, in non-margin long only account, I'm seeing 51K improvement by simply having the box checked for T1-L-BULL3*. Even more impressive, for same strategy, I see MDD go from 39.5 to 7.5. This is tremendous improvement. Other trending strategies like TLB2 and GUP1 are showing big performance improvement as well.

The examples in the spreadsheet show big difference for Strategy lab testing going back from 1/1/2007 thru 6/30/2014.

The spreadsheet simply compares the strategy lab with the check boxes checked and unchecked.

I noticed these improvements mainly apply to Trending strategies and less so to RTM strategies.

Anyway, I want to trust these #'s but the caution message gives me pause.

Can Nirvana spend some time reviewing and see if we can move these check boxes out of Beta test?

I really hope these #'s are true.

Thanks.

Attached file : BULL3_Dynamic_Lists_Strategy_Lab_Analysis.20070101_thru_20140630.xlsx (338KB - 275 downloads)

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Mark Holstius

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Posts: 744

Joined: 10/11/2012
Location: Sleepy Hollow, IL

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Subject : RE: In Strategy Lab, Dynamic Entries and Exits Bet
Posted : 8/12/2014 5:04 AM
Post #32538 - In reply to #32536

Thanks for sharing that Juan!

Steve & I have been concentrating on RTM strategies for quick moving margin accounts and I'm just starting to focus some effort on IRA accounts. Your observations on using the Entry / Exit with Trending Strats will help a lot.

Not sure when that warning will be lifted, though, as there are a number of issues that need to be verified first and Hans has been quite swamped...

I'll ask when I have a chance - yours is a great example of how valuable this can be for exiting trending trades while they're profitable.

Thanks again,
Mark

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Steve Mayo

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Posts: 414

Joined: 10/11/2012
Location: Austin, TX

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Subject : RE: In Strategy Lab, Dynamic Entries and Exits Bet
Posted : 8/12/2014 11:40 AM
Post #32550 - In reply to #32538

To my understanding from discussions with Ed, the BACKTEST data using hard switching in the strat lab condition filter is reliable. It's just the hard right edge where there is a problem, something about it not sending correct data to the trade processor on that day.

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