OmniVest User Forums
General Discussion Topics
Follow The Money Modifications
29 replies, 4620 viewings
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OmniVest User Forums
General Discussion Topics
Follow The Money Modifications
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Last Activity 4/15/2019 7:43 PM 29 replies, 4620 viewings |
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Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
Rather than filtering trades, the portfolio dynamically selects symbols and takes numerous small trades in various groups. It’s a model / set of rules / that will dynamically vary the pool of stocks traded by RTM strategies, attempting to select the stocks currently traded by large institutions. I don’t expect the portfolio to avoid Market Events / Black Swans. Drawdowns that affect the market as a whole will be normal, though hopefully limited. Instead, I want a portfolio that will trade consistently and respond positively after an event. The recent multiple entry trade in ARNC for a loss in June has proven to be beneficial, as it got me thinking about both my Money Flow parameters and my “base” list of stocks. As a result, I’ve made a few small revisions to my Follow The Money Rev02 portfolio that I hope will be of benefit to us all, and posted it on Elite as “Follow The Money Rev06”. The basic concepts remain the same; 1) Dynamic Lists select the stocks to trade on a daily basis. 2) Portfolio Wizard selects the 25 Strategies out of a pool of 40 to trade on a weekly basis. 3) Trades are long only in RTMs using high money flow stocks. 4) Trade size is small to achieve diversification / reduction of risk by taking numerous trades. The modifications concerning Money Flow and foreign stocks aren’t extreme. They seem practical & make sense to me on a “gut level”. The first small modification is an increase in the minimum Money Flow required from $50M to $60M in order to screen for higher liquidity. The primary modification attempts to identify stocks experiencing recent changes in Money Flow in order to avoid 2 situations; 1) If there’s a spike in money flow that puts a stock into my $60M target Money Flow range (similar to what happened recently with ARNC), the portfolio will wait a week before trading the stock. Hopefully, that will avoid the attempt by RTMs to “catch the falling knife” when bad news comes out & a stock experiences a high negative Money Flow. 2) If there’s a drop in Money Flow that causes a stock to fall below the $60M target (a decrease in activity prior to earnings, etc.), the portfolio will again wait a week before trading the stock. The modification to the base list involves removing ~160 International stocks from the list that appear to trade primarily in a foreign market. I kept a few foreign stocks that do a large percentage of their trading in the US markets, so my base list now contains ~4,100 Optionable stocks. I constructed the following table to illustrate the problem that can occur when trading foreign stocks. The table has the NYSE in column B starting at midnight (labeled with a blue #1) There are 12 more large markets in columns across the table with their local time of day in each row corresponding to the NYSE EST time of day in the same row. Each column has the particular market’s trading times highlighted in yellow. I’ll use London to illustrate a possible problem with foreign stocks (column E: blue #2); A) OV triggers a trade using the closing price at 4PM EST, which is 10PM in London. B) OV enters the trade MOO 17 hours and 30 min later at 9:30AM EST the following morning. The corresponding time of entry is 3:30PM in London. In row 51, the table shows that the London Market has already been open for 7 hours and 30 minutes at the time the trade is entered. We’d be entering the trade near the end of the trading day in London - and if that’s the primary market for the symbol, a lot may have happened. The problem can be even more pronounced in columns I (Dubai) thru O (New Zealand). The decision to take the trade is made when each of those markets has been closed for quite some time, followed by another entire trading day in the foreign market before the MOO entry occurs (when the foreign market is again closed). To illustrate, suppose a stock trades primarily on the Tokyo exchange (column M). OV could trigger a trade at 4:00PM EST Tuesday afternoon based on the Tokyo close that occurred 15 hours earlier. Tokyo would then have an entire day of trading before OV executes the MOO trade at 9:30AM EST Wednesday (11:30PM Tokyo time - again while that market is closed). The symbol then might not experience a significant # of trades until the Tokyo market opens 9 hours and 30 minutes later (9AM Thursday, Tokyo time). BTW - There are 5 major markets that observe DST, so I’ve also attached a table with those DST markets highlighted in green with the times adjusted accordingly if you’re interested (see the attached file “02 Foreign Markets vs EDT.png”). As I said, these aren’t major changes. They’re modifications that I feel are reasonable attempts to improve the model / rules & help it respond dynamically to what I believe may happen in the real world. I felt the original portfolio (Rev02) was already quite robust and wouldn’t be affected much by the changes. To avoid any unintentional curve fitting, I made the modifications prior to observing the results in OV. After making them, I ran OV to obtain some before & after comparisons… Alan Faris & I have both been proponents of using CAR / Avg % Invested as a measure of “efficiency”, so I’ll include that statistic in a snag of both Rev02 and the new Rev06 from 1/2007 thru the end of 2015: the “development period” for this portfolio; As expected, there are fewer trades due to the modifications & the equity is lower for the new Rev06. I’m glad there are no large variations (which would indicate some sort of curve fit to the data), while there are improvements; HR is higher (76.8% vs 75.4%) Avg Annual MDD is lower (8.3% vs 8.8%) The “efficiency” measure is higher (1.65 vs 1.49) Expanding the comparison to the last 15 years; Once again, there are fewer trades due to the modifications & the equity is lower for the new Rev06 - but there are incremental improvements; HR is higher (77.2% vs 75.8%) Avg Annual MDD is lower (7.5% vs 8.3%) The “efficiency” measure is higher (1.52 vs 1.42) This past year; HR is higher (82.2% vs 76.3%) Avg Annual MDD is lower (2.0% vs 4.0%) The “efficiency” measure is higher (1.42 vs 1.07) The Equity Curve just appears more "stable" Recent Performance This is an unexpected pleasant surprise that makes me really, REALLY wish I’d constructed the portfolio this way originally. When I start both with the date I originally posted Rev02 to Elite (6/15/17), there’s a distinct advantage - and it’s quite apparent that we all would’ve benefited from the modifications. The efficiency ratio is meaningless over such a short period, but the improved results are obvious. The modified portfolio has closed 62 trades since 6/15 - ALL of them profitable. It appears that the modifications have improved the stock selection over time, and quite dramatically recently. I don’t know if it’ll hold for the future (and LD advises that we should avoid trading a new portfolio until it’s in a DD…), but the modifications are simple, logical, and not the result of any curve fitting to the recent data - so I’m hopeful. For comparison, here are the results since 6/15/17 using an 8% allocation (4% of Margin Equity); For the record - I’m trading it with the lower allocations in both my IRA and Margin accounts until I have more experience / data, and would recommend that all subscribers do the same. However, you can modify my Account Settings along with your choice for the portfolio Trade Multiplier (trade allocation size) via this portfolio in the Elite tab in OV whether you’re a subscriber or not in order to see various options & confirm the results I’ve posted above. The allocation decision is obviously up to you and your risk tolerance. I posted the process for observing the portfolio in your own account with no requirement to subscribe in this thread; https://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7832&posts=14#36778 Another “FWIW”: I ran this with the symbol ARNC in the symbol list and the new modifications did eliminate that trade. I’ve since removed ARNC from the list because of the volatility in the stock as a result of the London fire. I feel this attempt to develop a model that dynamically identifies symbols being traded by large institutions appears to hold promise. I’m hopeful that we can get even better performance when we’re able to add AI, expectancy, and different trade plans in OV. When I reflect on it, these new modifications might be a stabilizing factor due to a rise in activity by robo advisors or an increased flow into index funds(?). I honestly don’t know. I’m in the process of comparing the before & after trades to help clarify things. I’ve posted the portfolio in Elite as “Follow The Money Rev06”. I’ll be sharing more details in the near future concerning drawdown expectations and the benefits of multiple trades in the same symbol. As always, good luck in your trading… Mark [Edited by Mark Holstius on 7/7/2017 6:40 AM]  Attached file : 01 Foreign Markets vs EST.png (820KB - 1658 downloads) Attached file : 02 Foreign Markets vs EDT.png (834KB - 267 downloads) Attached file : 03 Development period.png (235KB - 1620 downloads) Attached file : 04 15 Years.png (252KB - 1596 downloads) Attached file : 05 1 Year.png (221KB - 1581 downloads) Attached file : 06 Since original post.png (122KB - 1600 downloads) Attached file : 07 8 percent.png (89KB - 1567 downloads) | ||
| arby Member Posts: 20 Joined: 10/11/2012 User Profile |
REV06 looks like a good improvement to an already great portfolio. As a current subscriber to REV02, I'm not quite sure what to do to transition from REV02 to REV06 with respect to actual subscriptions and already open trades. Can you give some guidance please? Arby | ||
| Bruce Britt Regular Posts: 81 Joined: 10/11/2012 Location: Louisiana User Profile |
I'm thinking the first step is to turn off new executions in the Trade Processor, to let all open positions close. Then transition to the new portfolio (I see Rev06 in Elite Trader) and then turn TP back on? Appreciate any guidance. -Bruce | ||
| Angela Duran Veteran Posts: 168 Joined: 10/11/2012 Location: Nirvana Systems User Profile |
For best results, follow these instructions: 1. Disable the Follow the Money Rev02 portfolio on the Elite tab of the Explore portfolios page for the desired account. 2. Enable the new Follow the Money Rev06 portfolio. 3. When you save the new FTM R06 portfolio, you will be prompted to subscribe to the new portfolio, follow the subscription process to completion. 4. On the OmniVest page, click the green "My Account" link at the top of the page. 5. Click Subscriptions. 6. Click the unsubscribe option next to FTM r2. (This will ensure that your subscription to the R2 version does not renew.) OmniVest will continue to manage the trades in your account that were generated by the disabled portfolio to completion. | ||
| arby Member Posts: 20 Joined: 10/11/2012 User Profile |
Everything worked. [Edited by arby on 7/6/2017 1:52 PM] | ||
| Mark G Member Posts: 41 Joined: 10/11/2012 User Profile |
1. There is NO automatic smooth payment transition from Rev02 and Rev06. 2. There is a *double* payment during the overlapping coverage. 3. Everybody's Rev02 payment date is different and dependent on their own beginning date for Rev02. 4. My Rev02 date is on the 16th, so I cancelled now, and will sign up for Rev06 after the 16th to avoid double coverage. . . . to bad there isn't a better way to do this . . . --Mark G. | ||
| Keith Parsons Member Posts: 25 Joined: 3/12/2014 Location: Durban, South Africa User Profile |
"Another detailed explanatory post which certainly gives me a lot of comfort" I have loaded Rev 6 and now look forward to the trading weeks ahead. Regards, Keith Parsons | ||
| James McNeill Regular Posts: 68 Joined: 3/8/2013 Location: Victoria, BC, Canada User Profile |
Did the Trade Report show any trade opening orders for night of 07072017 ? | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I had no opening trades for FTM Rev06 for either 7/6 or 7/7... Mark | ||
| Keith Parsons Member Posts: 25 Joined: 3/12/2014 Location: Durban, South Africa User Profile |
As of today (10:02 EST) I have no opening trades for a paper & live account - each being on separate PC's.(FTMRev06 on both machines) Just wondering if there have been any. Thanks | ||
| James McNeill Regular Posts: 68 Joined: 3/8/2013 Location: Victoria, BC, Canada User Profile |
I showed no trades last night | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I show no trades yet. After 100’s of spreadsheets, ??? hours of development, testing, analysis, and verification... Now comes the really hard part. Sitting back and letting it trade for a year or so. ;-) Here’s hoping we’re all richer by the time Bash 2018 rolls around. Mark [Edited by Mark Holstius on 7/11/2017 10:40 AM] | ||
| Buffalo Bill Member Posts: 28 Joined: 1/2/2015 Location: Stafford, VA User Profile |
As I anxiously wait for my IB margin acct to get funded (took 10 days to get $$ from MB trading, get it to IB and they get it but don't allow trading for another 10 days. ugh) But I went to OV to look and see what has been going on trade-wise and I notice something when I look at the trade info - multiple entries of the same symbol on the same day (see attached). Different strategies firing the same signal. What are the implications? Are the exits the same? Just curious. Is this the FTMv6 draw-down we were expecting? Attached file : FTMv6 trades.jpg (384KB - 220 downloads) | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Actually, it may work in your favor to been on the sidelines lately. After a string of 62 winning trades in a row, we’ve had 12 losing trades close out recently. That’s still an 84% HR since 6/15, but nothing to brag about recently. Sigh. It’s all part of the game, and nothing to be particularly excited about historically. In answer to your question about multiple trades: Yes, the portfolio is designed to take advantage of multiple entries in a symbol. I’ve found a definite positive correlation over time between multiple signals firing in a symbol and an improvement in the resultant PPT. Please see my first post in the following link to a thread for more information & data - in particular the blue table near the end of the first post in that thread; https://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7839&posts=2 There are 2 FTM Recent losses that stand out - both of which were affected by earnings reports. COHR The FTM portfolio entered a trade in COHR on 8/1 that was perfectly reasonable - until they posted earnings that evening that didn’t meet their Consensus forecast. At least it was a single small 2% position and didn’t do a lot of damage. That’s one of the benefits of taking numerous small trades - diversification. -12.49% x 2% allocation = ~ -.25% equity loss. That would’ve hurt a lot more with a 20% allocation. There were 2 trades in COHR on 6/16 that closed +7.35%, but this losing one just has to be chalked up as a “black swan”. It’s interesting that the RTM had already signaled an exit for the following morning, so we only got hit with a -12.49% loss. COHR gapped down on 8/2 and had a much larger loss that day overall (~ -20%). DAL DAL was an entry on 3 signals 8 days after a lower than expected earnings report and wasn’t helped with a sideways market (SPY). Looks like it may come up some more, but we’re out of it now. Maybe avoiding trades before and after earnings could be a good idea, but it would take more testing. There are surprises to the up side that help too… It’s all part of automatic, unattended, ”non-discretionary” trading. The rules don’t always work - we just want them to work enough to make us money over time… Nice to have you on board, Mark [Edited by Mark Holstius on 8/3/2017 7:57 PM] Attached file : 01 COHR.png (296KB - 1234 downloads) Attached file : 02 DAL.png (315KB - 1205 downloads) | ||
| arby Member Posts: 20 Joined: 10/11/2012 User Profile |
You sure are right about this: " There are surprises to the up side that help too…" ANET had an earnings surprise Friday that gave me an 18% gain on three trades after two days. I got out manually before the close Friday. Arby | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Glad you noticed that line about surprises to the upside… I certainly didn’t expect one quite so soon, but it’s always nice to pocket the wins. Maybe we should refer to them as “White Swans”…??? ;-) I hope to use OT to get more data on volatility around earnings, but I’m involved with another project concerning Limit Orders at the moment. Reflecting on it, what I like about this portfolio is that because of its diversity and small trade sizes I don’t find myself getting overly concerned about any particular set of trades. I figure the statistical behavior should assert itself over time. Could be interesting given World Affairs / Politics for the next few months, though. BTW - looks like you got a few extra bucks on those 3 trades getting out on Friday. Nice. My testing data doesn’t support early exits overall, but maybe doing it on Fridays would be a good thing to check out…??? Mark | ||
| Buffalo Bill Member Posts: 28 Joined: 1/2/2015 Location: Stafford, VA User Profile |
Following all the trades closely the last month I notice we gets lots of small winners but also some very big (by comparison) losers, which wipe out a lot of those wins. I have not seen a trade that stayed a loser for over 2 days turn around. Since I can't see the tradeplan the strats use I can't suggest or test possible modifications. It appears that getting out earlier may be prudent - either after x% loss or if not at least break even by X day. IDK, just an observation One good thing is the slippage (actual entry vs OV MOO entry) seems to be good, sometimes even in our favor and rarely bad enough to notice (although there have been a couple with a 1% or more difference to the bad side). | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Yes, numerous small gains vs a few large losses seems to be the norm with RTMs. High Hit Rates can be deceiving in that case - you can have a 90% HR and still lose money if all the positive trades are small compared to the losers. That’s why I choose to use small trade sizes, numerous trades, and then plot the equity curve. I believe an equity curve showing the results of >95% of all the trades generated by a system gives a good representation of the true performance of the system over time. The equity curve is then a tool to see whether the positive trades outweigh the losses. Your comment about getting out earlier by using stops is a frequent one too, and will probably generate some comments. With that in mind, I’ve started a new thread about Stop Losses here; https://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7846&posts=1 Thanks, Mark BTW - I've seen good results as far as slippage too... | ||
| James McNeill Regular Posts: 68 Joined: 3/8/2013 Location: Victoria, BC, Canada User Profile |
It is my understanding that all trades entered using FTM will have a stop loss exit and a profit target exit. I am making an assumption here about the stop loss exit and that is that it is probably placed at a point about 3ATR from the entry price of any trade taken. A reasonable assumption I think in which case I wondering what might have happened to a recent trade in TRV. The attachment shows an entry at $127.75, a 3ATR stop at $124.00 and the current price at $115.43 5 days after the stop would have been hit. All assumptions I know but I am wondering Jim Attached file : 0D55447082F941AEAD33DA2986B52F51.png (89KB - 224 downloads) | ||
| 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 - 882 downloads) | ||
| James McNeill Regular Posts: 68 Joined: 3/8/2013 Location: Victoria, BC, Canada User Profile |
I reread your referenced post and again picked up on things that I missed on my first reads. Like Jim I am a fan of ATR stops and a study of those would be interesting but understand the limitations you would run into. One of your comments re: "I have no knowledge of any stops in the strategies" made me look again at the trade plans for many of the Nirvana strategies. A large percentage of them contain fixed loss stops based on ATR multiples. This was the basis of my question. It never occurred to me that without a fixed stop loss the trade would have to wait for a exit signal from the moving average stop. I hope that Nirvana will soon provide the option of ATR stops in the TP Best Jim | ||
| Jim Dean Elite  Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
They might also have a wide fixed loss stop in play in the interim - 5xATR? [Edited by Jim Dean on 9/9/2017 7:19 PM] | ||
| James McNeill Regular Posts: 68 Joined: 3/8/2013 Location: Victoria, BC, Canada User Profile |
Parameters of the ATR seem to vary which suggests they might not be 'arbitrary' Some RTM strategies do not reveal the stops used. These seem to be the ARM strategies. So I am still wondering about TRV ? why would it (and others) not have stopped out. ? | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I wanted to wait until the TRV trade closed out before commenting further, and it ended up being interesting. I can't tell what the Trade Plan details are, but this particular trade used the new CTX-1 system and the logic proved to be correct. It took a bit of patience (and luck?) - but in this case the statistics worked to our benefit. The MDD during the trade was -10.95% and the final exit was a -4.07% loss. This proved to be like the cases in my thread about stops where a stop set at 5-10% would result in the P/L% for the trade being worse. Not easy to watch, and there will definitely be times when a stop would be an improvement, but the statistics hold up given a large number of trades... As I said at the Bash, my FTM portfolio is an attempt to follow the major players / institutions. Maybe their algorithms kicked in because of the drop in price, maybe it was luck with the hurricanes? Here's hoping we don't get too many of these in the future, and that the RTM statistics hold up over time. Mark [Edited by Mark Holstius on 9/13/2017 6:49 AM] Attached file : TRV Trade.png (69KB - 749 downloads) | ||
| GordonG Regular Posts: 76 Joined: 10/11/2012 Location: Sydney, Australia User Profile |
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