OmniVest User Forums
OmniVest Pro Tools Beta
Market Mode Dynamic Lists
6 replies, 1346 viewings
|
OmniVest User Forums
OmniVest Pro Tools Beta
Market Mode Dynamic Lists
|
Last Activity 10/7/2016 12:00 PM 6 replies, 1346 viewings |
|
|
|
| Printer friendly version |
kmcintyre Elite    Posts: 890 Joined: 10/11/2012 Location: Portland, OR  User Profile |
How did LD and JD create DLs based on 9 market modes? Is it possible for Nirvana to create the 9 MM DLs and publish them as standard (not Custom) DLs within List Manager? Also, can the MM conditions be added to the stock conditions available via Condition Manager? What was the "20 minute learning curve" JD mentioned during the recent webinar? What was the % Invested obtained by the account with 5 MM portfolios being limited to 30%? How did it perform over a 10 year back test? What happens if you walk the start date forward a day at a time? Is it stable? I would really appreciate a step-by-step tutorial on how the MM scenario was created and deployed. Thanks Keith | ||
| SteveJ Veteran Posts: 105 Joined: 10/11/2012 Location: UK User Profile |
Has the newsletter that Ed referred to in the webinar been sent out yet? (And a link to the recording of the webinar?) I haven't received either. | ||
| arby Member Posts: 20 Joined: 10/11/2012 User Profile |
Here are the links: Webinar recording: http://videos.nirvanasystems.com/omnivest/OVPro-3-28-15/video.html (about 1:05 total time, including Q&A) Newsletter: http://downloads.nirvanasystems.com/omnivest/OVNews-3-28-15n.pdf | ||
| Steve Mayo Legend Posts: 414 Joined: 10/11/2012 Location: Austin, TX User Profile |
| ||
| SteveJ Veteran Posts: 105 Joined: 10/11/2012 Location: UK User Profile |
Looks like I have an email problem. | ||
| hafnium Member Posts: 43 Joined: 10/11/2012 Location: Vienna, VA User Profile |
Just saw your post. A. The Market Mode Account approach that I wrote about in the newsletter was indeed a Development Account (not a fully finished product). Development in the fact that it 1. Included Multiple Dynamic Lists based on Market Modes (it also used Nirvana's supplied dynlists that were available at portfolio creation) 2. The Market Mode formulas were based on a early version of the concept as developed my Jim Dean. The Omniscript code that I used in both the market mode conditions and in the DLs was based on my understanding of his philosophy 3. Whether or not Nirvana provides Conditions and MM Lists to everyone will probably determined by some sort of agreement between Jim and Nirvana. The concept is actually trademarked. On the bright side. If you actually read and understand the threads referenced in the article - it would not be too difficult for anyone to implement a rough version of the concept - as I did last year. (the account was developed in Nov 2014). Also, the account used over 70 strategies (if you define a strategy as a system, a list, and a market condition). The ELS and the NRS lists were actually the most commonly used lists - not the MM lists. B. The percent invested in the account averages 118% (it runs as a margin account where 200% is max allocation). The 5 MM portfolios have an allocation of 30% each. The one trending portfolio was given an allocation of 40%. So, in theory the max % invested should be 190%. What you will find is that MM portfolios do not trade very much and thus have lower % invested numbers when compared to the CAR, ie they are more efficient when you compare their CAR/%Inv ratios. C. The calculated performance statistics of the account, with a starting date of 1/1/2007 to today is CAR 109%, MDD 19.9% %Inv 118% . -The 5 MM portfolios are not very sensitive to the start date - as they trade infrequently. - the Dynamic Portfolio (trending strategies) is somewhat sensitive to the start date however. I saw CAR variations of this portfolio alone of 15%. I believe I checked by starting the DP on the 1st, 15th, and the 25th. The CAR was actually higher with a 25th start. I choose the 1st start as it was the middle value in my testing. D. Happy to discuss the concept at any time. I believe that the article actually does a good job in explaining the concept in use. The goal is to find the system, list, and market mode combination that work well together. There are probably many ways to come up with good solutions if we work together. Finally - the 20% learning curve comment that Jim made was interesting. From my understanding (it was new to me also)- it referred to Nirvana allowing third party solution providers to hook into OT/OV. Thus, one would be able to sell a solution to the customer base via a dll without revealing your actual source code (as you would have to do if provided as OL or OS) LD [Edited by hafnium on 4/2/2015 5:06 AM] | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
Thanks for the response. You filled in some blanks for me. I did some work with my own stab at creating a ton of strategies targeting MMs back in 2014, with the hope that ECA (PW) would be able to ferret out which strategies were best suited to the current MM. It didn't work out so well. I didn't use JDs excellent OL formulas because of the limitation of 3 custom DLs. So I eyeballed MM date ranges. Conditional exits, PB, and hard limits to max portfolio allocations were not available at that time either. Perhaps I should revisit the topic. Thanks for your write up. The concept was explained. And your response has clarified some implementation misconceptions (wishful thoughts) I had. Cheers Keith |
|
|
|
|
Administrator
Forum Moderator |
Registered User
Unregistered User |
 E-Mail this thread to a friend(un)/Freeze thread | |
Toggle e-mail notification |
