OmniVest User Forums
General Discussion Topics
Drawdown thoughts
6 replies, 720 viewings
|
OmniVest User Forums
General Discussion Topics
Drawdown thoughts
|
Last Activity 4/15/2019 7:43 PM 6 replies, 720 viewings |
|
|
|
| Printer friendly version |
Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
Statistically, Reversion To Mean (or Regression To Mean in many textbooks) has a number of supporters. The stats, coupled with large numbers of trades in different groups, is what keeps me going for the long haul & not worrying at this point. Drawdowns are part of the territory, sometimes due to overinvestment in a group, sometimes just the market. This time, the group representation seems pretty good… and putting the symbols into ETFScreen’s table, even fairly uncorrelated; But, we’re still sitting on a MTM loss. Randomness will do that. The UCO trade this past week is an example of how things can change: from -3.28% on Friday the day after the trade to closing for a 5.74% profit yesterday, Tuesday; I’m not saying that will happen this time & everything will be profitable - just pointing out that I’ll stick with the statistics supporting RTMs for the time being. With that in mind, I’m also trying to find a better “edge” by using the trade data people are sharing and some ideas I’m testing on setting profit targets. Just wanted to share some reflections… Hope everyone has a good day – and that things turn a bit more positive. ;-) Mark [Edited by Mark Holstius on 8/25/2016 6:21 AM]  Attached file : 02 Correlation of groups.png (197KB - 416 downloads) Attached file : 03 UCO Example.png (219KB - 429 downloads) | ||
| Jim Dean Elite  Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
For those of us "watching from afar", could you please post a table of the calendar MTM net gains/losses for the original portfolio and the newer one, since inception? Thanks! | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
You've given me a good segue into a more detailed analysis I hope to post this weekend, but for a simple answer today it's probably easiest to visualize the difference between the 2 Portfolios by looking at the stats and equity curves since their starting dates. I WISH I'd had the time to put together the "Flexible By Design" back in May before the Bash... but I didn't. So, all the time since 5/3/16 has to be considered "backtest" for the Flex By Design even though that time period wasn't used in its construction. That said, here's a snag covering both during the same periods; I hope to have more info on the weekend comparing different trade sizes and margin levels vs risk... I'm looking forward to utilizing your excellent MTV capabilities too - I think that will help a lot. So much to learn, and so little time, huh? Mark [Edited by Mark Holstius on 8/25/2016 11:53 AM] Attached file : Portfolios Compared.png (365KB - 406 downloads) | ||
| Mark G Member Posts: 41 Joined: 10/11/2012 User Profile |
For those of use who were attracted to the original because it was LONG only, for IRA's: Could you please show the LONG only portion of the new portfolio, in order to better decide whether to switch to the higher cost port? Please? --Mark G. | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
| ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
There was some information comparing the two Portfolios in an IRA about half way down in my first post in the thread link below (not 1/2 way down in the thread); http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7739&posts=20 The biggest factor that I hope helps is that there are 526 "Long" RTM-ETF Strategies in the Flex By Design vs 143 in the Original. The trade sizes are the same, but there are more of them - so we get a higher Avg % Invested. Here's a snag comparing the two the same way I just posted for the Margin Account above; This week hasn't been kind to the new one, but I'm trying to trade it like my other IRAs - set it up and forget it for a while. Today saw some movement to the positive side that I hope continues... ;-) I certainly hope it pays off for everyone, but I'll reiterate that it's not proven that this RTM-ETF concept will continue to work in the future. I DO believe the "risk of ruin" is extremely small, and personally I'm just hoping for something around 20 - 30% / year. Hope that helps, Mark [Edited by Mark Holstius on 8/25/2016 3:38 PM] Attached file : IRA Comparison.png (347KB - 366 downloads) | ||
| Mark G Member Posts: 41 Joined: 10/11/2012 User Profile |
Yes, switching to the new port should definitely be done. I have not been able to get off a single trade with IBG-TP in AWS since July 1; have posted several times, but no response from N. Have now given up. Angela responded to an email request from me yesterday, for information about IB on the Garwood FIX server: Sometime in September I'm told, and hoping. Thanks again, Mark G. |
|
|
|
|
Administrator
Forum Moderator |
Registered User
Unregistered User |
 E-Mail this thread to a friend(un)/Freeze thread | |
Toggle e-mail notification |
