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ATM: First Impressions
Last Activity 4/15/2019 7:43 PM
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Mark Holstius

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Subject : ATM: First Impressions
Posted : 1/21/2018 1:06 PM
Post #36964

ATM has some very advanced capabilities that we’ve all wanted for a long time.

The ability to alter our choice of Strategies, Allocations, Long / Short ratio, number of trades, and ranking method based on Market State are all obvious advantages.

We’ve only had it for a few days now, so I feel like my 8 month old granddaughter - just learning to crawl.

With that in mind, I want to share some of the good things I’ve found even at this basic beginning level.

I wanted to demonstrate to myself that the results we’ve seen from Nirvana weren’t just a curve fit to a specific combination of stocks, strategies, and settings...

To do this, I obtained various lists for testing by using Omniscan in OT to obtain the top 300 liquid stocks;




I then split that large list into 3 random lists, each with a unique set of 99 stocks + SPY.

To vary the Strategies used by ATM, I kept 3 of those used by Nirvana and added 5 new ones;





I kept the same Market State definitions used by Nirvana, and then used Jim Dean’s rigorously tested “step back and squint” method to choose which strategies to use in each market state.

Results of my first test;




This first run produced a much smoother curve using ATM, but not exceedingly better than the % of equity results - until you look closely at the sidebar statistics.




ATM vs % Equity (both using 10% of equity)

1) MDD 20.7% vs 75.7%
2) Return-Drawdown Ratio 10X higher
3) Avg Ann MDD 8.0% vs 29.6%
4) Avg % Inv 57% vs 166%

I feel the most important may be #4...

The ATM ending equity is 3X greater while only utilizing 1/3 of the Avg % Invested.


Since there’s so much equity available, I retested with ATM % Invested at 20%;




Now the ATM excess return is obvious, and the sidebar statistics are again very positive;





ATM vs % Equity (ATM at 20%)

1) MDD 25.2% vs 75.7%
2) Return-Drawdown Ratio is 30X higher
3) Avg Ann MDD is 12.2% vs 29.6%
4) Avg % Inv 81% vs 166%

Now to my second big question…

Are these settings only applicable to this specific set of symbols - a curve fit?


In an attempt to answer this, I used the identical ATM settings with the other 2 lists I created.

Each list has a unique set of 99 stocks + SPY (necessary for Market State determination).

Using list 2;




Using List 3;




Again, ATM results are much better - with much lower Avg % Invested.

Using the combined list of all 300 stocks;




The stability of the improvement using ATM with unique stock lists is impressive.

This particular test using different lists may not be perfect, but it helps to demonstrate to me that the results are not dependent on a specific set of symbols paired with a specific ATM method (a curve fit).


There are many more ATM capabilities that I didn’t modify at all in this set of tests;

Market State Definitions, Filters, Ranking, Allocation, Long / Short ratios…

I simply wanted to pass on what I’ve learned this first week at a very basic level.

I look forward to learning how to fully utilize the ATM capabilities - developing better methods to use both in OT and Omnivest.

Mark


[Edited by Mark Holstius on 1/21/2018 1:14 PM]

Attached file : 00 Stocks List.jpg (61KB - 1760 downloads)
Attached file : 01 Strategies List.jpg (112KB - 1779 downloads)
Attached file : 02 First Run.jpg (380KB - 1783 downloads)
Attached file : 03-Comparisons.jpg (461KB - 1750 downloads)
Attached file : 04 Results at 20.jpg (367KB - 1772 downloads)
Attached file : 05-Comparisons at 20.jpg (456KB - 1755 downloads)
Attached file : 06-List 2.jpg (433KB - 1748 downloads)
Attached file : 07-List 3.jpg (394KB - 1760 downloads)
Attached file : 08-All 300 stocks.jpg (413KB - 1791 downloads)

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kmcintyre

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Subject : RE: ATM: First Impressions
Posted : 1/21/2018 1:50 PM
Post #36965 - In reply to #36964

Mark,

Impressive - as always! Thanks!

I'm so rusty on OT it will probably take a while for me to get familiar with ATM. I would be really interested in seeing how the results varied when changing the start date of the simulation.

I know this might sound silly, but I performed (and posted results for) lots of test on OV that showed wildly varying results over significant backtest periods (years) simply based on what day in January the test was initiated.

I'm just an old legally blind crufty dude who can hardly use the computer these days. Your help validating this latest Nirvana tool is appreciated!

Keith

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KC Kid

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Subject : RE: ATM: First Impressions
Posted : 1/21/2018 4:07 PM
Post #36966 - In reply to #36964

Mark,

In your evaluation, the one thing you did not vary was choice of strategies in the mix. (Edit: Sorry, I misstated. You did change up the strategies, but my point below of having trending strats in the mix must be the reason for the big drawdown periods in the basic % of equity run.)

I jumped on the ATM bandwagon, but have not yet fired it up to do testing. But something has been eating at me that I want to test. Why is ATM avoiding the big drawdowns, I was wondering? Afterall, this new raging bull market state only comes into play primarily in 2017. The rest of the time, only RTM strategies are in use during long and short periods. Next, I was thinking "When have I seen an RTM equity curve published by Nirvana that suffered such drawdowns as show here approx 2002, 2008 & 2011?" Answer: Never. None of the RTM strats suffer such significant drawdowns. But this curve does. And I think the answer is that the base curve contains several trend following strategies that are enabled and trading during periods where they are out of favor.

The simple test would be to enable only RTM strats for a normal, an ATS and an ATM setup and compare the equity curves. I suspect the unenhanced % of equity curve will not have nearly the severe drawdowns as the current 'brochure" curve and the ATM curve will be much closer to the ATS curve, ATM possibly still benefitting from the different market balance setting in bull vs bear market states.

I think ATM may be a good platform to develop and experiment with market state switching. I would like to find out if market state could be detected with more granularity to switch in trending strats into the mix more often. Surely there were periods outside of 2017 where trending was the way to go.

Anyway, I'm not sure ATM is really going to deliver the shock and awe offered at its unveiling. Love to see if anyone can run my test and post results before I have a chance.



[Edited by KC Kid on 1/21/2018 8:24 PM]

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Jim Dean

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Subject : RE: ATM: First Impressions
Posted : 1/21/2018 4:25 PM
Post #36967 - In reply to #36966

ATM is an open ended tool, akin to Stategy Wizard. It provides ability to intelligently manage trading, without locking in or “fitting” pre-determined activity, as long as it is used wisely - much like SW. It does not inherently remove any pre-tuning from strategies that it is “fed”, but rather provides a broader and more robust implementation of them.

Could it be used to “curve fit”? Sure - but it would be counterproductive to use it that way imho. The way to avoid it is to apply rules for filtering states and ranking trades and applying allocations that “inherently make logical sense” - rather than blindly or mechanically iterating though hundreds of options to find the best outputs.

Summary: keep your brain engaged; don’t over-tweak results.

Aside: I suspect the most revealing tests for “comfort level” purposes would be to use less sophisticated strategies (such as ones provided with base OT package), which are less likely to have been inadvertently over-tuned during development. Before/after comparisons of those kernel strategies could provide a challenging “acid test”.
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kmcintyre

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Subject : RE: ATM: First Impressions
Posted : 1/21/2018 9:52 PM
Post #36968 - In reply to #36967

0.01 / share commission drops the 87M ending equity of the default ATM profile to 27M.

Still a nice problem to have.

My guess is small accounts and those with higher ticket charges will need to be careful.

Keith

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hafnium

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Subject : RE: ATM: First Impressions
Posted : 1/22/2018 7:17 AM
Post #36969 - In reply to #36966

Steve

The answer to your question about why/how the ATM curves avoid the big drawdowns is fairly obvious. The same 3 RTM strategies are being used in the Bear and the Default Market States. Same Equity Allocation (10%). What is different between Bear/Default modes is the Long/Short Balancing. In the Default mode the balance is 10 Longs / 0 Shorts. In the Bear Mode its 2 Longs / 5 Shorts. By the way, the trending strategies only fire in the Raging Bull mkt.

[Edited by hafnium on 1/22/2018 7:19 AM]

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Joe

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Subject : RE: ATM: First Impressions
Posted : 1/22/2018 8:28 AM
Post #36970 - In reply to #36969

Has anyone yet tried a walk forward test using ATM? if so could you please share your results? I would think if the results match up we could be good to go.
Thanks
Joe

[Edited by Joe on 1/22/2018 8:29 AM]

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Mark Holstius

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Subject : RE: ATM: First Impressions
Posted : 1/22/2018 10:50 AM
Post #36971 - In reply to #36966

Thanks for your observations Steve (KC Kid).

I agree that the % of Equity curve suffers in the comparison because of its use of trending strategies during bear markets, but that’s simply a consequence of the structure of ATM.

Jeff’s research with ATM showed us that one of the underlying causes of the poor performance of RTMs in 2017 was the lack of volatility. That lead to the realization that we should be using more trending strategies during those periods.

For ATM to have those trending strategies (or any particular strategy) available to use at the appropriate time, they have to be included in the “base” list of strategies - and all of the strategies in that base list have to be used at all times by the % Of Equity calculation. Presently, there’s no way around that.

In this set of tests, I was more interested in applying the same ATM method to 3 different lists - each containing a unique set of stocks. The fact that all 3 runs showed consistent results satisfied me that a particular ATM Method created isn’t just a curve fit only applicable to a particular set of strategies and stocks, but rather that it can be quite robust.

With that fundamental question answered, I’ll probably stop plotting the % Of Equity curve and use the ATM Method created as the base of comparison. Then I’ll save individual variations of the Method, adjusting other significant variables one at a time in each, and analyze their effect on the results.

ATM is an incredible tool. It allows us to refine things and see relationships like never before.

I’m sure the rewards will be well worth any effort involved, and I’m looking forward to Ed’s webinar this afternoon in hopes of learning more.

Mark

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gbarber

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Subject : RE: ATM: First Impressions
Posted : 1/22/2018 10:55 AM
Post #36972 - In reply to #36971

is there a webinar this afternoon? I didn't see a notice.
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Jim Dean

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Subject : RE: ATM: First Impressions
Posted : 1/22/2018 11:06 AM
Post #36973 - In reply to #36972

Me, neither. Angela please broadcast that invite. Thanks.
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Angela Duran

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Subject : RE: ATM: First Impressions
Posted : 1/22/2018 11:16 AM
Post #36974 - In reply to #36973

This is a marketing webinar. You would not have received a link if you already own ATM. You are still welcome to attend.

Here's the registration link to today's webinar:

https://attendee.gotowebinar.com/register/6177542697186907650
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gbarber

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Subject : RE: ATM: First Impressions
Posted : 1/22/2018 11:19 AM
Post #36975 - In reply to #36974

Thanks much. Hopefully it will be recorded. Not sure i can make that time 2PM CST.
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Jim Dean

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Subject : RE: ATM: First Impressions
Posted : 1/22/2018 11:44 AM
Post #36976 - In reply to #36975

Thanks Angela. Every little bit helps :-)
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Joe

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Subject : RE: ATM: First Impressions
Posted : 1/22/2018 1:07 PM
Post #36977 - In reply to #36976

Mark or anyone else,
I like your thought process in testing other symbols and some other strategies in ATM. Have you tried adding a bunch of random strategies and seeing what happens? Also have you performed any walk forward tests?

Joe

[Edited by Joe on 1/22/2018 1:08 PM]

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hafnium

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Subject : RE: ATM: First Impressions
Posted : 1/22/2018 6:21 PM
Post #36978 - In reply to #36968

Keith
I believe that gxtrader comissions are .005 /share (1$ min per order).
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Tim Lambie

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Subject : RE: ATM: First Impressions
Posted : 1/22/2018 8:57 PM
Post #36979 - In reply to #36978

If the commissions paid are defined by the “top tier” at IB as Angela mentioned in the GarWood transition thread, then pricing would be .0035/share and .35/order. Perhaps we can get confirmation from Angela.

I just ran Ed’s marketing model with these commission rates and got $68.5M, instead of 87m with no commissions. Still an awesome outcome, assuming robustness testing by Mark and others works out.

Tim
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Tim Lambie

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Subject : RE: ATM: First Impressions
Posted : 1/22/2018 9:31 PM
Post #36980 - In reply to #36979

Looking at my statement, it appears I am on the fixed plan with 1.00/turn min. I don't have a big enough recent trade to show the exact /share cost but, I would bet the .005 of the fixed plan.

We were led to believe at one point we are on the cheaper tiered model, albeit with only one tier but, with the pricing outlined above. I will start a new thread to follow-up since this orthogonal to the ATM discussion.

Tim
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kmcintyre

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Subject : RE: ATM: First Impressions
Posted : 1/22/2018 10:07 PM
Post #36982 - In reply to #36980

IB charges exchang fees, margin, quote subscriptions, etc. And ther s slippag.

But if i was throwing orders as large as Ed’s simulation grows to, I’d bet slippage would b the big issue.

Try it with a 5k account with a more r asonable 1.50 minimum Ticket...

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Steve2

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Subject : RE: ATM: First Impressions
Posted : 1/24/2018 7:01 PM
Post #36990 - In reply to #36982

Once your average trade size gets above 2,000 shares or so, IB is not the cheapest broker to use. You are better off using a broker that offers a fixed commission per trade although you also need to factor in margin interest rates. If ATM is successful, N will need to offer more broker integrations :-).
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MarkG

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Subject : RE: ATM: First Impressions
Posted : 1/28/2018 3:33 PM
Post #36991 - In reply to #36990

Has anyone done testing of the Nirvana ATM strategy without short positions? I would like to see the long-only equity curve that could be traded in an IRA account. I don't yet have the ATM module.



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SteveL

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Subject : RE: ATM: First Impressions
Posted : 1/28/2018 4:26 PM
Post #36992 - In reply to #36991

Hi, MarkG.

First, ATM or ATMS (Adaptive Trade Management System) is not a strategy. I would describe it as enhanced Portfolio Simulation and Trading. With ATMS you have the ability to configure which set of strategies are being used during different Market States (which can be configured to your heart's content), AND AutoTrade will be able to trade that same ATMS configuration (I believe the AutoTrade upgrade is targeted for release this coming week). So, don't think of ATMS as a strategy, but rather a way to simulate and trade with different strategies during different market states.

To answer your question as I interpret it, here is a snapshot of the shipped default ATMS configuration with the # of shorts configured to 0 (i.e. LONGS ONLY), AND Leverage set to 1 (instead of 2). The strategies and configuration variables are shown in the lower right-hand corner of the snapshot.

NOTE: Commissions are NOT included.



[Edited by SteveL on 2/1/2018 7:38 AM]

Attached file : 2018-01-28_15-20-08 ATM LongsOnly.png (170KB - 1268 downloads)

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SteveL

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Subject : RE: ATM: First Impressions
Posted : 1/28/2018 4:35 PM
Post #36993 - In reply to #36992

MarkG,
Here's the comparison with the original ATMS "Universal method", which includes shorts.

NOTE: This is still 1x leverage. I'll post a 2x leverage in the next post.

NOTE: Commissions are NOT included.



[Edited by SteveL on 2/1/2018 7:39 AM]

Attached file : 2018-01-28_15-32-09. ATM Universal 1x leveragepng.png (174KB - 1261 downloads)

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SteveL

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Subject : RE: ATM: First Impressions
Posted : 1/28/2018 4:39 PM
Post #36994 - In reply to #36993

MarkG,
Here's the original Universal method with 2x leverage. That's not applicable to IRA trading. But, I'm including it because that is the way it comes initially configured by Nirvana. For comparison, you also see the Longs Only with 2x leverage.

NOTE: Commissions are NOT included.



[Edited by SteveL on 2/1/2018 7:39 AM]

Attached file : 2018-01-28_15-36-45 Universal with 2x leverage.png (168KB - 1285 downloads)

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MarkG

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Subject : RE: ATM: First Impressions
Posted : 1/28/2018 4:42 PM
Post #36995 - In reply to #36992

Thanks Steve, that was exactly what I wanted to see :)


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Jim Dean

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Subject : RE: ATM: First Impressions
Posted : 1/28/2018 4:42 PM
Post #36996 - In reply to #36994

Fwiw: Ed seems to be using the term “method” for an ATM config.

Personally, I think of it as Next-Gen Strategy Builder.
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