mholstius Veteran   Posts: 175 Joined: 1/13/2017  User Profile | I've given this new method to Nirvana to add to the library of ATM methods, so everyone will be able to download it and use it freely with ATM. You don’t need to worry about remembering all the details that I’ll share in this post, and you can replicate any of my results for yourself. This new method combines 3 Macro States with 3 Micro States, giving a total of 9 Market States. The earlier Micro States method uses various combinations of MACD, VTY_PRICE, and Bollinger Bands to define the market states. In the quest to make this new one robust, I wanted avoid duplication or repetition of those measurements. To accomplish that, I chose to use an SMA of Balance Of Power to define the Macro States referenced to SPY. The Bear Market state is defined as: SMA(BOP(200),20) <=0 The Bull Market state is defined as: SMA(BOP(20),20) >=0 The Default State is anything else. This produces a greater variety of Macro States than the Universal method provided by Nirvana, but still reflects the state of the market over longer periods of time than the Micro States. My template colors the Micro States in the chart area and the Macro States in the volume pane. Here are a few examples to illustrate the various market states… From 2003 - present; From 2017 - present; A choppy period from 2010; Since a Macro Bear Market happens decidedly less frequently, those are placed as the top 3 of the 9 Market States, and then paired with the Micro States. To illustrate, I’ll overlay a few combinations during the bear market of 2008; I’ve added a filter to limit the short entries to C>=$5 and the long entries to C>=$3. The ranking remains VTY_PRICE(10,5) descending for all states. With the added confidence that comes from including longer term market states, I was able to refine the choices of strategies, allocations, and Long / Short ratios. I haven’t yet taken advantage of any of the excellent optimizing capabilities of ATM. This grid shows the logic sequence of the states and all the various combinations and values for them; After considering the statistics I’ve collected over the years concerning RTM performance, it seemed logical to me to have a progression of % Equity allocations; Macro Bear: 10% of Equity Macro Bull: 15% of Equity Macro Default: 12.5% of Equity (in between Bear & Bull) I don’t doubt that we’ll find better settings, but I hope this will give anyone who wants to pursue further testing a good starting point. Before going on to show the results using this method, I want to thank Nirvana for allowing me to preview the next pre-release (2J) this past weekend. It contains a particularly useful new capability. It’s now extremely easy to calculate and compare the effects of using 1X, 2X with margin being used to take additional trades, and 2X with margin being used for leverage. It’s simply a matter of making your choice in the Account Settings; Should you want more information on the effects of this, I discussed the benefits of using margin as leverage in detail in a previous thread; https://www.omnitrader.com/currentclients/proforum/thread-view.asp?threadid=7570&posts=9 Here are some comparative results using this new Macro + Micro method, Micro method, and % Of Equity of all of the Strategies (without the benefit of ATM); From 2003 - present using 1X Long & Short; From 2003 - present using 2X with Margin used for additional trades Long & Short; From 2003 - present using 2X with Margin used as Leverage Long & Short; Any discussion concerning robustness and curve fitting can only truly be resolved as we get experience at the HRE. I continue to believe that both Trade ranking and the ability to limit trades to the top X number of trades in ATM constitute a paradigm shift. Those capabilities are something we’ve never been able to do before having ATM, and I'm sure we'll learn how to exploit them even further as we get more experience. I also rely on the fact that this is trading 300 symbols with a variety of RTMs over long periods with a good measure of consistency and stability. I’ve spoken to people who’ve been having success paper trading the Micro States, and who intend to go live with it this week. We’ll have more experience, and probably better settings by the Bash. The possibilities are limitless, and I hope this method will prove to be a good starting point for additional testing. I know I have some ideas… just not enough time. I look forward to the improvements others will undoubtedly find & hopefully share - and welcome any peer review of the process. Since everyone will be able to download this method and test things for yourself, I’ll stop here and let you confirm the benefit of ATM for yourself. I’d also like to repeat what I included when I posted the Micro State Method; So, this is just free for the asking…??? Yup. There’s no $100/mo subscription or anything - but I do have one small request… If you find that this new Macro + Micro States method adds value to your investment in ATM, either in saving you development time, the concepts and ideas it imparts, or the trading results you obtain… Please, donate whatever you feel that additional value is to the St. Jude Children’s Research Hospital; https://www.stjude.org/ They’re doing some amazing things for kids dealing with serious illnesses. Thank you! Mark [Edited by mholstius on 3/12/2018 6:45 PM]  Attached file : 00 States from 2003.png (54KB - 4844 downloads) Attached file : 01 2017.png (46KB - 4818 downloads) Attached file : 02 2010.png (40KB - 4775 downloads) Attached file : 03 pairings.png (51KB - 4807 downloads) Attached file : 04 Macro Micro Grid.png (38KB - 4989 downloads) Attached file : 05 Leverage Settings.png (31KB - 4862 downloads) Attached file : 09 St Jude.jpg (3KB - 5944 downloads) Attached file : 06 1X Results Minus VIX.png (293KB - 4718 downloads) Attached file : 07 2X Results Minus VIX.png (312KB - 4706 downloads) Attached file : 08 2X LeveragedMinus VIX.png (294KB - 4753 downloads) |
