SteveL Veteran   Posts: 262 Joined: 8/19/2005 Location: Boulder, CO  User Profile | Mark Holstius describes in detail his ATM method which produces an outstanding equity curve. The profile and ATM method are downloadable from Ed's blog: https://www.nirvanasystems.com/macro-micro-method/ In this post, I want to show the consequences of two changes which I expect will improve most RTM strategy results. Over the past couple years, Jeff Drake has commented in a couple of his webinars that Market-On-Close (MOC) trades can improve RTM results. The first snapshot shows a comparison of Mark's original "ATM Macro & Micro" method, with the same strategies (CRT-3, NSP-41, RTM7a, T3-S3, XLS-19 V2, X-MFI and X-ULT) modified to use MOC (instead of the default Market-On-Open or MOO) entry and exits. The second snapshot shows how Mark's ATM method performs with both MOO and MOC strategies, but with the PortSimSettings->TradingParameters->"Reuse intraday money to enter new positions" selected. In PortSim with this setting selected, MOC exits free up funds for MOC entries. In real trading, I approximate this by using MKT exits with MOC entries, and have AutoTrade (AT) start the analysis early enough for the analysis to complete before IB's MOC order cutoff at approximately 15 minutes before market close. The downside of this approach is that the analysis is based on data which is 45 minutes to an hour prior to market close, so it won't exactly match the post-market close simulation, and frequently signals will disappear. NOTE: During ToDo analysis, MKT exits are executed before AT calculates the MOC entries based on Forming signals. NOTE: Higher resolution snapshots are attached. NOTE: Commissions are not included. I think that is the way Mark's original post was also created. So, commissions need to be included for more realistic results. [Edited by SteveL on 3/23/2018 4:31 PM]  Attached file : 2018-03-23_11-40-07 ATM Micro & Macro MOO vs MOC Comparison.png (111KB - 337 downloads) Attached file : 2018-03-23_11-40-07 ATM Micro & Macro MOO vs MOC Comparison (800 pixels wide).png (220KB - 1163 downloads) Attached file : 2018-03-23_11-40-07 ATM Micro & Macro MOO vs MOC Comparison with Reuse.png (113KB - 327 downloads) Attached file : 2018-03-23_11-40-07 ATM Micro & Macro MOO vs MOC Comparison with Reuse (800 pixels wide).png (224KB - 1171 downloads) |
