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jpb

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Posts: 168

Joined: 5/11/2005
Location: Brown Deer, WI

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Subject : RE: Macro + Micro Statistics
Posted : 5/3/2018 11:53 AM
Post #44592 - In reply to #44575

The Always Long strategy and the process you provided worked perfectly. I was able to reproduce the results and will now await the introduction of ATM2 before exploring further (can't wait!).

I did have a couple of interesting observations:
1) It takes 2 runs to collect the market state for all the days between the dates. This seemed strange since I've never seen Mark make a process more complicated than it needed to be.

2) Modifying the strategy to use an orders block with MOC didn't fix it - still needed 2 runs. Changed the orders block to a trade plan (since ATM/AT needs a TP) and it still required 2 runs. (trade plan version attached)

3) The trade plan version produced almost the same results for market state as the orders block version. 18 differences in market state occurred. 17 of the 18 occurred during the BT period. 1 of the 18 was due to an extra day at the end of the run that the TP version captured. Of the 17 differences in the BT period, I couldn't determine why the market state was different other than the Simulator decided that the market state was in fact different. Data was not updated between the runs. The only change was to the Data Periods per the document and the change of the strategy to remove the orders block and introduce the trade plan.

There was one other difference in the Orders Block vs TP Block versions. The G/L was different for a handful due to the number of trades taken was one share up or down.

The base method I used was a brand new install of ATM Macro & Micro. I saved that method as a new one and changed the strategy for each market state. No other changes.

Of the 17 market state differences, most were a flip of a couple of states that oscillated back and forth slightly different during a transition period. Column X of the attached spreadsheet identifies the differences with a "1".

The good news is there was a 100% match between Mark's published Market State Frequency spreadsheet during the forward test period, using an Orders block instead of a Trade Plan block. The Trade Plan block version works equally as well and will produce the same Market State answer for the forward test period.

4) The G/L difference between the 2 methods occurred 8 times. Once during the BT period and 7 times during the FT period. 1 of the FT period differences is due to the one extra day the TP method reported at the end of the run (likely due to the MOC order vs next day close of the Orders block version). The difference of the G/L was due to a different quantity being issued for the order.

In all occasions, the Orders block version reported a purchase of 1 extra share with one exception during the BT period where it purchased 2 extra shares.

Comparison to the Market State Frequency spreadsheet for G/L could not be made. The 6 differences for the forward test period out of 4,608 FT days is a 0.13% difference. Since the focus was the frequency of Market States, I'm ignoring this difference as noise.
Attached file : MS-Trades-Combined.xlsx (901KB - 404 downloads)
Attached file : Always Long - TP.ots (788KB - 387 downloads)

Deleting message 44592 : RE: Macro + Micro Statistics


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