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John W

Regular
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Posts: 87

Joined: 8/1/2011
Location: Sydney, NSW, Australia

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Subject : RE: New Macro + Micro Method
Posted : 5/9/2018 6:18 AM
Post #44645 - In reply to #44644

Refer the ATM User Guide P30:

“Max Long% and Min Long% automatically establish the value of Max Short %, since it will be the inverse of the Max Long%.
That is, if Max Long% is 80 than Max Short% is 100-80 = 20%.”

To follow that logic then if Max Long% is set to 100 then the inverse Max Short% should be 100-100=0. Therefore no short trades if Max Long%=100.

In the ATM Macro and Micro Method the Allocation for EVERY Market State is Max Longs % 100, therefore no short trades should be possible (100-100=0) in the Macro and Micro Method.

Yet short trades occur.

It appears that the manual is incorrect, and it’s also unclear how the ATM module chooses the maximum percentage allocated to long or short.

In Omnivest there is a very good system in the Trade Sizing Section that allows the user to choose:

Max Long Allocation % (e.g. anything from 0-100)
Max Short Allocation % (e.g. anything from 0-100)

I believe this OV approach provides great clarity and flexibility and the sum of max long and short does not have to be 100 (e.g. 100,100; 0,50; 50,50; 100,50; 80,40), and adoption of a similar approach in ATM is recommended!


Deleting message 44645 : RE: New Macro + Micro Method


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