mholstius![]() Veteran ![]() ![]() ![]() ![]() Posts: 175 Joined: 1/13/2017 ![]() | I’ve been working on a project for the last 5 months that will allow us to use ATM to “walk forward” each month with settings determined by the preceding history alone. That project is progressing nicely, and I hope to have more to share about it in the next few weeks. I’ve just returned from a family vacation and watched the recordings of the first 2 weeks of Jeff Drake’s “ATM Master Course”… and the course is incredible. As I’ve said so many times before… if you don’t have ATM, you really should buy it. If you DO have ATM, Jeff’s course is unquestionably the best way to get the most from your investment. I thought I was somewhat familiar with ATM, but just the first 2 weeks of Jeff’s course have given me countless new ideas to improve my trading with ATM. ATM is a revolutionary piece of software. With the addition of this outstanding course, and the combined efforts of the talented traders in this group, I’m definitely eager to see what we’ll accomplish over the next few months… OK, on to the purpose of this thread - how to use ATM to improve our results with ATM. Trust me, it’s not as convoluted as it sounds. Jeff B started a thread on the “No Trade Market State” introduced in Jeff’s ATM course. I asked him to follow some specific rules for setting up his ATM system so that he could generate the maximum number of trades. He then posted his export of the 38,135 trades generated and I imported then into the attached spreadsheet ("Analyzing Macro And Micro ATM Trades"). Thanks, Jeff... His thread is here: https://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=15822&posts=16 These are the steps I shared with Jeff in his thread to obtain all the raw trades the system could generate; 1) Check “Use These Strategies” in each state and then go down and check all the Strategies in the list in every market state. That way, the strategy used will show up along with the market state at the time of the trade in the export of the trades. 2) Set the allocation in each market state to 2% / trade and 100 Longs and 100 Shorts. 3) Set the account starting balance to $1M. That way a 2% allocation will allow a trade in a symbol that trades at $20,000 / share and it won’t be missing out on high priced stocks. 4) Set the Leverage at 6X and check “Use leverage to Increase The Number Of Trades”. With this, you stand less of a chance of missing trades due to hitting the equity ceiling. I do all this because when analyzing a system, I want to look at all the trades the system can potentially generate. I don’t care about ridiculously high ending equities, or big DDs. I want a large number of diverse trades to analyze before applying the excellent ranking and filtering capabilities of ATM. The nice part is that ATM itself can be used to generate the trades and label them with both the Strategies and the Market State at the time of the trade - something we’ve never been able to do before. I’ve plugged Jeff B’s trade data (38,135 trades) into the attached spreadsheet. I’ll use it to show how the analysis can help us find potentially good pairings of Strategies with Market States. Overview: There are 3 tabs in the spreadsheet; The core of the data processing is in the “Analysis” tab. The Exported raw trade data is plugged into the “Trades” tab. The Market States for each day are in the “States” tab (Macro & Micro daily states are included) #1) I’ve repeated the group of Jeff’s 21 Strategies 9 times in rows 2 thru 192 and paired each group of 21 Strategies with each of the 9 Macro & Micro Market States. #2) I’ve found that “Normalizing” the returns according to how many days were available to trade in a particular state is a useful way to compare the efficiency of the strategies (comparing Apples to Apples). #3) You can select any range of dates to be evaluated. #4) You can substitute your own groups of Strategies and Market States if you want to modify the spreadsheet to use it yourself - you just need to ensure that the formulas in the yellow shaded columns match the number of rows necessary for your own analysis. The data can be sorted in numerous ways to help isolate possibly good pairings of Strategies and States. This is a sort by Strategy; This is a similar sort by State; Can this method be used as a “double optimization” to find perfect combinations and ridiculous equity curves that probably won’t trade well at the HRE? Sure - but if done with some prudence, it can be a useful tool to improve results. The key is to input as many trades as possible using as many symbols as possible to get representative results. In particular, if you just input the trades already selected using ATM’s filtering and ranking, then you will definitely be curve fitting. However, if you input a large, representative sample of a variety of diverse trades over time then this can definitely help find robust combinations that ATM will then refine. I’ll close with 2 more plugs… I heartily recommend Jeff’s ATM course being offered by Nirvana - the first 2 weeks have been extremely informative and helpful. And as always, please consider the kids at Saint Jude Children’s Hospital; https://www.stjude.org/ Thanks - and good luck in your trading, Mark I attached "Analyzing Macro And Micro ATM Trades Ver 09" and it now appears to work correctly without any errors on opening after downloading. Not sure what was going on, but please let me know if you have any problems with it. [Edited by mholstius on 8/14/2018 5:08 AM] ![]() ![]() ![]() ![]() |