mholstius Veteran   Posts: 175 Joined: 1/13/2017  User Profile | This spreadsheet was created to simplify the process, and make it valid by not just curve fitting to the best outcomes already calculated by ATM. However, there’s a problem in obtaining all the trades possible for every State & Strategy pairing in order to make a fair, valid, and useful comparison of the relative performance of each pair. Let’s say there happened to be an excellent trade in Apple. OT only allows one trade in a symbol / day. Even though the trade would be taken by all the other Market States or Strategies it would only be credited to the first in the list - and all the rest of the States or Strategies wouldn’t get credit for the potential of that trade in the exported trades. To resolve the problem, we have to individually pair each Market State with each Strategy, run a basic ATM Analysis with few restrictions, and export each set of trades. Thanks to ATM, each trade will be labelled with the Market State and Strategy used for the trade. We then combine all of the trade exports and import that large data set into the trades tab in this spreadsheet. It’s admittedly a tedious process at the moment, but essential to obtain the unbiased comparison we need. To demonstrate the difference, Jeff’s original export of his ATM Method containing the 9 Macro & Micro Market States and associated Strategies had an export of 38,136 trades. When he took the time to individually pair each State with an individual Strategy, the combination of all his trade exports contained 288,371 trades - almost 8X the number of trades. This extensive data set now allows a valid comparison of the raw data, pre-ATM performance of every State and Strategy pairing. It allows us to find the best pairings to feed into ATM while avoiding the curve fit solution of “picking the best” after ATM runs. Thanks again for your work obtaining the data, Jeff… The latest version of my Analysis spreadsheet is too big to post (~40MB), but can be downloaded from the following Dropbox link; https://www.dropbox.com/s/eez2ohp4rn9i1ln/Analyzing%20Macro%20And%20Micro%20ATM%20Trades%20Ver%2040.xlsm?dl=0 After clicking on the link, you should be presented with an option to download it by clicking on the “ … “ at the top right of the screen; I added a number of improvements, using Jeff’s 288,371 trades for development. It now has 3 major sections. Each can be sorted to find the best opportunity for any selected date range. It analyzes every combination of State and Strategy and calculates the following statistics for your chosen date range; % Sum = total return for that pairing of State and Strategy during the period # Days In State = # of days the state (ex: Bear and Bear) was active during the period % / Days In State = a normalization based on the % Sum / # Days the state was active during the period # Days In Trade = market Days the State & Strategy pair had open trades during the period % / Day In Trade = normalization based on efficiency (esp if comparing short and long term strategies) # Trades = all trades for that State & Strategy pairing during the period Trades / Day = # Trades / Total # days during the period (would be 4,855 days from 1/1/00 to present) PPT = during the period for that pairing HR = during the period for that pairing Every Market State is analyzed in a similar manner for Long, Short, and Both performance; Every Strategy is analyzed for Long and Short performance; This is an overview of the Analysis tab; Long trade data is automatically highlighted in green, short data in red, and every section is individually sortable to help identify the best opportunities. I’ve added a “Setup Help” tab that uses a Macro to find and identify all the Market States and Strategies available (Long & Short) in the raw trades entered on the Trades tab. This eliminates the tedious process of identifying them using sorts, etc., for a large number of trades. The “Setup Help” tab also gives instructions on how to set up ATM to obtain the trades, and where to modify the spreadsheet for your data, making the entry of data much easier than in the original spreadsheet. IMPORTANT: the spreadsheet was set up for Manual Calculations to make it easier to modify during development, since it takes a while for all the calculations to run. You need to go to "Formulas / Calculate Now" to make it calculate - or if you want it to calculate automatically, you need to change to Automatic Calculations in your excel preferences. Please pass on any suggestions for improvements you might have, or any bugs you might find. ATM opens up so many possibilities for adapting to changes in the market. I’m looking forward to the third week of Jeff’s course, “Matching Strategies To Markets”, this afternoon. Mark [Edited by mholstius on 8/16/2018 6:32 AM]  Attached file : 00 Dropbox Link.png (99KB - 1018 downloads) Attached file : 01 Basic analysis of pairs.png (189KB - 1016 downloads) Attached file : 02 State analysis.png (333KB - 1014 downloads) Attached file : 03 Strategy analysis.png (459KB - 1047 downloads) Attached file : 04 Analysis Tab.png (721KB - 1007 downloads) Attached file : 05 Setup Help Tab.png (294KB - 1027 downloads) |
