mholstius Veteran   Posts: 175 Joined: 1/13/2017  User Profile | A trader may have wonderful historical results to share, but once it’s uploaded we all get to witness whether the concept works at the right edge (or not). After it’s published, you can’t cherry pick data to display on the forum - it’s out there for everyone to see and critique. I’ve developed extensive spreadsheets to extract data & statistics to test systems and concepts as much as possible before posting them. But no matter how stable, consistent, and robust it may be in the past, there’s always the question of whether a portfolio will continue to trade consistently at the right edge. We discuss it a lot here: robustness vs performance, curve fitting vs ranking. The confirmation is in the trading after the rules and systems are published and open to peer review. The discussion of “out of sample” results becomes moot: everything after publishing is obviously out of sample. Back on 6/21/18, I posted the results from combining 2 Elite portfolios in OV: Follow The Money HD and ATM Macro & Micro here; https://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7880&posts=8 Combining the two portfolios looked particularly promising, and I went into great detail about how they “compliment” each other - taking trades at different times & utilizing account equity at a high level. I’ve always thought that a system with numerous trades under varying market conditions, that doesn’t attempt to avoid the “black swans” in the past, will probably recover from the inevitable DDs and challenges in the future. With extensive testing, I feel that the risk of ruin with a system developed this way is negligible - so I treat the portfolios I create using Nirvana’s excellent tools like mutual funds. I let them trade autonomously, without interference or tweaks, in order to give them time to “prove themselves”. That’s easy to say when you’re trading your own account, but I feel a heightened (uncomfortable?) sense of responsibility after I’ve published something and folks are actually subscribing to trade the system. It’s great when things are going up, but especially disconcerting when riding out one of those inevitable drawdown periods that are so easy to overlook in a long term logarithmic chart - and knowing that other people are enduring the DD with you (or because of you). The 2 months from August 28th to Oct 29th ended up being one of those “reality” periods for this system. It’s just part of the game, but a lot easier to contemplate than endure. Below is a snag of the 1 year OV performance using the identical settings, portfolios, etc., that I posted in June - along with the SPY for the same period; Everything was great from June to August (A to B), but it was difficult for the 2 months starting on Aug 28th, with a MTM DD of 21.7% on Oct 29th. I posted the following comment back on 6/21 about my hope that the ATM portion of the portfolio might be a good hedge in the future… and it’s been proven to be true in October. There’ve been 19 trades opened and closed since 10/29. 10 of them were ATM shorts, with only 1 loss among the 19 (a -0.34% short); (Note: it's a margin account, so those QTY% figures in OV are % of "base equity"... 24.6% is 12.3% of available margin equity) Given the drop in the market in October, a DD was expected - but I’m impressed by the way the portfolios (and particularly the ATM M&M) have adjusted to the changing market. SPY is at the same level it was on 6/21, but the system is up 14.6% since then. As I’ve said before, ATM is a game changer. I want to thank the traders that’ve subscribed via Elite, and it could be perceived as simply good PR for me to post that the portfolio’s performance is consistent with its history - but that’s not my primary reason for this post. It’s published, public, out of sample, confirming data for anyone questioning whether to trust the ability and performance of ATM. This system is based on numerous small RTM trades over long periods, and the results have been consistent. Given the numerous challenges and fluctuations this year, its performance should boost everyone’s confidence in the ability of ATM to adapt to changing markets. In June, you had to take my word for it that the last few years of data that I posted were out of sample - but there’s no denying that the results since then are. I want a little more time to improve it even more before I gift it to my grandchildren, but I’m especially pleased with how the results have improved since Nirvana developed ATM and gave us the ability to rank the trades. I plan to post more about my testing of a “walk Forward” method, and applying Concurrent Market States to ATM M&M, but I’ll be quite busy the next 2 months visiting children in California and Colorado and I wanted to get this out while I had the time. I’m definitely looking forward to getting OT 2019. I’m sure the advances included in it will make for an even more profitable New Year. I hope everyone has a wonderful holiday season… Mark [Edited by mholstius on 11/18/2018 7:51 PM]  Attached file : 00 OV Performance.png (322KB - 1929 downloads) Attached file : 01 June comment.png (93KB - 1857 downloads) Attached file : 02 Recent Trades.png (211KB - 1903 downloads) |
