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mholstius
Posts: 175
Joined: 1/13/2017
 User Profile |
I’ve finished my current development work on a new method that uses Macro States as a longer term confirmation of the Micro States that I previously published.
I've given this new method to Nirvana to add to the library of ATM methods, so everyone will be able to download it and use it freely with ATM. You don’t need to worry about remembering all the details that I’ll share in this post, and you can replicate any of my results for yourself.
This new method combines 3 Macro States with 3 Micro States, giving a total of 9 Market States.
The earlier Micro States method uses various combinations of MACD, VTY_PRICE, and Bollinger Bands to define the market states.
In the quest to make this new one robust, I wanted avoid duplication or repetition of those measurements.
To accomplish that, I chose to use an SMA of Balance Of Power to define the Macro States referenced to SPY.
The Bear Market state is defined as: SMA(BOP(200),20) <=0
The Bull Market state is defined as: SMA(BOP(20),20) >=0
The Default State is anything else.
This produces a greater variety of Macro States than the Universal method provided by Nirvana, but still reflects the state of the market over longer periods of time than the Micro States.
My template colors the Micro States in the chart area and the Macro States in the volume pane.
Here are a few examples to illustrate the various market states…
From 2003 - present;
From 2017 - present;
A choppy period from 2010;
Since a Macro Bear Market happens decidedly less frequently, those are placed as the top 3 of the 9 Market States, and then paired with the Micro States.
To illustrate, I’ll overlay a few combinations during the bear market of 2008;
I’ve added a filter to limit the short entries to C>=$5 and the long entries to C>=$3.
The ranking remains VTY_PRICE(10,5) descending for all states.
With the added confidence that comes from including longer term market states, I was able to refine the choices of strategies, allocations, and Long / Short ratios. I haven’t yet taken advantage of any of the excellent optimizing capabilities of ATM.
This grid shows the logic sequence of the states and all the various combinations and values for them;
After considering the statistics I’ve collected over the years concerning RTM performance, it seemed logical to me to have a progression of % Equity allocations;
Macro Bear: 10% of Equity
Macro Bull: 15% of Equity
Macro Default: 12.5% of Equity (in between Bear & Bull)
I don’t doubt that we’ll find better settings, but I hope this will give anyone who wants to pursue further testing a good starting point.
Before going on to show the results using this method, I want to thank Nirvana for allowing me to preview the next pre-release (2J) this past weekend. It contains a particularly useful new capability.
It’s now extremely easy to calculate and compare the effects of using 1X, 2X with margin being used to take additional trades, and 2X with margin being used for leverage.
It’s simply a matter of making your choice in the Account Settings;
Should you want more information on the effects of this, I discussed the benefits of using margin as leverage in detail in a previous thread;
https://www.omnitrader.com/currentclients/proforum/thread-view.asp?threadid=7570&posts=9
Here are some comparative results using this new Macro + Micro method, Micro method, and % Of Equity of all of the Strategies (without the benefit of ATM);
From 2003 - present using 1X Long & Short;
From 2003 - present using 2X with Margin used for additional trades Long & Short;
From 2003 - present using 2X with Margin used as Leverage Long & Short;
Any discussion concerning robustness and curve fitting can only truly be resolved as we get experience at the HRE.
I continue to believe that both Trade ranking and the ability to limit trades to the top X number of trades in ATM constitute a paradigm shift.
Those capabilities are something we’ve never been able to do before having ATM, and I'm sure we'll learn how to exploit them even further as we get more experience.
I also rely on the fact that this is trading 300 symbols with a variety of RTMs over long periods with a good measure of consistency and stability.
I’ve spoken to people who’ve been having success paper trading the Micro States, and who intend to go live with it this week. We’ll have more experience, and probably better settings by the Bash.
The possibilities are limitless, and I hope this method will prove to be a good starting point for additional testing.
I know I have some ideas… just not enough time.
I look forward to the improvements others will undoubtedly find & hopefully share - and welcome any peer review of the process.
Since everyone will be able to download this method and test things for yourself, I’ll stop here and let you confirm the benefit of ATM for yourself.
I’d also like to repeat what I included when I posted the Micro State Method;
So, this is just free for the asking…???
Yup.
There’s no $100/mo subscription or anything - but I do have one small request…
If you find that this new Macro + Micro States method adds value to your investment in ATM, either in saving you development time, the concepts and ideas it imparts, or the trading results you obtain…
Please, donate whatever you feel that additional value is to the St. Jude Children’s Research Hospital;
https://www.stjude.org/
They’re doing some amazing things for kids dealing with serious illnesses.
Thank you!
Mark
 Attached file : 00 States from 2003.png (54KB - 4847 downloads)
Attached file : 01 2017.png (46KB - 4820 downloads)
Attached file : 02 2010.png (40KB - 4778 downloads)
Attached file : 03 pairings.png (51KB - 4810 downloads)
Attached file : 04 Macro Micro Grid.png (38KB - 4991 downloads)
Attached file : 05 Leverage Settings.png (31KB - 4866 downloads)
Attached file : 09 St Jude.jpg (3KB - 5947 downloads)
Attached file : 06 1X Results Minus VIX.png (293KB - 4721 downloads)
Attached file : 07 2X Results Minus VIX.png (312KB - 4708 downloads)
Attached file : 08 2X LeveragedMinus VIX.png (294KB - 4755 downloads)
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Peer review is already having positive results.
I'd overlooked the fact that these were trading $VIX and that needs to be removed.
I'll expect about a 30% drop in (all?) the ending equities (????), but won't have time to run it and edit the charts for a while.
Sorry - not good when you've got yourself as an editor. ;-)
Mark
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Buffalo Bill
Posts: 539
Joined: 10/3/2006
Location: Stafford, VA
User Profile |
Wow! Thanks again Mark. Can't wait to play with it.
Has Nirvana given you any clue when they think AT will be in OV?
THANKS AGAIN!
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
I've now replaced the charts in my post above that incorrectly included trades in $VIX.
All 3 of those charts now reflect accurate results that don't include trading $VIX.
I'm sorry for the mistake, but glad that the peer review process caught it.
The method that Nirvana will make available has been corrected too.
Mark
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Thanks Buffalo,
I only know that Ed mentioned in one of his webinars that he thought it would in the neighborhood of a month or so before ATM was added to OV...???
But, as you can see from my post above - I could be wrong. ;-)
Mark
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jpb
Posts: 168
Joined: 5/11/2005
Location: Brown Deer, WI
User Profile |
Mark, what version of OT are you running? I can't seem to find the Leverage setting. Mine has an Advisor Rating Cutoff instead of the "Use Leverage To:"
Attached file : Screenshot_20180313_120341.png (3KB - 4410 downloads)
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EYEGUY
Posts: 1543
Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK
User Profile |
jpb:
From Mark's commentary above:
"Before going on to show the results using this method, I want to thank Nirvana for allowing me to preview the next pre-release (2J) this past weekend. It contains a particularly useful new capability."
It will be out soon.
Tom Helget
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Nirvana let me use a "preview" / beta(?) version of 2J this past weekend for my testing. Sorry if that didn't come across clearly in my post.
I understand that PR2J should be released sometime soon.
Then you'll be able to duplicate my results - and hopefully make improvements (and share them?).
Mark
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jpb
Posts: 168
Joined: 5/11/2005
Location: Brown Deer, WI
User Profile |
Thanks - I missed that. When looking at the other post Mark linked to about allocation of the Leverage, it looked like further back than the weekend. Thought I was missing something or just being a bone head. Good to see what's coming.
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
While I was replying, 2J was posted;
https://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=15683&posts=1
Mark
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TonyJ
Posts: 59
Joined: 12/11/2003
Location: Marietta, GA
User Profile |
Thread ID : 15683
Subject : OT2018 Pre Release 2J is posted
Barry Cohen has just posted a new message in your thread. (3/13/2018 12:17 PM)
To view go to this thread, follow the link below:
https://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=15683&posts=1
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Ed Downs
Posts: 11
Joined: 2/12/2013
User Profile |
Great work, Mark. And thanks again for sharing this. I know you spent many hours on it. I just completed my blog post...
https://www.nirvanasystems.com/macro-micro-method/
I hope other users pick up where you left off. There are SO MANY things we can do with this. In the blog I mention some coming enhancements. Who knows where this can go?
I think it's so great that you are asking people to donate to the Children's Hospital. What a truly great cause.
Thank you again. You are AMAZING.
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AlanD
Posts: 35
Joined: 12/1/2006
Location: Waipio, Hawaii
User Profile |
Mark,
This is all great work! Maybe I'm overlooking it but what is the list of stocks you are using?
Thanks,
Alan
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Good question, Alan... I failed to mention it in this post.
It's the top 300 of the Optionable Stocks List by money flow;
If you want, you can download the csv file I've attached to this reply.
If you do import the csv list, be sure to disable all Strategies for $VIX;
Right click on $VIX in the symbols list in OT / Enabled Strategies / and check None
The list is included in the profile Nirvana made available for download here;
https://www.nirvanasystems.com/macro-micro-method/
Mark
Attached file : 300 High Money Flow Stocks.csv (1KB - 445 downloads)
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John J
Posts: 272
Joined: 8/3/2010
Location: Leduc, AB
User Profile |
Hi Mark,
Awesome work! You should be named 'Researcher extraordinaire' =)
Would you mind disclosing the list of Strats used here? I don't have RTM7 (yet) so my performance is somewhat inferior to yours..
Incredible final equity nevertheless, but I'm not sure if I (or anyone else but Jeff Bezos =)) would be able to stomach the leverage (and dollar draw-down) on the right edge a few years in....
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Thanks John,
Owners of ATM who need strategies that they don't own yet can get "special pricing" from Nirvana if you give them a call.
Here’s the grid that shows all the specific settings and strategies used in each of the 9 market states;
I’m sure we’ll find ways to make the results even smoother with ATM - but drawdowns are just a part of the game, and magnified with leverage.
I’m suspicious of systems that don’t take a hit when “surprise” DDs have occurred in the past (ex: the credit downgrade in 2008). That’s an indication that things have been curve fit to an unacceptable level just to avoid a particular event.
I’m trying to develop systems that are stable - ones that have the DDs when the market does something unusual, but recover from those events in a reliable manner, consistent with their historical performance.
Using this method as an example…
The snag below highlights the area I was concentrating on in my development work. While not an official Back test / Forward test, I feel the performance in the areas before and after the boxed area lends support to the robustness of the method.
This snag of 2017 to the present was a period that definitely wasn't a consideration. It’s barely visible in the 15 year chart, and I didn’t optimize or use any hard data that would’ve been biased by using that time period.
Notice the recoveries after the perfectly normal drawdowns that occurred - I’m quite pleased with the performance in an area not used for development.
Also notice the flat period that can be easily overlooked in the 15 year log chart.
I’m looking for long term, consistent performance. The short term might be “interesting”, but that’s just part of the game, and should be expected.
The ability of ATM to rank trades, limit trades, and change strategies is a whole new ballgame that’ll require some modifications to the concepts and rules we’ve utilized in the past.
Once again, ATM is definitely a game changer.
Mark
Attached file : 00 15 year snag.png (236KB - 4234 downloads)
Attached file : 01 2017 snag.png (218KB - 4220 downloads)
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EYEGUY
Posts: 1543
Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK
User Profile |
Mark:
I am trying to understand why the symbol $VIX is required at all in the Focus List and why you stated above:
"If you do import the csv list, be sure to disable all Strategies for $VIX;
Right click on $VIX in the symbols list in OT / Enabled Strategies / and check None".
The only enabled strategy that I can see that might possibly employ $VIX is maybe NSP-41 where it might be hidden somewhere in the inaccessible NSP-41 Vote block.
Is that correct? The reason I ask is because I was wondering how the New Macro + Micro Method might do with a Dynamic Scan List.
Thanks,
Tom Helget
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Barry Cohen
Posts: 6338
Joined: 1/19/2004
User Profile |
You are correct, Tom. $VIX isn't needed in the profile since none of the strategies, market states, or color charts use $VIX. I'm guessing Mark was using something that needed $VIX before & isn't for this particular method.
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EYEGUY
Posts: 1543
Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK
User Profile |
Barry:
That is good news as it would facilitate employing Dynamic OmniScans to better see how the New Macro + Micro Method might perform in a more "real world" setting.
Thanks for the clarification!
Tom Helget
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AlanD
Posts: 35
Joined: 12/1/2006
Location: Waipio, Hawaii
User Profile |
Thanks Mark.....Truly appreciated. I've been wondering how your system would perform with stocks of varying beta levels. Like all stocks above 1.5 beta and highly liquid. I have Omniscan but need find the formula for beta to test it out.
Alan
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SteveL
Posts: 262
Joined: 8/19/2005
Location: Boulder, CO
User Profile |
There is an alternative to Mark's suggestion regarding disabling strategies on $VIX and similar symbols. In OmniScan, you can define multiple "My Symbol Lists". I define a 2nd symbol list to contain index and similar symbols (e.g. SPY, $SPX, $VIX, ...). Then I select the symbol list I want to trade, and limit ToDo Analysis to the "Current list" which contains only the symbols I want to trade, but no index or similar symbols.
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EYEGUY
Posts: 1543
Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK
User Profile |
Barry:
So, are Dynamic OmniScans enabled in Pre-Release 2J?
It has been a while since I employed them and I can't seem to comply with the Help instruction:
4. Select the OmniScan list to be run as dynamic at the top of the focus list. Keep in mind that the dynamic scan as well as your ToDo List analysis will be run on the total number of symbols in the Starting Population in your scan.
Thanks,
Tom Helget
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Barry Cohen
Posts: 6338
Joined: 1/19/2004
User Profile |
Dynamic scans won't work with ATM, Tom. So do you still want help with dynamic scans?
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EYEGUY
Posts: 1543
Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK
User Profile |
Barry:
No, that explains it.
I thought that Ed Downs had mentioned in one of the ATM webinars not that Dynamic Scans would work with ATM but that no one had yet tried them with ATM. Hence my desire to do so.
Thanks again for the information!
Tom Helget
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Daniel Wilson
Posts: 20
Joined: 1/17/2004
Location: Moses Lake, WA
User Profile |
How can I convert this method to longs only?
-Daniel Wilson
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Daniel Wilson
Posts: 20
Joined: 1/17/2004
Location: Moses Lake, WA
User Profile |
Thanks Mark!
I used the starting date of October 10, 1998 to March 10, 2018. The equity curve prior to 2003 is still amazing!
I couldn't get a good screen shot copy ... so I took a photo of the screen.
-Daniel Wilson
Attached file : M and M from Oct 1998 to Mar 2018 - $12 Billion! .png (304KB - 399 downloads)
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Thanks for showing the early performance, Daniel...
Here's how to change it to Long Only;
Mark
Attached file : long only.png (116KB - 1891 downloads)
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Daniel Wilson
Posts: 20
Joined: 1/17/2004
Location: Moses Lake, WA
User Profile |
Thanks Mark!
The Omnitrader screen capture tool doesn't work in Port Sim mode so I took another photo of the screen.
Mark here's your original M&M method vs M&M long only. 2008 is the time period when the equity curves separate. My starting date was Jan 1 2002.
Final Equity for original is $822,045,312
Final Equity for long only is $270,708,128
-Daniel Wilson
Attached file : M and M original vs long only.png (433KB - 358 downloads)
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
That drop during the Macro Bear market state makes sense to me - tough time to be going long.
I'd suggest trying lower allocations in the Macro Bear state and see what happens.
FWIW: with (hopefully) a lot of people sharing what they see with ATM, I'll put in a plug for the program "Snagit";
https://www.techsmith.com/screen-capture.html
It's extremely useful for many things, and what I use for my postings.
Mark
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Calmger
Posts: 18
Joined: 1/17/2004
Location: Canada
User Profile |
Folks, thank you very for sharing.
I am seeking for some help. I downloaded .exe file from Ed's blog. When I installed, I noticed it does not have the strategy RTM7. Should it be expected? I do not have this strategy.
I cannot reproduce Mark's results, and results from Ed's blog.
Attached file : Capture.PNG (300KB - 319 downloads)
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jpb
Posts: 168
Joined: 5/11/2005
Location: Brown Deer, WI
User Profile |
Sorry - strategies sold separately
I think Mark mentioned that Nirvana will give you a "special price" if you call in to their sales staff.
The great thing about ATM is you can use any of the strategies you already have -- even the ones that you may have coded using OmniLanguage. You may not get the same results as Mark, but I think you'll have a great shot at beating the market.
Ed has consistently suggested "Try the strategies you do have first if you don't have one that folks in the forum call out." He's not opposed to selling you more strategies, but he believes in ATM and its ability to amplify the results of many different strategies -- not just the ones folks call out.
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Calmger
Posts: 18
Joined: 1/17/2004
Location: Canada
User Profile |
I meant something else. XML file "ATM Macro & Micro.otp" does not contain tags regarding RTM7 strategy. Is it supposed to be like that?
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Calmger
Posts: 18
Joined: 1/17/2004
Location: Canada
User Profile |
Sorry, XML file is "ATM Macro & Micro.its.txt"
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Barry Cohen
Posts: 6338
Joined: 1/19/2004
User Profile |
Calmger, you will need to purchase RTM7 in order to install that strategy & use it. Without it you can still use Mark's method, but that's why it isn't the same results & is not in your profile & method after downloading it. You can try using a different strategy in its place as well if you want to try that.
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Daniel Wilson
Posts: 20
Joined: 1/17/2004
Location: Moses Lake, WA
User Profile |
I took Mark's M&M method and used it on the Russell 1000 ... it took $100,000 to 2.33 Billion. See screen shot
-Daniel Wilson
Attached file : M&M with Russell 1000.PNG (231KB - 381 downloads)
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Trailbrake
Posts: 11
Joined: 2/5/2004
User Profile |
That's awesome Daniel. It also highlights something I found when I extended the test period back to 1999 using Mark's list. This system is capable of a 40%+ DD during extraordinary events. In my case it was the tech crash in 9/2001. More interesting was the fact the system took no trades for the month or so that the crash lasted, assuming I did not screw up the testing somehow. In your case, it was the credit downgrade.
While I think the put hedging is one way to address this, I plan to dig in on trying to find systems that don't give up so easily when things go badly. At least start bailing the boat ;-)
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bjmtigers
Posts: 25
Joined: 1/6/2004
Location: Tampa,FL
User Profile |
Mark,
I've been experimenting with your ATM method quite a bit. As you suggested, for Longs only I simply set the default for shorts for each Market State to 0. I've kept your test period the same (1/1/2003 to 3/19/2018) so we can make direct comparisons to your results. Barry C's download of Mark's ATM Macro & Micro method included a replacement for the RTM7 strategy with RTM7a; this did improve the results a bit. The most dramatic difference in the results is reducing the leverage from 2x to 1x as necessary for an IRA account. As you can see in the table, the final equity is reduced significantly to about 1% of the value for 2x. The leverage versus equity curve steepens as it approaches 2x and is a straight line on a semi-log plot. Any idea why the reduction in equity is so drastic? Can any adjustments be made in an IRA account to counter act this effect?
Barry M.
Attached file : Evaluation of ATM Macro & Micro.PNG (22KB - 1504 downloads)
Attached file : Leverage vs %Ending Equity.PNG (12KB - 1576 downloads)
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Sorry to say, Barry...
That's just the magic of compound interest combined with leverage in the 2X account.
If I could figure out how to do that in an IRA, I'd own an island someplace... ;-)
If we can get 30% with an Avg Ann MDD <10% in an IRA, I'll be a happy camper.
I do like your synopsis of the statistics - thanks for posting it,
Mark
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GMW
Posts: 1
Joined: 3/27/2018
User Profile |
Mark Give us your perspective on how this method is working with a difficult market now and how it is working in relationship to your elite trader omnivest subscription. Thank you
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Funny you should ask...
I just posted about that yesterday;
https://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=15700&posts=1
Hope that helps - always working on improving things, too.
Today was another down day in the markets.
FTM closed 19 trades this morning;
14 for an avg +3.00% gain / trade
5 for an average -2.25% loss / trade.
Unfortunately, the 42 FTM long positions currently open as of this evening are all MTM down.
Sigh,
Mark
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AlanD
Posts: 35
Joined: 12/1/2006
Location: Waipio, Hawaii
User Profile |
Putting some thought into Mark's M&M Method utilizing the S&P500 index and pool of stocks scanned, if I wanted to select stocks which were highly correlated to the S&P500, what would be a the mathmatical expression to have OMNISCAN provide that list?
Any thoughts?
Thanks,
Alan
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Buffalo Bill
Posts: 539
Joined: 10/3/2006
Location: Stafford, VA
User Profile |
Wouldn't you be able to use Rel strength (RS) - RS(spy, 100) >.9 and RS(spy, 100) < 1.1 or something like that?
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EYEGUY
Posts: 1543
Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK
User Profile |
AlanD:
This may not be exactly what you want, but it can be modified.
Remember that perfect correlation would be a value of 1.
Hope that helps!
Tom Helget
Attached file : High Correlation to SPY.PNG (51KB - 1289 downloads)
Attached file : _High_32_Correlation_32_to_32_SPY.otl (1KB - 266 downloads)
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Buffalo Bill
Posts: 539
Joined: 10/3/2006
Location: Stafford, VA
User Profile |
Trying to move the ball forward I just played with strategy selection in the Macro+Micro method. **I did NOT do Steve L's MOC adjustment yet**
Here are my results FWIW
Same list, no changes to anything except strategy selection and time - BT 2005, FT 1/1/2006+
Ave Ann ROI/Ave Ann MDD goes from 4 to 8
$90M t0 $3B (Hahahaha)
MDD down, PF up, CALMAR doubled
There is a larger, easier to read PS image attached (not V2 one)
Attached file : BUFF ATM STRATS.png (100KB - 1334 downloads)
Attached file : BUFF ATM PS V2.jpg (152KB - 1316 downloads)
Attached file : BUFF ATM PS.jpg (447KB - 390 downloads)
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Outstanding, Buffalo!
From my first post in this thread…
“I look forward to the improvements others will undoubtedly find & hopefully share”
Once again, this took a lot of time on your part and is much appreciated.
Can you clarify a couple of things in your method?
Did you only use the blue shaded strategies (you didn’t also keep the original X strategies if they’re not shaded blue)?
Would you be willing to share the makeup of these strategies that you use (no problem if you don’t want to);
ATM A5 Stk RTM
ATM NSP-35 NN
ATM VBX-3 MVX NN
NSP-41(MVX)
RTM7(MVX)
VBX-3(MVX)
Thanks for sharing your work - it will certainly move things forward.
Because of Ed - and everyone doing so much hard work at Nirvana - we’ve got a great combination;
The new capabilities of ATM, plus research + input by so many talented traders.
Looks like it’ll be an interesting Bash, and a profitable year!
Mark
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Buffalo Bill
Posts: 539
Joined: 10/3/2006
Location: Stafford, VA
User Profile |
No Mark I don't mind at all. Problem is I can't attach to a post - even zipped they are far too big of a file.
Here is the RTM7(MVX) strat. I will find a good download site and post a link, but it will be a few days - going back to china today
Attached file : RTM7(MVX).ots (592KB - 332 downloads)
Attached file : NSP-41(MVX).ots (364KB - 313 downloads)
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Hmmm
Haven't tried this before, but I have Dropbox Pro and it says you can upload files to me by using this link;
https://www.dropbox.com/request/exzMPfeXMCFVgruj8Ysz
Once there, it would be up to you if you'd want me to then make them public via a Dropbox link.
Hope you have a good trip,
Mark
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Buffalo Bill
Posts: 539
Joined: 10/3/2006
Location: Stafford, VA
User Profile |
Mark
Done! Check them out when you can, maybe even see if you can replicate or get close to what I got and we'll go from there as far as going public. Gotta go
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Got it... thanks.
Safe travels.
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bjmtigers
Posts: 25
Joined: 1/6/2004
Location: Tampa,FL
User Profile |
Hi Mark,
Would you mind posting these files on your DropBox?
Buffalo, thanks for moving the ball forward quite a bit.
Barry M.
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Hi Barry,
I plan to look at Buffalo's files when I have time later today.
After reading his post, I feel I need to wait to coordinate with him on what he wants to make public - and it looks like he'll be gone for a few days.
I appreciate the interest in what he's been so kind to share...
It's great to see this moving forward so quickly, and I'll do my best to help it along as soon as I can.
Mark
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Buffalo Bill
Posts: 539
Joined: 10/3/2006
Location: Stafford, VA
User Profile |
Mark
Is good - share them with everyone. The more folks we have working together on this the better result we get. For all.
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Eric Severance
Posts: 7
Joined: 1/30/2007
Location: Incline Village, NV
User Profile |
Thanks Buffalo. And Mark. We”ll crowd source the heck out of it Many minds...
Cheers, Eric
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Sounds good, Buffalo…
Here’s the Dropbox link to his zip file;
https://www.dropbox.com/preview/File%20requests/ATM%20Files/bill%20leake%20-%20ATM%20strats.zip?role=personalsh/uycd6dh8vd9k7hb/AADCRsCSexp28fx7yxDZKPNGa?dl=0
Dropbox won’t display a zip file, so here’s a snag of what I see getting it on my Mac;
Let me know if you have any problems getting it,
Mark
Attached file : Dropbox Buffalo.png (81KB - 1500 downloads)
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SteveJ
Posts: 19
Joined: 10/6/2015
Location: France
User Profile |
Mark
When I click the link on my PC 1) my Dropbox opens; and (2) I receive the message
"The folder ‘/File requests/ATM Files/bill ...’ doesn’t exist."
Steve
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bjmtigers
Posts: 25
Joined: 1/6/2004
Location: Tampa,FL
User Profile |
Mark,
I'm getting the same message.
Barry M
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Hmmm....
Let's try this dropbox link;
https://www.dropbox.com/s/w1fv2tmdv9u0rgu/Buffalo_Bill_ATM_Strats.zip?dl=0
Should bring you to a similar Dropbox page, but let me know if it works or not.
FWIW: I tried to construct Buffalo's profile with these strategies and couldn't replicate his results.
When he gets back, he may share the entire profile. if he chooses to do that, then there won't be any problem with getting all the details right.
Thanks again Buffalo,
Mark
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SteveL
Posts: 262
Joined: 8/19/2005
Location: Boulder, CO
User Profile |
Mark - that worked. Bill's strategies downloaded (92MB).
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Thanks Steve...
Here's a snag of what should be in there;
Mark
Attached file : Buffalo Strategies.png (34KB - 1419 downloads)
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SteveL
Posts: 262
Joined: 8/19/2005
Location: Boulder, CO
User Profile |
Similar, but it looks like our PC's count bytes different (?).
Attached file : 2018-03-31_8-57-00.png (29KB - 1453 downloads)
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SteveJ
Posts: 19
Joined: 10/6/2015
Location: France
User Profile |
Steve
My download is the same as yours. Expect it's the difference between Apple & Microsoft.
Thanks Mark and Bill.
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TonyJ
Posts: 59
Joined: 12/11/2003
Location: Marietta, GA
User Profile |
They're really both the same. Mark's screenshot shows KB and MB values but their really byte counts divided by 1000 and 1,000,000 instead the real KB values of 1024 and 1,048,576. Not to worry...
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bjmtigers
Posts: 25
Joined: 1/6/2004
Location: Tampa,FL
User Profile |
Mark,
Mine looks like Steve's as well.
Thanks
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FG
Posts: 39
Joined: 1/8/2004
Location: Atlanta, Ga
User Profile |
Hello Mark, would you please confirm the ToDo list's "Test Settings" used for Macro+Micro?
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Barry Cohen
Posts: 6338
Joined: 1/19/2004
User Profile |
Fred, it's Fixed BT from 1/1/1999 to 12/31/1999 & the rest is forward test.
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FG
Posts: 39
Joined: 1/8/2004
Location: Atlanta, Ga
User Profile |
Thank you Barry.
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DesertDude
Posts: 108
Joined: 12/15/2003
Location: Texas
User Profile |
This simple question may have been answered before. What strategy is used selected in Portfolio Simulation Trade -> Simulation Settings -> Source tab -> Strategy. Is it "ARM5 Stocks RTM"?
Many thanks. I'm a little late to this ATM party Mark held.
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Barry Cohen
Posts: 6338
Joined: 1/19/2004
User Profile |
That should be set to "All Strategies", but with this method it really doesn't matter since this ATM method overrides that setting. That ARM strategy wasn't used in ATM Macro & Micro though, so maybe you're looking at something else.
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DesertDude
Posts: 108
Joined: 12/15/2003
Location: Texas
User Profile |
Thanks Barry. That is/will answer even more questions I have. Thanks again.
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Keith Parsons
Posts: 76
Joined: 6/28/2009
Location: Durban, South Africa
User Profile |
RE: QUESTION: HOW DOES ONE COMBINE OR PAIR MACRO & MICRO ?
After more than a week of trying to figure how to combine or pair nine market states its time for e to request some guidance.
Mark you have very kindly provided the platform with six market states for Micro States and then New Macro + Micro Method. This as stated in your post give a total of 9 market states.
Attached file : How does one Actually combine Macros & Micros.zip (389KB - 291 downloads)
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Keith Parsons
Posts: 76
Joined: 6/28/2009
Location: Durban, South Africa
User Profile |
Good day Mark,
I have endeavored to place in my above post and in one window all of what is in the compressed document. I had changed all the attachments from PDF to .png (following your post last night in OV) - but could not and for some reason this morning place it in just one window.
Your 'New Macro + Micro Method" is an extremely important post and I did not want my post to "mess it up". Hence my sending the above compressed file.
I look forward to being able to fully understand the pairing of Macro + Micro. I thank you / other members for any advise / support.
Kind regards
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Good morning Keith…
You’ve put a lot of thought and time into your document, and it’s a good review of what happens in the Macro And Micro method.
As I understand it, you’re wondering how to combine the 3 Macro and 3 Micro states to get 9?
That’s the beauty of ATM: it's already been done for you. The combination of each set of 3 into 9 separate states has been accomplished by combining the conditions that define each Macro state with each Micro state into one formula in each of the 9 Macro and Micro states.
I’ll try to explain using some color coding...
This is the condition that defines the Macro Bear state;
SMA(BOP(200,20) <= 0)
This is the condition that defines the Micro Bear State;
(MACD_HIST(10,15,90)<0)
AND
((VTY_PRICE(10,25)>VTY_PRICE(10,20)[1])
OR
(VTY_PRICE(10,25)>VTY_PRICE(10,25)[1]))
AND
(BOL_UPPER(14,1.20)>=H)
AND
(BOL_Middle(14,1.20)>=L)
In the Bear and Bear state, those two conditions are combined and result in this;
((SMA(BOP(200),20) <= 0)
AND
((MACD_HIST(10,15,90)<0)
AND
((VTY_PRICE(10,25)>VTY_PRICE(10,20)[1])
OR
(VTY_PRICE(10,25)>VTY_PRICE(10,25)[1]))
AND
(BOL_UPPER(14,1.20)>=H)
AND
(BOL_Middle(14,1.20)>=L)))
The key is the AND in the formula that combines the 2 conditions.
To see the combination of Macro Bull and Micro Bear…
This is the condition that defines the Macro Bull state;
SMA(BOP(20),20) > 0
Again, this is the condition that defines the Micro Bear State;
(MACD_HIST(10,15,90)<0)
AND
((VTY_PRICE(10,25)>VTY_PRICE(10,20)[1])
OR
(VTY_PRICE(10,25)>VTY_PRICE(10,25)[1]))
AND
(BOL_UPPER(14,1.20)>=H)
AND
(BOL_Middle(14,1.20)>=L)
In the Bull and Bear state, those two conditions are combined and result in this;
((SMA(BOP(20),20) > 0)
AND
((MACD_HIST(10,15,90)<0)
AND
((VTY_PRICE(10,25)>VTY_PRICE(10,20)[1])
OR
(VTY_PRICE(10,25)>VTY_PRICE(10,25)[1]))
AND
(BOL_UPPER(14,1.20)>=H)
AND
(BOL_Middle(14,1.20)>=L)))
Again, the key is the AND in the formula that combines the 2 conditions. The "grunt work" of combining the conditions to make 9 market states is accomplished within each state and has already been done for you.
Also, please note that it is not a misprint: there are 2 different BOPs used. The Macro Bear uses BOP(200,20) and the Macro Bull uses BOP(20,20)
As you stated, ATM will currently evaluate each market state in order and stop when a particular formula is satisfied - which is why the final state (Default and Default) contains nothing. It will fire to allow trades if none of the 8 previous conditions have been met.
I hope this helps clarify it for you.
You don’t have to do any combining - it’s done for you within each of the states.
I’m sure that you’re not the only one wondering about it, so I’m glad you brought it up.
Mark
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Speaking of multiple states...
I’d like to add that Nirvana is planning to add a major upgrade to the capabilities of ATM - allowing multiple concurrent market states to fire at the same time. (Am I in trouble for mentioning this, Ed? - it’s just too good to keep secret)
This will be a substantial enhancement to the capabilities of ATM.
I foresee being able to have a condition fire when a representative of a group (Index or ETF?) satisfies a market state - and then use the list function within that state to trade a particular list of symbols.
The beauty of it is that we’ll be able to trade the symbols in a group that’s in a Bear state while simultaneously trading another group that’s in a bull state - and not be limited to only trading the first market state condition met.
This will allow for much more efficient use of equity - especially combined with ATM’s ability to rank and vary the allocation of trades.
I’ve said it before: ATM is a game changer, and it just keeps getting better and better…
Mark
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Keith Parsons
Posts: 76
Joined: 6/28/2009
Location: Durban, South Africa
User Profile |
Hi Mark,
When I read your first response to me the only logic that I could come up with in my defence is "heck I must be getting old". AND now I really understand it.
Your second post contains amazing news on ATM's future. I know Jim D will be pleased to see this (viz in a recent post that he commented on SPY vs MG groups etc.)
Lastly, I really appreciate the time that you have taken out in assisting me with such detail. Thank u very much.
Regards
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Jim Dean
Posts: 3022
Joined: 9/21/2006
Location: L'ville, GA
User Profile |
I hope you are right, Keith. I’ve been in communication with Steve at N, explaining the need for support of MG groups and Symbol by Symbol formulae for the MS formula. He said that there was no resistance to the idea but they could not get it done before the Bash.
That’s different than what Mark is describing (an overlap of MS's) … "overlap" does *not* imply that a formula for MS which currently doesn’t work if getclose($Group) or getclose(Symbol) is used in it, *will* be acceptable.
But I certainly hope it will be. My viewpoint on MS analysis is that the tiered formula capability is crucial, since no one index Symbol is a good avatar for a big FL of trade-Symbols
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gary
Posts: 16
Joined: 12/13/2003
Location: Houston, TX
User Profile |
I am wondering if anyone has been live trading recently with the macro-micro method. If so, would sure like to hear about results. the market for last couple months has been rather rough. I have been trading using autotrade and a paper account. The results have not been so good. The following is the equity curve:
I also ran portsim over the same time period to see if maybe autotrade was not working right. But got very similar results shown below:
I used the standard ATM settings from Mark with the exception of allocation and strategies. Changed the allocation to use the optimised values found in an earlier experiment.
The autotrade settings are as follows:
I can supply info on trades etc. if someone is interested. I am wondering if these results are just dealing with a tough market or if I have done something wrong. If others have similar results, I guess it is just the tough market.
Since the current market is very volatile I was hoping the RTM strategies would do well. Maybe the turns were just too sharp. It took some heavy losses. see below position history:
Attached file : 2018-05-07_equity curve.jpg (240KB - 1446 downloads)
Attached file : 2018-05-07_portsim run.jpg (117KB - 1433 downloads)
Attached file : autotrade settings.jpg (59KB - 1386 downloads)
Attached file : 2018-05-07_position history.jpg (616KB - 1382 downloads)
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Good morning, Gary,
I haven't been using the paper trade capability in ATM, and I'll agree that the market has been tough lately.
But, when I look at my ATM trades I only show 36 trades from 3/29 - 5/4 vs your 73.
Could you do a "View Trades" export from ATM port sim (preferably to excel) and attach it?
Also, if you don't mind showing it, it would help a lot if you could also post the details scrolling down on the right side of your port sim page (that'll show all your settings);
It looks like we do share at least one thing in common - the uncanny ability to start trading a system just before a drawdown... ;-)
Mark
Attached file : Port Sim Details.png (633KB - 1343 downloads)
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Barry Cohen
Posts: 6338
Joined: 1/19/2004
User Profile |
Gary, in your AutoTrade settings, I would recommend only one signal type. With running at 8am in your screenshot you would want Forming enabled & New disabled. That is how the default ATM Macro & Micro profile comes. Try that & rerun your Port Sim analysis.
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gary
Posts: 16
Joined: 12/13/2003
Location: Houston, TX
User Profile |
I think this gets them all. let me know if you detect a portion missing.
Attached file : portsim1.jpg (248KB - 1336 downloads)
Attached file : portsim2.jpg (387KB - 1313 downloads)
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gary
Posts: 16
Joined: 12/13/2003
Location: Houston, TX
User Profile |
Barry
here is the portsim run with only forming signals enabled. the equity curve shape is a little different and the results are a little better but not by a lot.
Attached file : portsim-onlyForming.jpg (146KB - 1284 downloads)
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Barry Cohen
Posts: 6338
Joined: 1/19/2004
User Profile |
That looks right, Gary - pretty close to what I get.
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gary
Posts: 16
Joined: 12/13/2003
Location: Houston, TX
User Profile |
OK. so then I take it you are saying the system is probably working as designed, it's just a tough market that puts it in the red.
btw, since I am using optimized allocation parameters (and I suspect you are not), some difference between our results should be there. Hopefully, the optimized parameters would make mine a little better than without. But still not apples to apples since I substituted VBX-3 for RTM-7.
thanks barry
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Barry Cohen
Posts: 6338
Joined: 1/19/2004
User Profile |
Yes to both counts, Gary.
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John W
Posts: 87
Joined: 8/1/2011
Location: Sydney, NSW, Australia
User Profile |
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!
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Barry Cohen
Posts: 6338
Joined: 1/19/2004
User Profile |
ATM Macro & Micro is supposed to trade shorts, so it is set up correctly. I think the description in the manual may be incorrect, or at least not descriptive enough. It's a combination of Max Longs % and Min Longs % that defines it.
If you wanted no shorts defined in the allocation percent parameters, you would set both the Max Longs % and Min Longs % to 100. By setting Max Longs % to 100 and Min Longs % to 0, basically anything goes - longs & shorts. In that case the longs/shorts are solely defined by the Max Longs & Max Shorts parameters.
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John W
Posts: 87
Joined: 8/1/2011
Location: Sydney, NSW, Australia
User Profile |
Thanks Barry I had not got that understanding before.
So to define a market state with 0% Long, 5% Short, I'd express that as Max Longs % 0, and Min Long % 95?
To have minimums exceed maximums does seem counter intuitive to me, perhaps for others also, I encourage you to expand the description in the manual.
BTW ATM is just AMAZING, WELL DONE Mark Holstius and Nirvana!
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Barry Cohen
Posts: 6338
Joined: 1/19/2004
User Profile |
Yes that should do it, John. I agree it is not the most intuitive.
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FG
Posts: 39
Joined: 1/8/2004
Location: Atlanta, Ga
User Profile |
Jim, does AutoTrade (ever) automatically update the "top 300 optionable stocks" list that came default with the ATM Macro & Micro profile?
Thank you, Fred Gordon
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Jim Dean
Posts: 3022
Joined: 9/21/2006
Location: L'ville, GA
User Profile |
Need to ask Mark about that one.
Imho the important Q is how often N updates the “All Optionable Stocks” general list, from which other subsets are derived. Barry / Cose would know that.
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Barry Cohen
Posts: 6338
Joined: 1/19/2004
User Profile |
The Optionable Stock list in OmniScan is updated daily. But the ATM Macro & Micro profile uses a static My Symbols list from Mark. Of course anyone is welcome to use a scan or modified list with it.
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Jim Dean
Posts: 3022
Joined: 9/21/2006
Location: L'ville, GA
User Profile |
Thanks, Barry ... I couldn't recall.
Is there some way to know, historically, if a given stock was optionable on a particular bar (ie fundamentals or some other means). If not, could you get that added to the fundamentals list? Thanks.
If that is available, then it's possible to create a "historical tracking" variant of Mark's list.
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FG
Posts: 39
Joined: 1/8/2004
Location: Atlanta, Ga
User Profile |
Thank you Barry
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LSJ
Posts: 515
Joined: 8/17/2006
Location: Citrus Springs, FL
User Profile |
Has anyone tried using market internals for some descriptions in market state definitions? I'm thinking that adv/decl, bullish percent, McClellan's, ARM's, etc. may be useful.
I am about to start experimenting and would like any ideas or comments.
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
That sounds interesting, Larry...
I haven't tried it, but look forward to hearing what you find.
Mark
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Jim Dean
Posts: 3022
Joined: 9/21/2006
Location: L'ville, GA
User Profile |
Hi Larry
In order for backtests to be valid, you need to restrict the scope of possibilities to the dozen or so historical fundamentals that N provides - you can find them in the function list in the OLang or Formula Builder editor panel. Here is a snapshot:
Attached file : Historical Fundamentals.png (128KB - 742 downloads)
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LSJ
Posts: 515
Joined: 8/17/2006
Location: Citrus Springs, FL
User Profile |
Jim,
I wasn't thinking of stock fundamentals as much but of market internals. There is an easy list available in Omnidata and Easydata. The attached are the internals that have current data.
I don't think all of these are useful but it is what there is to pick from. I have charted many of these and am considering how to use them. In some cases it seems a moving average crossover or the data crossing a moving average corresponds well to movement on the SPY chart.
Anyway, a lot of sorting and testing will be needed to get this down to useful in market state and if it is useful.
I'm thinking ATM2 may also expand that use by allowing differences in NYSE and Nasdaq, among other things.
Attached file : MktInt.png (24KB - 741 downloads)
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Jim Dean
Posts: 3022
Joined: 9/21/2006
Location: L'ville, GA
User Profile |
Yup I know what you're hoping for. However, if you're *developing* ATM methods (or anything else) then backtesting is normally a crucial part of the process.
If the data you use in ANY part of the method is "static" ... such as using a locked-in Symbol list that actually does change over time, then the backtesting will be erroneous and the resulting tuned Method will be unlikely to perform as you expect in the future.
Just a word to the wise.
Unfortunately, since the majority of the market internals are calculated across many symbols to arrive at a single value, OLang cannot be used to approximate them. It would be possible for N to do it themselves ... but undoubtedly they'd require (chicken and egg) proof ahead of time that it has benefit.
Sigh.
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LSJ
Posts: 515
Joined: 8/17/2006
Location: Citrus Springs, FL
User Profile |
Jim,
I'm not sure I follow you on that. Generally speaking I am contemplating using market internals in ATM states or filters.
I don't understand what you mean by valid only for HRE and "static".
I have historical data with daily change so could I not use a moving average or some other derivation from the data to define a filter, e.g.?
I appreciate your experience here. (I am leaving for a few hours but will be back.)
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Jim Dean
Posts: 3022
Joined: 9/21/2006
Location: L'ville, GA
User Profile |
Y'know what? I'm wrong and you are correct, re the broad market indices. Those don't need special historical function calls since they are actual SYMBOLS. So, by using GetClose("$VIX.N") in a formula that compares it to a threshold, for example, you CAN do filtering or ranking or allocation derived from that index, which is valid historically. You can. And, I'm sorry for creating confusion about this. I've corrected my prior post.
======== however ========
The backtesting issue IS important, for "static Lists" (ie symbols associated by you, with a particular market state) ... or if you're not using ATM, then any static Focus List based on some kind of external-to-OT filtering/selection procedure.
For example, Eric Severance gave a short presentation at the Bash regarding the value of using Symbol Ranking based on the a well-known publication's "Growth" list of 50 symbols (name is made up since the source of the info is strictly copyrighted). What wasn't stated (as I recall), is that this also presumed the FL symbols are also *filtered* by whether or not they are on the Growth list. He and MarkH nicely demonstrated that using the Growth-ranked order in lieu of the default "alphabetic" order for selection of symbols that have signals on the same day, provides a definable edge. N was convinced, and they plan to incorporate that ability in OVest ... that is, if you upload a List, it won't auto-alphabetize it and lose the sequence of the rankings. This will be a BIG plus in OVest, I believe.
OVest of course supports uploading Historical Lists ... that is, huge text files with lots of strung-together "sets" of symbols, for sequential dates in the past. For example, that "Growth" list comes out once a week. Eric has painstakingly gathered a lot of past weeks to create the file (which btw he cannot "give out" to others due to *very* strict copyright protection - they can and do take people to court about it).
Aaaanyways ... this means that OVest has the ability to HISTORICALLY TEST the value of that Growth List's rankings (and the symbols on the list, for that matter), to demo how much going that route improves things. Hurrah, OVest!
Unfortunately, N long ago decided not to support Historical Lists for OT/VT ... just too messy for them to deal with, I guess. Fortunately, I'm just about finished development of a comprehensive, robust tool that *will* fully support Historical Symbol Lists in OT/VT. Contact me privately for more info.
So, in OT/VT, when your strategy or method is "geared" to the use of certain symbols for a given Market State, or certain symbols in the Focus List, and if that symbol-list is defined by:
1. an external algorithm or entity, such as a guru list or ETF
2. a periodic reshuffling of what symbols are on the list, and/or their order
... then, in that case, since OT (natively) does not provide a way for you to vary the makeup &/or order of the symbols on the list from week to week (or some other frequency) ... that becomes untenable for valid/useful Analysis.
With that in mind ...
Basic presumption for this all to matter: You are going to use optimization, or formal backtesting via Analysis/PortSim stats or via SW ... to decide what Method-variant works best. I think that virtually everyone does one or more of those things, but if you are the exception, then this "advisory" doesn't apply.
If you are doing one of those "pick and choose based on statistics" methods mentioned above, then it's likely that (for daily bars) you're looking back at least a year and possibly more, at some point along the way. Remember ... unless you specify otherwise in the Strategy Test Settings, OT will run the stat's for all the bars you have loaded at the time. So, that's the "time window".
Now ... if the List of Symbols you are using is the "most recent" (ie just before the HRE) state ... and if you run a 3-year (or whatever) backtest on that "static list" setup ... then there are two problems that arise:
1. in the recent past, the fact that you have future knowledge of the "successful symbols" builds in a crystal-ball rosy-glow bias. Ungood.
2. in the majority of the past before that, presumably the "HRE at the time" list of symbols has changed frequently. In fact, some of "today's" symbols might not even have existed at some point in your test window.
NOTE: this applies even to basic Indexes such as the SP100, DJ-30, Russell-1k, etc ... all of which are updated typically once a year or more. Using the current list BIASES long backtests to show better results, since those outside agencies (SP, DJ, Rus) go through a process of selecting "strong" stocks.
CONCLUSION:
Static Symbol lists based on outside sources that change over time create ERRORS in the analysis results. The more frequently the outside source changes the Symbols in the list, the greater the error will be.
And that's why I've spent a huge amount of time solving the problem, so Historical "sequential" external-list changes can be properly modeled in OT.
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LSJ
Posts: 515
Joined: 8/17/2006
Location: Citrus Springs, FL
User Profile |
Thanks, Jim. I tread on thin ice on some of these issues and it is good to get the "skinny".
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