OmniTrader Archives
OmniTrader 2017 Technical Support
Interpreting Expectancy Strategy Wizard Data
4 replies, 2234 viewings
|
OmniTrader Archives
OmniTrader 2017 Technical Support
Interpreting Expectancy Strategy Wizard Data
|
Last Activity 1/4/2023 9:49 AM 4 replies, 2234 viewings |
|
|
|
| Printer friendly version |
mholstius Veteran   Posts: 175 Joined: 1/13/2017  User Profile |
The following examples use a run I made by varying these 2 values on the SP500; 1) MinAvgPPT from 1-3 using steps of 0.25 2) Lookback # Trades from 6-11 in steps of 1 To be consistent in my 2D charts I set them up so that; 1) MinAVg PPT will be the X axis 2) Lookback #Trades will be the Diamonds on the chart “Z Axis” The Y axis will be the effect on various statistics - easily selected using the drop down. This chart shows me that the FT # Trades (Y Axis) goes down rather smoothly as the AvgPPT (X Axis) increases. Also, the groupings of Lookback # Trades (6-11) represented by the Z Axis Diamonds on the chart stay in tight groups as AvgPPT increases. If I put the cursor on any Diamond it will tell me the value of the Lookback # Trades for that point, and the intersection of 2% AvgPPT and the Diamond for #Trades = 9 (“A”) gives a FT NT of 1320 on the Y axis. I’ve added a box showing that the original # Trades without the filter was 15,951 – my feeling is that as fewer trades are taken, the results are probably less robust and more in the category of curve fitting. Here’s the same data on a 3D chart; Note that the X Axis (MinAvgPPT) and Z Axis (Lookback # Trades) are fixed and the Y axis (chosen with the dropdown) adds visual depth to the results. It’s the same data, but the depth can make it easier to find the effect of the combinations – and hopefully a robust solution. I’ve got the cursor on the same point (Intersection of MinAvgPPT 2% and Lookback # Trades 9) in both charts. On the 3D chart, the data for the point under the cursor shows up under the chart. I’ve added labels to the chart to show how the 3D scales / data correspond to the 2D scales / data. I’ve also added Purple labels to identify how to rotate the chart, choose the colors, and choose the type (Bar, Scatter, & Surface) in case you're not familiar with those. In the 2D chart below, all I’ve done is change the dropdown to FT PPT, which changes what’s displayed on the Y Axis. The X Axis is the same and the Z axis still has Diamonds for each of the Lookback # Trades. I’ve located the cursor to select the same point (Intersection of MinAvgPPT 2% and Lookback # Trades 9) - which gives a FT PPT of 0.7 on the Y axis. I’ve added a box showing that the original FT PPT without the filter was 0.48. The 2D chart helps me see that as the MinAvgPPT increases past 2%, the results are more scattered and the FTPPT is largely influenced by the Lookback # Trades chosen. I interpret this to mean that combinations using MinAVgPPT over 2% are probably less robust, and the pairs giving high FTPPT are probably just curve fitting.(?) A 3D chart using the same data adds the benefit of depth; Once again, I’ve located the cursor to select the same point (Intersection of MinAvgPPT 2% and Lookback # Trades 9) - which gives a FT PPT of 0.7 on the Y axis. I find it easier to locate the areas where the input pairs yield output values (FTPPT in this case) that don’t vary widely if the input values are changed slightly. I’d rather choose a pair that has stable results in the surrounding pairs in the hope that the choice is more robust. I’ve also attached a file named “AvgAPR Expectancy Using 435 ETFs.png” that contains 9 side-by-side 3D and 2D charts from a Strategy Wizard run I did using VBX3 against a list of 435 ETFs. The run varied the Min Avg APR from 0-200% in steps of 20% and the Lookback # Trades from 1-20 and took about 14 hours to complete. The file is too large to insert in this post - but please feel free to download it (rt click / save link as), zoom in a bit, and scroll down through the charts. I hope it’ll help illustrate the information I’ve tried to share above. As always, feedback and suggestions are appreciated – and good luck in your trading, Mark [Edited by mholstius on 1/23/2017 1:25 PM]  Attached file : 01-Port Sim Values.png (7KB - 853 downloads) Attached file : 02-2D chart 1.png (150KB - 948 downloads) Attached file : 03-3D chart 1.png (181KB - 969 downloads) Attached file : 04-2D chart 2.png (129KB - 1089 downloads) Attached file : 05-3D chart 2.png (283KB - 950 downloads) Attached file : AvgAPR Expectancy Using 435 ETFs.png (4248KB - 11 downloads) | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
As Tom was kind enough to point out - and I hope everyone was smart enough to notice prior to this - I'd done my post above constantly referring to it being Port Sim data and not Strategy Wizard runs. Sigh I was doing a bunch of Port Sim runs on another computer, so I'll just chalk that up to being old... :-) At least I was consistent. Even one of the files is labeled wrong... I've edited it now, but I still might've missed something...??? Thanks Tom, Mark | ||
| EYEGUY Icon   Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
Although I am still digesting this wealth of information I wonder if this might also be a mis-statement as the top of your post: Tom Helget [Edited by EYEGUY on 1/23/2017 1:22 PM] Attached file : Question.PNG (19KB - 858 downloads) | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
"Eyeguy" is appropriate. ;-) Thanks, Mark | ||
| EYEGUY Icon Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
When imparting such long and complex information I have found it difficult to keep from making small mistakes. I recently wrote an Indicator for OT which was about 100 lines long to analyze breakouts from the opening range of the first trading day of the year. I then copied the subsequent code to create a ten day opening range scenario to extend the analysis. Going over this new 100 lines I changed all the variable names to be specific to the new 10 day analysis. I then checked each symbol in the S&P 100 to make sure the analysis was indeed correct. Although I was sure I had it nailed down yesterday I found one variable name I didn't change as a result of going over the S&P 100 again and discovering a breakout that should have never occurred. Tom Helget |
|
|
|
|
Administrator
Forum Moderator |
Registered User
Unregistered User |
 E-Mail this thread to a friend |
Toggle e-mail notification |
