OmniTrader Archives
OmniTrader 2015 Technical Support
Portfolio Simulation versus AutoSim
11 replies, 1887 viewings
|
OmniTrader Archives
OmniTrader 2015 Technical Support
Portfolio Simulation versus AutoSim
|
Last Activity 12/22/2017 11:03 PM 11 replies, 1887 viewings |
|
|
|
| Printer friendly version |
EYEGUY Icon    Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK  User Profile |
Recently I ran for the same time period (1/1/14 to 11/2/15) a Portfolio Simulation on OT and an AutoSim on VT using exactly the same symbol set. Both simulations were no frills using exactly the same Strategy and Trade Plan and employed 10% of Equity (or 10% BP on VT). Total Initial Equity in both OT and VT was $100,000 with 2X Leverage in OT and 50% Margin in VT. Trades taken on OT were alphabetical by symbol and on VT by Forming signals taken in the Opportunity List sort order. Now I never expected the two to produce the same Equity Curve but I thought they might be close. However they were widely divergent. Checking the first few trades showed the problem. While the symbols chosen to trade were almost identical, the number of shares purchased were not: So, even though the methodolgies employed in the two simulations would seem to be the same they are not. It would appear that the VT simulation takes double the shares the OT simulation does. How can I get them to be equal? Thanks, Tom Helget [Edited by EYEGUY on 11/2/2015 10:54 PM]  Attached file : Trade Sizes Different.PNG (333KB - 595 downloads) Attached file : Port Sim Settings.PNG (15KB - 592 downloads) Attached file : AutoSim Settings.PNG (32KB - 580 downloads) | ||
| Barry Cohen Sage   Posts: 6338 Joined: 1/19/2004 User Profile |
| ||
| EYEGUY Icon Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
Thanks, but that really didn't help. So, are you saying that it is the Trade Throttle Margin in VT that is currently giving erroneous results but that the Portfolio Simulation in OT has no problems whatsoever? Thanks, Tom Helget | ||
| Eric Severance Member Posts: 7 Joined: 1/30/2007 Location: Incline Village, NV User Profile |
Thanks, Eric Severance | ||
| Barry Cohen Sage Posts: 6338 Joined: 1/19/2004 User Profile |
| ||
| EYEGUY Icon Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
I am not so sure we are completely resolved as regards this. Using the same OT and VT settings I described at the start of this thread I ran a Portfolio Simulation on OT and an AutoSIM on VT. While it is true that as the AutoSIM in VT runs one can see that now 100% Buying Power is being utilized with the new brokerage.otd file, the results are the same - VT's trades are double in size that of OT as shown below: This makes for a huge difference in the final resulting statistics and Equity Curve on VT versus OT; VT AutoSIM: OT Portfolio Simulation: Tom Helget [Edited by EYEGUY on 11/3/2015 9:30 PM] Attached file : VT Takes Double the Shares that OT Does.PNG (396KB - 557 downloads) Attached file : AutoSIM Equity Curve.PNG (52KB - 549 downloads) Attached file : OT Equity Curve.PNG (105KB - 557 downloads) | ||
| Barry Cohen Sage Posts: 6338 Joined: 1/19/2004 User Profile |
So to match VT's Throttle in the above scenario, what you want to do is change the value in the % of Equity method from 10% to 20%. | ||
| EYEGUY Icon Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
That just makes things more divergent in the OT Portfolio Simulation: Tom Helget [Edited by EYEGUY on 11/4/2015 11:16 AM] Attached file : Percentage of Equity is 20 Percent.PNG (103KB - 551 downloads) | ||
| EYEGUY Icon Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
1X Leverage and 20% Percentage of Equity is the only combination of parameters in the Portfolio Simulation that I could find easily that produces roughly the same number of shares traded and almost the same end result in the Equity Curve (by the way I know it will be a bit different because of the way the trades are selected): Tom Helget [Edited by EYEGUY on 11/4/2015 11:31 AM] Attached file : Leverage 1X and Percentage of Equity 20 Works.PNG (141KB - 508 downloads) | ||
| EYEGUY Icon Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
OK, I know we are using a custom strategy and Trade Plan and it looks like that might be a source of confusion. So I opened up the Dow 30 Map that comes with VT. I changed the strategy to IT Steady Trend since it has a Trade Plan and VT Breakout doesn't. To keep things simple I ran an AutoSim from the first of this year. I then created a Dow 30 OT Profile and did the same thing in changing the strategy to IT Steady Trend. I then ran a Portfolio Simulation using 10% of Equity and 2X Leverage on the same initial Account Balance of $100,000. So, what were the results? Well once again VT trades double the shares of OT and since there were only a few trades this can nicely be appreciated: Tom Helget [Edited by EYEGUY on 11/4/2015 2:39 PM] Attached file : Trade Size is Double in VT what it is in OT.PNG (213KB - 494 downloads) | ||
| Barry Cohen Sage Posts: 6338 Joined: 1/19/2004 User Profile |
| ||
| EYEGUY Icon Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
Thanks, I think it finally sunk in now: And, thanks for your patience guiding me through it! Tom Helget [Edited by EYEGUY on 11/4/2015 4:54 PM] Attached file : Got It.PNG (274KB - 476 downloads) |
|
|
|
|
Administrator
Forum Moderator |
Registered User
Unregistered User |
 E-Mail this thread to a friend |
Toggle e-mail notification |
