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Last Activity 4/21/2021 9:48 AM 11 replies, 1485 viewings |
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LSJ![]() Legend ![]() Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL ![]() |
The ATM "Use these symbols" list is a static list. If the list is derived from an OS list with criteria and the number of stocks vary from time to time, does this cause a problem with the ATM method? Or, is it necessary to keep the list static? | ||
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Jim Dean![]() Sage ![]() ![]() Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA ![]() |
The list is static - you can manually change it as time moves forward. Dynamic Lists don’t work. | ||
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LSJ![]() Legend ![]() Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL ![]() |
Thanks, Jim. what I was thinking though is what happens if I copy symbols from an OS list and paste into the ATM symbol list. Then say the OS criteria causes the list to change. Does the analysis crash when run or do the new stocks or missing stocks just get skipped. I am just trying to stay ahead of a worst case scenario. (I have been having a lot of crashes with my methods and I usually don't know why and spend hours if not days chasing that down. Trying to avoid repeats.) I'm guessing you are going to recommend all lists be static. eh? Yeh, as I think about it that's what I'll do. [Edited by LSJ on 10/3/2018 8:33 PM] | ||
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Jim Dean![]() Sage ![]() ![]() Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA ![]() |
Heh heh. You got it. I’m really hoping that somehow, somewhen, the lists can be made dynamic. | ||
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John W![]() Regular ![]() ![]() ![]() Posts: 87 Joined: 8/1/2011 Location: Sydney, NSW, Australia ![]() |
FWIW I have been able to create my own dynamic lists to run with ATM. They run longer and give different results to the same list with the dynamic feature unchecked. | ||
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Jim Dean![]() Sage ![]() ![]() Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA ![]() |
Velly intellestink. I asked Barry & crew about this a long while back and was told that DL’s don’t work with ATM. So I never bothered testing - it would be extremely difficult to verify. Barry - could you please clarify. Has this changed? | ||
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Barry Cohen![]() Sage ![]() ![]() ![]() ![]() ![]() ![]() Posts: 6338 Joined: 1/19/2004 ![]() |
Jim, no it has not changed. Larry, if you use an OmniScan list like that & the list changes, first the ATM list won't update, so you'll have symbols that won't be included in ATM unless you manually add them. You shouldn't get any crash or error though. The worst thing that happens if your Profile is set to an OmniScan list is when symbols are actually traded & they stop being included in the list, those positions won't ever update or exit. To get around that though you could use the All Analyzed Symbols list. Bill posted about this here: https://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=15867&posts=5 | ||
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John W![]() Regular ![]() ![]() ![]() Posts: 87 Joined: 8/1/2011 Location: Sydney, NSW, Australia ![]() |
Within an ATM method there are 2 choices for handling symbols: “Use portfolio Simulation Settings for Symbols” or, “Use these Symbols” If you choose the first alternative then a dynamic list can be run with the ATM method. If you choose the second alternative then the symbols cannot be changed dynamically As an example I sorted a list of the Russell 1000 to find the top 30 symbols using AVG(C,10)*AVG(V,10) as both a criteria and sort value. In its static from this produces the 30 largest stocks that meet this rule today. This produces 1430 trades using those static 30 symbols and final equity $3.879M The same list in its dynamic form produces 1747 trades using 134 symbols and final equity $3.655M. [Edited by John W on 10/4/2018 8:25 PM] ![]() ![]() | ||
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Buffalo Bill![]() Legend ![]() ![]() Posts: 539 Joined: 10/3/2006 Location: Stafford, VA ![]() |
I use a dynamic OS list with ATM and it works fine. It starts with all optionable us stocks then filters for C>10 and Ave Vol(10) > 500k and then ADX(8)>20. Then it's set to rank them by Ave (c*v,10) and take the top 500. It updates everyday when Todo runs I assume | ||
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Jim Dean![]() Sage ![]() ![]() Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA ![]() |
Hi Buffalo Barry has stated - and recently confirmed - that DL’s do not work properly (ie as you’d expect) for ATM. Apparently the results differ from similarly structured static Scans but the differences are not based on true daily reconfiguring of the List across the backtesting period. | ||
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Buffalo Bill![]() Legend ![]() ![]() Posts: 539 Joined: 10/3/2006 Location: Stafford, VA ![]() |
Jim I take that to mean it doesn't work for a DL backtest but day to day the OS dynamic list updates and ATM works normally. Yes? | ||
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Jim Dean![]() Sage ![]() ![]() Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA ![]() |
I assume so - afaik the main FL, if based on a OScan, works that way. But it’s possible that if the OScan Main FL does not include some of the symbols used in a specific explicit Mkt State List, then that could mess things up behind the scenes. I don’t know if a DL works differently as a normal OScan at the HRE or not. I wouldn’t *think* so - but if Barry says DL’s don’t work with ATM, then my advice would be to just not use them - duplicate the DL rules in a normal HRE OScan and run with it (just to make sure). Jmho fwiw. [Edited by Jim Dean on 10/8/2018 9:11 PM] |
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