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Last Activity 4/21/2021 9:48 AM 14 replies, 2073 viewings |
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CCooper![]() Member Posts: 5 Joined: 10/6/2005 Location: Hartsville, PA ![]() |
As a curious non-owner of the ATM product, I was wondering how your individual trading results have been in 2018 and 2019 using any ATM strategy. Both years have been unlike anything in the past, so I was wondering how all of those impressive back-tested equity curves have held up during those two years trading in real-time. I have been contemplating purchasing the ATM product but I cannot find anyone in the various forums who post their actual results instead of the simulated equity curves. (other than a few BASH participants in the video with ED at BASH 2018) Also, I noticed the ATM forum has gone quite dormant over 2019. Please share any information you may have in regards to actual trading or interesting updates regarding ATM. This will help me evaluate the ATM purchase decision. Best Regards, CCooper | ||
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CCooper![]() Member Posts: 5 Joined: 10/6/2005 Location: Hartsville, PA ![]() |
I found this post by Randy who sums up all of the ATM strategies by year. It appears 2018 was not a great period for ATM. Most of the strategies are in the red. 2018 really stands out as a tough year, the first time in this spreadsheet where most ATM strategies were negative. Is this because 2018 was out of sample and from 2000 to 2017 the total returns generated were just the result of over optimization or curve fitting? Can someone re-run this spreadsheet for 2019 as an out of sample test? If you have an Omnifunds account with various ATM strategies that you have been running for the past two years, could you please share the results? https://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=15824&posts=18 Best Regards, CCooper ![]() | ||
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Diamondjag![]() Veteran ![]() ![]() ![]() ![]() Posts: 270 Joined: 11/25/2006 Location: Brighton, Co. ![]() |
I was looking for an update to Randy's ATM spreadsheet at the 2019 BASH but since we are past the normal June BASH date I wonder … Randy are you still keeping up that spreadsheet? | ||
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Buffalo Bill![]() Legend ![]() ![]() Posts: 539 Joined: 10/3/2006 Location: Stafford, VA ![]() |
Started using a custom ATM system in June, 2018. here is a shot of my trade history excel spreadsheet - incl commissions. $25k acct, 20% actual profit in just over a year, 63% HR (not good) avg ppt -.18% (ugh). BUT it's been up much more than that - been hit by big RTM induced losses - buying into a falling knife (like a pharma company going south bc failed drug test on premier drug. Ugh). Those few (approx 10) trades have cost about $20k in previous profits!!! Without those big hits it would've been a banner year. Side note: On a few of those I made up the losses (and more) by buying the stock in my 401k near the lows and letting them recover (after figuring out the reason for the initial losses. Sometimes it's a good company that just missed earnings and wall st over-reacts creating a good buy). CBB is a good current example - I lost $4K in ATM on CBB but have made $9k (and still growing) in my 401k on CBB. ATM highlighted this possibility. I didn't do this in my ATM acct bc I want this to test the ATM system not me doing things on the side. At the end of July I looked at the individual perf of each strat and killed the poor performers (abt 1/2 the strats). For Aug it is 6/7 winners, with 3 open and all 3 are profitable right now. And Aug has been a choppy month so I'm thinking this year will be much better. BUT the perf is nowhere near the historical BT numbers - 20% vs predicted (based on 10yr BT ave) of 90% yearly ROI. I am building a new ATM system using the new Arm6 capabilities and focusing on HA bars. We'll see. Until then I'm letting this one run ![]() | ||
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Randy![]() Regular ![]() ![]() Posts: 50 Joined: 12/6/2003 ![]() |
I've captured the raw trades thru the end of August 2019 and will run the analysis and post the update in the next few days. Randy | ||
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Randy![]() Regular ![]() ![]() Posts: 50 Joined: 12/6/2003 ![]() |
Sorry this took a bit longer to finish … August 2019 updates. Note the Ending Equity and CAGR are from January 2000. Thanks, Randy [Edited by Randy on 9/21/2019 1:55 PM] ![]() | ||
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EYEGUY![]() Icon ![]() ![]() ![]() Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK ![]() |
Randy: Wow, what a Herculean effort! If this had been me, I never would have finished. Quick question though - Is the CAGR percentage stated for this year only or for the entire testing period? And if it is for the entire testing period what exactly was that? Thanks - super great work! Tom Helget | ||
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LSJ![]() Legend ![]() Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL ![]() |
It is my observation on every Port Sim I have run on all kinds of strategies that the last half or so of 2018 into 2019 was a losing period. | ||
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Diamondjag![]() Veteran ![]() ![]() ![]() ![]() Posts: 270 Joined: 11/25/2006 Location: Brighton, Co. ![]() |
Randy, Thanks so much for keeping up on this for everyone. It's very important to give us a continued sense of reality. I always like to look at these results compared to the market, so I added a picture of the SPY. Everyone can interpret for themselves but it looks like January and February was a great up market. You would think the systems would have made money. Less than half did. March had some decent drops but every system made money. April was a nice up month everybody made money. May was ugly. Nobody made money. June and July a strong rebound with a few good drops. Everybody made money. Aug., really UGLY and only ATM Macro & Micro was in the green. Interesting in May, ATM Macro & Micro, the best overall system, had the biggest drawdown in the worst month, but did hold up in August, with a large down move then whipping up and down. It sure liked those June and July up market with the occasional dips. Randy, if you tell me what securities you tested these systems on I should be able to add VATS results for you. [Edited by Diamondjag on 9/21/2019 7:35 PM] ![]() | ||
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Randy![]() Regular ![]() ![]() Posts: 50 Joined: 12/6/2003 ![]() |
Tom, The CAGR is for the entire forward test period 1/1/2000 thru current date (8/30/2019). The calculation is one Mark Holstius recommended using the Excel POWER function. Similar to =POWER((Ending Equity - Starting Equity),(1/((End Date - Start Date)/365)))-1 . I did find an error in the CAGR I posted as I failed to update the End Date so the calculation used 6/30/2019 instead of 8/30/2019. I've posted an updated graphic with the correct values. David, I used the default profiles so the securities are whatever are in these profiles. The only changes I made were to standardize the test periods to use 1/1/1999 - 12/31/1999 for the back test period and back test thru current for the forward test period. In Portfolio Simulation I use Starting Balance = $100000, Leverage = 2x, test period = Forward test (12/31/1999 - current), & Commissions = $0 for all. I you can send me a Portfolio Simulation - View Trades (Equity Trades report). Then export (save) the report to a Excel Workbook data-only (.xlsx) format for VATS. I can apply the same analysis used for the other strategies. I'll send you my email via a PM. Thanks, Randy [Edited by Randy on 9/22/2019 2:49 PM] ![]() | ||
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peanutbrittle![]() New User Posts: 3 Joined: 9/4/2005 Location: Phoennix ![]() |
Are these the results of the ATM with the VATS included? | ||
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Diamondjag![]() Veteran ![]() ![]() ![]() ![]() Posts: 270 Joined: 11/25/2006 Location: Brighton, Co. ![]() |
It was decided that it would not be appropriate to provide independent VATS results. VATS is a strategy which Nirvana markets separately from ATM and the sales staff should provide any information they want to make public. Also, the Option Masters Group strategies which leverages ATM components are not published independently which is consistent with not publishing VATS. | ||
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JEM![]() Member ![]() Posts: 35 Joined: 1/28/2007 Location: victoria bc ![]() |
Very interesting information. So many acronyms. Would somebody remind me as to the definition of CAGR | ||
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EYEGUY![]() Icon ![]() ![]() ![]() Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK ![]() |
JEM: Unless corrected I think it is the Compound Annual Gross Return. Tom Helget | ||
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CCooper![]() Member Posts: 5 Joined: 10/6/2005 Location: Hartsville, PA ![]() |
Thank you Randy for putting the update together. The monthly returns, in my view, seem quite volatile with the ATM product. While the ATM back-tests provide very nice looking final CAGR results, I'm not sure if I could live through the monthly/quarterly volatility it generates in order to achieve those final returns. Also, it generates a high amount of trades which could be tough to follow day in and day out. Does anyone have experience using ETFs in the ATM strategy? It seems to me that using ETFs in a ranking system with the ability to use bond ETFs in periods of stock market downturns with equity ETFs in the upswings, could dampen the amount of necessary trading to just a few ETFs while getting rid of the idiosyncratic risk of individual stocks. The ETFs could be narrowed down to a custom universe of equity ETFs in bull phases, and bond or cash proxy type ETFs in bear market periods. Then ranking the best ones in each phase and choosing maybe two top ETFs for those specific periods. Best Regards, CCooper |
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