OmniTrader Forum : ATM : Getting Granular within ATM

You are currently browsing as a guest.
You should logon to access more features

A Self-Moderated Community - ALL MEMBERS, PLEASE READ!
Vote for Members who contribute the most to your trading, and help us moderate content within the Forums.

Current location		Thread information
OmniTrader Upgrade Forums ATM Getting Granular within ATM		Last Activity 4/21/2021 9:48 AM 3 replies, 899 viewings

Jump to page : 1
Now viewing page 1 [25 messages per page]

< Previous Thread :: Next Thread >

Printer friendly version

^ Top

LSJ

Legend

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

User Profile

Subject : Getting Granular within ATM
Posted : 9/20/2018 8:28 PM
Post #45437

I am experimenting with a method within ATM that just occurred to me that might be possible. Using a sector rotation approach it was easy to have states within the sector and then symbol lists for that sector but I wanted to break it down further to have stock lists for for groups within the sectors with their own correlations and filters.

I discovered that ATM doesn't care if market states are duplicated with the same symbol and state definition. I created new duplicate states but named them differently to keep it organized. So, for example, I have duplicate market states for XLU. Within each state I am using a filter based on an MG group and have a separate symbol list, and repeat for as granular as needed to cover all the groups. I end up with a lot of symbols by not just using the symbols listed for the XLU so testing will take a lot longer.

I won't have my first results until morning but has anyone else tried this?

^ Top

Jim Dean

Sage

Posts: 3022

Joined: 9/21/2006
Location: L'ville, GA

User Profile

Subject : RE: Getting Granular within ATM
Posted : 9/20/2018 8:57 PM
Post #45438 - In reply to #45437

I plan to. But the market state should be based on the symbol (MG or whatever) that the list is correlated to.

And since the MG groups are literally several years out of date the their components, I suggest that anyone who uses them should have correlation in their filters, and the correlation should be at least 0.85 or higher.

^ Top

SteveJ

Member

Posts: 19

Joined: 10/6/2015
Location: France

User Profile

Subject : RE: Getting Granular within ATM
Posted : 9/21/2018 3:47 AM
Post #45439 - In reply to #45438

Depending on how granular you want to get, the Global Industry Classification Standard (GICS) classifies the US market into 11 Sectors, 24 Industry Groups, 68 Industries and 157 Sub-Industries. So, using the scanner in Portfolio123 with a GICS filter I can easily, if a bit laboriously and expensively, get up to 157 completely up to date point in time lists of stocks; but that's a bit OTT!

As I have a P123 subscription I haven't looked much further but there are numerous scanners that will do a similar job. Yahoo, for example, has a free scanner that will produce lists of stocks in Sectors and sub industries which is probably more than enough.

^ Top

LSJ

Legend

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

User Profile

Subject : RE: Getting Granular within ATM
Posted : 9/21/2018 7:11 AM
Post #45441 - In reply to #45437

Thanks for the confirmation. And yes, Jim, that is exactly what I am doing. Grooming lists whether they be MG groups or newly constructed groups is on the agenda.

The discovery for me was the fact that you can have unlimited identical market states for a sector symbol so that separate stocks lists, filters and other ATM criteria can be used for subgroups.

BTW, I use barchart.com for downloadable stock lists.

Jump to page : 1
Now viewing page 1 [25 messages per page]

< Previous Thread :: Next Thread >

Legend			Action		Notification
Administrator Forum Moderator	Registered User Unregistered User		E-Mail this thread to a friend		Toggle e-mail notification

For any problems or issues please contact our Webmaster at webmaster@nirvsys.com.