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Last Activity 4/21/2021 9:48 AM 8 replies, 1755 viewings |
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Randy![]() Regular ![]() ![]() Posts: 50 Joined: 12/6/2003 ![]() |
Attached is the ATM Macro and Micro method Excel Spreadsheet containing the Annual and Monthly Performance data I presented during the 2018 Bash Member session. I'm also attaching the performance data for ATM Universal, ATM ARM5, and ATM MicroStates. The general layout is - Trades tab contains a extract of the trades from the portfolio simulation which I add a year and month tab for the trade exit date. - Return tab which contains a pivot table of the $ gain for the year and months which I use to calculate the annual and monthly performance. - % Return tab which contains a table showing the year, annual and monthly gains with min, max, and average details. Thanks, Randy ![]() | ||
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bjmtigers![]() Member ![]() Posts: 25 Joined: 1/6/2004 Location: Tampa,FL ![]() |
Hi Randy, I couldn't make the Bash, but I downloaded the files. Excel gave the following message when I tried opening 3 of the 4 files; the Universal file opened successfully. ![]() | ||
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Randy![]() Regular ![]() ![]() Posts: 50 Joined: 12/6/2003 ![]() |
Hi Barry, I also found only the Universal Excel downloaded successfully. I tried to delete and upload a 2nd time but had a similar failure. I'll check with Nirvana in the morning to see what's going on. Thanks, Randy | ||
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Randy![]() Regular ![]() ![]() Posts: 50 Joined: 12/6/2003 ![]() |
Looks like an issue with the file format so trying these in the older xls format - I've loaded Macro & Micro in the original post. This post contains the Universal version Looks like the new format may be too big for the post and is causing an error 500 - Internal server error so I've loaded the original universal.xlsx which worked. I've loaded an excel with performance summary's of the 4 methods in the post below. [Edited by Randy on 6/8/2018 3:17 PM] ![]() | ||
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Randy![]() Regular ![]() ![]() Posts: 50 Joined: 12/6/2003 ![]() |
Here is a summary excel with all 4 results page - Universal, ARM5, Microstates, and Macro & Micro Thanks, Randy | ||
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Randy![]() Regular ![]() ![]() Posts: 50 Joined: 12/6/2003 ![]() |
Updated attachment with June performance and including XZones. Thanks, Randy | ||
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jpb![]() Veteran ![]() ![]() ![]() Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI ![]() |
Hi Randy, First, thank you for sharing this consolidated view. This is some interesting data. I do have a question though. As I was looking at the June vs May views, something caught my eye and I can't get my head wrapped around it. I was looking at ATM MicroStates. Ending value in May was $173 million, ending value in June was $168 million. This is a 2.4% difference (decline). The Annual return numbers however went from 10.8% (May) down to 0.6% (June). So, in my head, if May showed a gain of 10.8% and the ending value was $173 million, that would tell me the beginning of January 2018 would be around $154 million (~ 19 million gain through May). So, June's decline would have made the return to date ~ 8.6% instead of the 0.6%. The other ATM methods didn't seem to show this degree of difference in the annual return. Am I missing something obvious or misinterpreting what the Annual column means? Thanks, Jeff | ||
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Randy![]() Regular ![]() ![]() Posts: 50 Joined: 12/6/2003 ![]() |
Hi Jeff, My apologies for the confusion. I found 2 issues with the MicroStates results. - 1st there is a mistake in the May version of the MicroStates 2018 results due to a problem I made copying and editing the original spreadsheet. The May version of the 2018 results shown are not related to the MicroStates Strategy. The proper May 2018 annaul gain value was 1.7% instead of 10.8%. I have attached an updated spreadsheet with this error corrected. - The 2nd error is that the June export is missing the 1st trade causing a lower Jan 2000 net value and compounding lower values over the 18 year period. $167,915,177 is the starting value for Jan 2018. I reported the export difference to Nirvana today. The missing 1st trade does impact June results in a relative $ sense but the % change is generally the same except for Jan 2000. Thanks for raising the question as peer review does help us find & fix these issues. *** Sorry getting an error uploading the updated file. I'll try again tomorrow. Thanks, Randy [Edited by Randy on 7/3/2018 12:32 AM] | ||
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Randy![]() Regular ![]() ![]() Posts: 50 Joined: 12/6/2003 ![]() |
Updated Excel with July 2018 performance. I removed previous Excel's to see if this would fix the download errors. I suspect the total number of attachment have become to large for the post. Note 2018 version 2S released corrections to an export issues in portfolio simulation. This did affect the overall results compared with previous months. *** note this file still does not download properly. I'll place into a new post Thanks, Randy [Edited by Randy on 8/12/2018 11:58 PM] |
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