OmniTrader Upgrade Forums
ATM
New Macro + Micro Method
100 replies, 16480 viewings
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OmniTrader Upgrade Forums
ATM
New Macro + Micro Method
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Last Activity 4/21/2021 9:48 AM 100 replies, 16480 viewings |
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Daniel Wilson Member Posts: 20 Joined: 1/17/2004 Location: Moses Lake, WA  User Profile |
I used the starting date of October 10, 1998 to March 10, 2018. The equity curve prior to 2003 is still amazing! I couldn't get a good screen shot copy ... so I took a photo of the screen. -Daniel Wilson  Attached file : M and M from Oct 1998 to Mar 2018 - $12 Billion! .png (304KB - 399 downloads) | ||
| mholstius Veteran   Posts: 175 Joined: 1/13/2017 User Profile |
Here's how to change it to Long Only; Mark [Edited by mholstius on 3/15/2018 6:43 AM] Attached file : long only.png (116KB - 1891 downloads) | ||
| Daniel Wilson Member Posts: 20 Joined: 1/17/2004 Location: Moses Lake, WA User Profile |
The Omnitrader screen capture tool doesn't work in Port Sim mode so I took another photo of the screen. Mark here's your original M&M method vs M&M long only. 2008 is the time period when the equity curves separate. My starting date was Jan 1 2002. Final Equity for original is $822,045,312 Final Equity for long only is $270,708,128 -Daniel Wilson [Edited by Daniel Wilson on 3/15/2018 8:51 AM] Attached file : M and M original vs long only.png (433KB - 358 downloads) | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
I'd suggest trying lower allocations in the Macro Bear state and see what happens. FWIW: with (hopefully) a lot of people sharing what they see with ATM, I'll put in a plug for the program "Snagit"; https://www.techsmith.com/screen-capture.html It's extremely useful for many things, and what I use for my postings. Mark | ||
| Calmger Member Posts: 18 Joined: 1/17/2004 Location: Canada User Profile |
I am seeking for some help. I downloaded .exe file from Ed's blog. When I installed, I noticed it does not have the strategy RTM7. Should it be expected? I do not have this strategy. I cannot reproduce Mark's results, and results from Ed's blog. Attached file : Capture.PNG (300KB - 319 downloads) | ||
| jpb Veteran Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI User Profile |
I think Mark mentioned that Nirvana will give you a "special price" if you call in to their sales staff. The great thing about ATM is you can use any of the strategies you already have -- even the ones that you may have coded using OmniLanguage. You may not get the same results as Mark, but I think you'll have a great shot at beating the market. Ed has consistently suggested "Try the strategies you do have first if you don't have one that folks in the forum call out." He's not opposed to selling you more strategies, but he believes in ATM and its ability to amplify the results of many different strategies -- not just the ones folks call out. | ||
| Calmger Member Posts: 18 Joined: 1/17/2004 Location: Canada User Profile |
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| Calmger Member Posts: 18 Joined: 1/17/2004 Location: Canada User Profile |
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| Barry Cohen Sage   Posts: 6338 Joined: 1/19/2004 User Profile |
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| Daniel Wilson Member Posts: 20 Joined: 1/17/2004 Location: Moses Lake, WA User Profile |
-Daniel Wilson Attached file : M&M with Russell 1000.PNG (231KB - 381 downloads) | ||
| Trailbrake Member Posts: 11 Joined: 2/5/2004 User Profile |
While I think the put hedging is one way to address this, I plan to dig in on trying to find systems that don't give up so easily when things go badly. At least start bailing the boat ;-) | ||
| bjmtigers Member Posts: 25 Joined: 1/6/2004 Location: Tampa,FL User Profile |
I've been experimenting with your ATM method quite a bit. As you suggested, for Longs only I simply set the default for shorts for each Market State to 0. I've kept your test period the same (1/1/2003 to 3/19/2018) so we can make direct comparisons to your results. Barry C's download of Mark's ATM Macro & Micro method included a replacement for the RTM7 strategy with RTM7a; this did improve the results a bit. The most dramatic difference in the results is reducing the leverage from 2x to 1x as necessary for an IRA account. As you can see in the table, the final equity is reduced significantly to about 1% of the value for 2x. The leverage versus equity curve steepens as it approaches 2x and is a straight line on a semi-log plot. Any idea why the reduction in equity is so drastic? Can any adjustments be made in an IRA account to counter act this effect? Barry M. [Edited by bjmtigers on 3/21/2018 6:02 PM] Attached file : Evaluation of ATM Macro & Micro.PNG (22KB - 1504 downloads) Attached file : Leverage vs %Ending Equity.PNG (12KB - 1576 downloads) | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
That's just the magic of compound interest combined with leverage in the 2X account. If I could figure out how to do that in an IRA, I'd own an island someplace... ;-) If we can get 30% with an Avg Ann MDD <10% in an IRA, I'll be a happy camper. I do like your synopsis of the statistics - thanks for posting it, Mark | ||
| GMW New User Posts: 1 Joined: 3/27/2018 User Profile |
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| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
I just posted about that yesterday; https://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=15700&posts=1 Hope that helps - always working on improving things, too. Today was another down day in the markets. FTM closed 19 trades this morning; 14 for an avg +3.00% gain / trade 5 for an average -2.25% loss / trade. Unfortunately, the 42 FTM long positions currently open as of this evening are all MTM down. Sigh, Mark | ||
| AlanD Member Posts: 35 Joined: 12/1/2006 Location: Waipio, Hawaii User Profile |
Any thoughts? Thanks, Alan | ||
| Buffalo Bill Legend  Posts: 539 Joined: 10/3/2006 Location: Stafford, VA User Profile |
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| EYEGUY Icon Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
This may not be exactly what you want, but it can be modified. Remember that perfect correlation would be a value of 1. Hope that helps! Tom Helget [Edited by EYEGUY on 3/28/2018 4:35 PM] Attached file : High Correlation to SPY.PNG (51KB - 1289 downloads) Attached file : _High_32_Correlation_32_to_32_SPY.otl (1KB - 266 downloads) | ||
| Buffalo Bill Legend Posts: 539 Joined: 10/3/2006 Location: Stafford, VA User Profile |
Here are my results FWIW Same list, no changes to anything except strategy selection and time - BT 2005, FT 1/1/2006+ Ave Ann ROI/Ave Ann MDD goes from 4 to 8 $90M t0 $3B (Hahahaha) MDD down, PF up, CALMAR doubled There is a larger, easier to read PS image attached (not V2 one) [Edited by Buffalo Bill on 3/28/2018 11:55 PM] Attached file : BUFF ATM STRATS.png (100KB - 1334 downloads) Attached file : BUFF ATM PS V2.jpg (152KB - 1316 downloads) Attached file : BUFF ATM PS.jpg (447KB - 390 downloads) | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
From my first post in this thread… “I look forward to the improvements others will undoubtedly find & hopefully share” Once again, this took a lot of time on your part and is much appreciated. Can you clarify a couple of things in your method? Did you only use the blue shaded strategies (you didn’t also keep the original X strategies if they’re not shaded blue)? Would you be willing to share the makeup of these strategies that you use (no problem if you don’t want to); ATM A5 Stk RTM ATM NSP-35 NN ATM VBX-3 MVX NN NSP-41(MVX) RTM7(MVX) VBX-3(MVX) Thanks for sharing your work - it will certainly move things forward. Because of Ed - and everyone doing so much hard work at Nirvana - we’ve got a great combination; The new capabilities of ATM, plus research + input by so many talented traders. Looks like it’ll be an interesting Bash, and a profitable year! Mark | ||
| Buffalo Bill Legend Posts: 539 Joined: 10/3/2006 Location: Stafford, VA User Profile |
Here is the RTM7(MVX) strat. I will find a good download site and post a link, but it will be a few days - going back to china today Attached file : RTM7(MVX).ots (592KB - 332 downloads) Attached file : NSP-41(MVX).ots (364KB - 313 downloads) | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
Haven't tried this before, but I have Dropbox Pro and it says you can upload files to me by using this link; https://www.dropbox.com/request/exzMPfeXMCFVgruj8Ysz Once there, it would be up to you if you'd want me to then make them public via a Dropbox link. Hope you have a good trip, Mark | ||
| Buffalo Bill Legend Posts: 539 Joined: 10/3/2006 Location: Stafford, VA User Profile |
Done! Check them out when you can, maybe even see if you can replicate or get close to what I got and we'll go from there as far as going public. Gotta go | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
Safe travels. |
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