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OmniTrader 2015 Technical Support
Portfolio Simulation versus AutoSim
Last Activity 12/22/2017 11:03 PM
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EYEGUY

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Subject : Portfolio Simulation versus AutoSim
Posted : 11/2/2015 10:34 PM
Post #35769

Support:

Recently I ran for the same time period (1/1/14 to 11/2/15) a Portfolio Simulation on OT and an AutoSim on VT using exactly the same symbol set.

Both simulations were no frills using exactly the same Strategy and Trade Plan and employed 10% of Equity (or 10% BP on VT). Total Initial Equity in both OT and VT was $100,000 with 2X Leverage in OT and 50% Margin in VT. Trades taken on OT were alphabetical by symbol and on VT by Forming signals taken in the Opportunity List sort order.








Now I never expected the two to produce the same Equity Curve but I thought they might be close. However they were widely divergent.

Checking the first few trades showed the problem. While the symbols chosen to trade were almost identical, the number of shares purchased were not:





So, even though the methodolgies employed in the two simulations would seem to be the same they are not. It would appear that the VT simulation takes double the shares the OT simulation does. How can I get them to be equal?

Thanks,

Tom Helget

[Edited by EYEGUY on 11/2/2015 10:54 PM]

Attached file : Trade Sizes Different.PNG (333KB - 239 downloads)
Attached file : Port Sim Settings.PNG (15KB - 252 downloads)
Attached file : AutoSim Settings.PNG (32KB - 227 downloads)

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Barry Cohen

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Subject : RE: Portfolio Simulation versus AutoSim
Posted : 11/3/2015 9:31 AM
Post #35770 - In reply to #35769

There's a known issue with the Throttle regarding margin. Disable margin in Port Sim for closer results, ie change the Leverage from 2 to 1.
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EYEGUY

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Subject : RE: Portfolio Simulation versus AutoSim
Posted : 11/3/2015 12:02 PM
Post #35771 - In reply to #35770

Barry:

Thanks, but that really didn't help.

So, are you saying that it is the Trade Throttle Margin in VT that is currently giving erroneous results but that the Portfolio Simulation in OT has no problems whatsoever?

Thanks,

Tom Helget
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Eric Severance

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Subject : RE: Portfolio Simulation versus AutoSim
Posted : 11/3/2015 1:24 PM
Post #35772 - In reply to #35769

Barry, What's the "known issue" with the VT's Throttle regarding margin? This is very critical in a credibility sense...

Thanks,
Eric Severance
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Barry Cohen

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Subject : RE: Portfolio Simulation versus AutoSim
Posted : 11/3/2015 5:15 PM
Post #35774 - In reply to #35771

Resolved with a new brokerage.otd file.
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EYEGUY

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Subject : RE: Portfolio Simulation versus AutoSim
Posted : 11/3/2015 9:25 PM
Post #35775 - In reply to #35774

Barry:

I am not so sure we are completely resolved as regards this.

Using the same OT and VT settings I described at the start of this thread I ran a Portfolio Simulation on OT and an AutoSIM on VT.

While it is true that as the AutoSIM in VT runs one can see that now 100% Buying Power is being utilized with the new brokerage.otd file, the results are the same - VT's trades are double in size that of OT as shown below:




This makes for a huge difference in the final resulting statistics and Equity Curve on VT versus OT;

VT AutoSIM:



OT Portfolio Simulation:



Tom Helget

[Edited by EYEGUY on 11/3/2015 9:30 PM]

Attached file : VT Takes Double the Shares that OT Does.PNG (396KB - 184 downloads)
Attached file : AutoSIM Equity Curve.PNG (52KB - 187 downloads)
Attached file : OT Equity Curve.PNG (105KB - 180 downloads)

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Barry Cohen

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Subject : RE: Portfolio Simulation versus AutoSim
Posted : 11/4/2015 10:43 AM
Post #35779 - In reply to #35769

In OT Port Sim, your allocation is calculated by the method. Leverage only changes the amount of invested funds you can have at any point in time. In VT, the Throttle will allocate 10% (editable) of Buying Power per trade, while in OT Port Sim % of Equity method, it will allocate 10% (editable) of Equity per trade.

So to match VT's Throttle in the above scenario, what you want to do is change the value in the % of Equity method from 10% to 20%.

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EYEGUY

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Subject : RE: Portfolio Simulation versus AutoSim
Posted : 11/4/2015 11:15 AM
Post #35780 - In reply to #35779

Barry:

That just makes things more divergent in the OT Portfolio Simulation:




Tom Helget

[Edited by EYEGUY on 11/4/2015 11:16 AM]

Attached file : Percentage of Equity is 20 Percent.PNG (103KB - 188 downloads)

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EYEGUY

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Subject : RE: Portfolio Simulation versus AutoSim
Posted : 11/4/2015 11:30 AM
Post #35781 - In reply to #35780

Barry:

1X Leverage and 20% Percentage of Equity is the only combination of parameters in the Portfolio Simulation that I could find easily that produces roughly the same number of shares traded and almost the same end result in the Equity Curve (by the way I know it will be a bit different because of the way the trades are selected):



Tom Helget


[Edited by EYEGUY on 11/4/2015 11:31 AM]

Attached file : Leverage 1X and Percentage of Equity 20 Works.PNG (141KB - 159 downloads)

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EYEGUY

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Subject : RE: Portfolio Simulation versus AutoSim
Posted : 11/4/2015 2:28 PM
Post #35783 - In reply to #35780

Barry:

OK, I know we are using a custom strategy and Trade Plan and it looks like that might be a source of confusion.

So I opened up the Dow 30 Map that comes with VT. I changed the strategy to IT Steady Trend since it has a Trade Plan and VT Breakout doesn't.

To keep things simple I ran an AutoSim from the first of this year.

I then created a Dow 30 OT Profile and did the same thing in changing the strategy to IT Steady Trend. I then ran a Portfolio Simulation using 10% of Equity and 2X Leverage on the same initial Account Balance of $100,000.

So, what were the results? Well once again VT trades double the shares of OT and since there were only a few trades this can nicely be appreciated:




Tom Helget

[Edited by EYEGUY on 11/4/2015 2:39 PM]

Attached file : Trade Size is Double in VT what it is in OT.PNG (213KB - 149 downloads)

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Barry Cohen

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Subject : RE: Portfolio Simulation versus AutoSim
Posted : 11/4/2015 4:03 PM
Post #35784 - In reply to #35783

Again, in VT, the Throttle allocates on Buying Power, while in OT Port Sim allocates on Equity. That is why you are seeing that share size difference.
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EYEGUY

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Subject : RE: Portfolio Simulation versus AutoSim
Posted : 11/4/2015 4:52 PM
Post #35785 - In reply to #35784

Barry:

Thanks, I think it finally sunk in now:



And, thanks for your patience guiding me through it!

Tom Helget

[Edited by EYEGUY on 11/4/2015 4:54 PM]

Attached file : Got It.PNG (274KB - 141 downloads)

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