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ATM
New Macro + Micro Method
100 replies, 15519 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, 15519 viewings |
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mholstius Veteran   Posts: 175 Joined: 1/13/2017  User Profile |
I've given this new method to Nirvana to add to the library of ATM methods, so everyone will be able to download it and use it freely with ATM. You don’t need to worry about remembering all the details that I’ll share in this post, and you can replicate any of my results for yourself. This new method combines 3 Macro States with 3 Micro States, giving a total of 9 Market States. The earlier Micro States method uses various combinations of MACD, VTY_PRICE, and Bollinger Bands to define the market states. In the quest to make this new one robust, I wanted avoid duplication or repetition of those measurements. To accomplish that, I chose to use an SMA of Balance Of Power to define the Macro States referenced to SPY. The Bear Market state is defined as: SMA(BOP(200),20) <=0 The Bull Market state is defined as: SMA(BOP(20),20) >=0 The Default State is anything else. This produces a greater variety of Macro States than the Universal method provided by Nirvana, but still reflects the state of the market over longer periods of time than the Micro States. My template colors the Micro States in the chart area and the Macro States in the volume pane. Here are a few examples to illustrate the various market states… From 2003 - present; From 2017 - present; A choppy period from 2010; Since a Macro Bear Market happens decidedly less frequently, those are placed as the top 3 of the 9 Market States, and then paired with the Micro States. To illustrate, I’ll overlay a few combinations during the bear market of 2008; I’ve added a filter to limit the short entries to C>=$5 and the long entries to C>=$3. The ranking remains VTY_PRICE(10,5) descending for all states. With the added confidence that comes from including longer term market states, I was able to refine the choices of strategies, allocations, and Long / Short ratios. I haven’t yet taken advantage of any of the excellent optimizing capabilities of ATM. This grid shows the logic sequence of the states and all the various combinations and values for them; After considering the statistics I’ve collected over the years concerning RTM performance, it seemed logical to me to have a progression of % Equity allocations; Macro Bear: 10% of Equity Macro Bull: 15% of Equity Macro Default: 12.5% of Equity (in between Bear & Bull) I don’t doubt that we’ll find better settings, but I hope this will give anyone who wants to pursue further testing a good starting point. Before going on to show the results using this method, I want to thank Nirvana for allowing me to preview the next pre-release (2J) this past weekend. It contains a particularly useful new capability. It’s now extremely easy to calculate and compare the effects of using 1X, 2X with margin being used to take additional trades, and 2X with margin being used for leverage. It’s simply a matter of making your choice in the Account Settings; Should you want more information on the effects of this, I discussed the benefits of using margin as leverage in detail in a previous thread; https://www.omnitrader.com/currentclients/proforum/thread-view.asp?threadid=7570&posts=9 Here are some comparative results using this new Macro + Micro method, Micro method, and % Of Equity of all of the Strategies (without the benefit of ATM); From 2003 - present using 1X Long & Short; From 2003 - present using 2X with Margin used for additional trades Long & Short; From 2003 - present using 2X with Margin used as Leverage Long & Short; Any discussion concerning robustness and curve fitting can only truly be resolved as we get experience at the HRE. I continue to believe that both Trade ranking and the ability to limit trades to the top X number of trades in ATM constitute a paradigm shift. Those capabilities are something we’ve never been able to do before having ATM, and I'm sure we'll learn how to exploit them even further as we get more experience. I also rely on the fact that this is trading 300 symbols with a variety of RTMs over long periods with a good measure of consistency and stability. I’ve spoken to people who’ve been having success paper trading the Micro States, and who intend to go live with it this week. We’ll have more experience, and probably better settings by the Bash. The possibilities are limitless, and I hope this method will prove to be a good starting point for additional testing. I know I have some ideas… just not enough time. I look forward to the improvements others will undoubtedly find & hopefully share - and welcome any peer review of the process. Since everyone will be able to download this method and test things for yourself, I’ll stop here and let you confirm the benefit of ATM for yourself. I’d also like to repeat what I included when I posted the Micro State Method; So, this is just free for the asking…??? Yup. There’s no $100/mo subscription or anything - but I do have one small request… If you find that this new Macro + Micro States method adds value to your investment in ATM, either in saving you development time, the concepts and ideas it imparts, or the trading results you obtain… Please, donate whatever you feel that additional value is to the St. Jude Children’s Research Hospital; https://www.stjude.org/ They’re doing some amazing things for kids dealing with serious illnesses. Thank you! Mark [Edited by mholstius on 3/12/2018 6:45 PM]  Attached file : 00 States from 2003.png (54KB - 4759 downloads) Attached file : 01 2017.png (46KB - 4734 downloads) Attached file : 02 2010.png (40KB - 4692 downloads) Attached file : 03 pairings.png (51KB - 4726 downloads) Attached file : 04 Macro Micro Grid.png (38KB - 4908 downloads) Attached file : 05 Leverage Settings.png (31KB - 4781 downloads) Attached file : 09 St Jude.jpg (3KB - 5853 downloads) Attached file : 06 1X Results Minus VIX.png (293KB - 4638 downloads) Attached file : 07 2X Results Minus VIX.png (312KB - 4627 downloads) Attached file : 08 2X LeveragedMinus VIX.png (294KB - 4670 downloads) | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
I'd overlooked the fact that these were trading $VIX and that needs to be removed. I'll expect about a 30% drop in (all?) the ending equities (????), but won't have time to run it and edit the charts for a while. Sorry - not good when you've got yourself as an editor. ;-) Mark [Edited by mholstius on 3/12/2018 6:59 PM] | ||
| Buffalo Bill Legend  Posts: 539 Joined: 10/3/2006 Location: Stafford, VA User Profile |
Has Nirvana given you any clue when they think AT will be in OV? THANKS AGAIN! | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
All 3 of those charts now reflect accurate results that don't include trading $VIX. I'm sorry for the mistake, but glad that the peer review process caught it. The method that Nirvana will make available has been corrected too. Mark [Edited by mholstius on 3/12/2018 6:57 PM] | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
I only know that Ed mentioned in one of his webinars that he thought it would in the neighborhood of a month or so before ATM was added to OV...??? But, as you can see from my post above - I could be wrong. ;-) Mark | ||
| jpb Veteran Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI User Profile |
[Edited by jpb on 3/13/2018 12:05 PM] Attached file : Screenshot_20180313_120341.png (3KB - 4326 downloads) | ||
| EYEGUY Icon  Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
From Mark's commentary above: "Before going on to show the results using this method, I want to thank Nirvana for allowing me to preview the next pre-release (2J) this past weekend. It contains a particularly useful new capability." It will be out soon. Tom Helget | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
I understand that PR2J should be released sometime soon. Then you'll be able to duplicate my results - and hopefully make improvements (and share them?). Mark | ||
| jpb Veteran Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI User Profile |
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| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
https://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=15683&posts=1 Mark | ||
| TonyJ Regular Posts: 59 Joined: 12/11/2003 Location: Marietta, GA User Profile |
Subject : OT2018 Pre Release 2J is posted Barry Cohen has just posted a new message in your thread. (3/13/2018 12:17 PM) To view go to this thread, follow the link below: https://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=15683&posts=1 | ||
| Ed Downs Member Posts: 11 Joined: 2/12/2013 User Profile |
https://www.nirvanasystems.com/macro-micro-method/ I hope other users pick up where you left off. There are SO MANY things we can do with this. In the blog I mention some coming enhancements. Who knows where this can go? I think it's so great that you are asking people to donate to the Children's Hospital. What a truly great cause. Thank you again. You are AMAZING. | ||
| AlanD Member Posts: 35 Joined: 12/1/2006 Location: Waipio, Hawaii User Profile |
This is all great work! Maybe I'm overlooking it but what is the list of stocks you are using? Thanks, Alan | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
It's the top 300 of the Optionable Stocks List by money flow; If you want, you can download the csv file I've attached to this reply. If you do import the csv list, be sure to disable all Strategies for $VIX; Right click on $VIX in the symbols list in OT / Enabled Strategies / and check None The list is included in the profile Nirvana made available for download here; https://www.nirvanasystems.com/macro-micro-method/ Mark Attached file : 300 High Money Flow Stocks.csv (1KB - 389 downloads) | ||
| John J Veteran Posts: 272 Joined: 8/3/2010 Location: Leduc, AB User Profile |
Awesome work! You should be named 'Researcher extraordinaire' =) Would you mind disclosing the list of Strats used here? I don't have RTM7 (yet) so my performance is somewhat inferior to yours.. Incredible final equity nevertheless, but I'm not sure if I (or anyone else but Jeff Bezos =)) would be able to stomach the leverage (and dollar draw-down) on the right edge a few years in.... | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
Owners of ATM who need strategies that they don't own yet can get "special pricing" from Nirvana if you give them a call. Here’s the grid that shows all the specific settings and strategies used in each of the 9 market states; I’m sure we’ll find ways to make the results even smoother with ATM - but drawdowns are just a part of the game, and magnified with leverage. I’m suspicious of systems that don’t take a hit when “surprise” DDs have occurred in the past (ex: the credit downgrade in 2008). That’s an indication that things have been curve fit to an unacceptable level just to avoid a particular event. I’m trying to develop systems that are stable - ones that have the DDs when the market does something unusual, but recover from those events in a reliable manner, consistent with their historical performance. Using this method as an example… The snag below highlights the area I was concentrating on in my development work. While not an official Back test / Forward test, I feel the performance in the areas before and after the boxed area lends support to the robustness of the method. This snag of 2017 to the present was a period that definitely wasn't a consideration. It’s barely visible in the 15 year chart, and I didn’t optimize or use any hard data that would’ve been biased by using that time period. Notice the recoveries after the perfectly normal drawdowns that occurred - I’m quite pleased with the performance in an area not used for development. Also notice the flat period that can be easily overlooked in the 15 year log chart. I’m looking for long term, consistent performance. The short term might be “interesting”, but that’s just part of the game, and should be expected. The ability of ATM to rank trades, limit trades, and change strategies is a whole new ballgame that’ll require some modifications to the concepts and rules we’ve utilized in the past. Once again, ATM is definitely a game changer. Mark [Edited by mholstius on 3/14/2018 11:54 AM] Attached file : 00 15 year snag.png (236KB - 4151 downloads) Attached file : 01 2017 snag.png (218KB - 4138 downloads) | ||
| EYEGUY Icon Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
I am trying to understand why the symbol $VIX is required at all in the Focus List and why you stated above: "If you do import the csv list, be sure to disable all Strategies for $VIX; Right click on $VIX in the symbols list in OT / Enabled Strategies / and check None". The only enabled strategy that I can see that might possibly employ $VIX is maybe NSP-41 where it might be hidden somewhere in the inaccessible NSP-41 Vote block. Is that correct? The reason I ask is because I was wondering how the New Macro + Micro Method might do with a Dynamic Scan List. Thanks, Tom Helget | ||
| Barry Cohen Sage  Posts: 6334 Joined: 1/19/2004 User Profile |
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| EYEGUY Icon Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
That is good news as it would facilitate employing Dynamic OmniScans to better see how the New Macro + Micro Method might perform in a more "real world" setting. Thanks for the clarification! Tom Helget | ||
| AlanD Member Posts: 35 Joined: 12/1/2006 Location: Waipio, Hawaii User Profile |
Alan | ||
| SteveL Veteran Posts: 262 Joined: 8/19/2005 Location: Boulder, CO User Profile |
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| EYEGUY Icon Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
So, are Dynamic OmniScans enabled in Pre-Release 2J? It has been a while since I employed them and I can't seem to comply with the Help instruction: 4. Select the OmniScan list to be run as dynamic at the top of the focus list. Keep in mind that the dynamic scan as well as your ToDo List analysis will be run on the total number of symbols in the Starting Population in your scan. Thanks, Tom Helget | ||
| Barry Cohen Sage Posts: 6334 Joined: 1/19/2004 User Profile |
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| EYEGUY Icon Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK User Profile |
No, that explains it. I thought that Ed Downs had mentioned in one of the ATM webinars not that Dynamic Scans would work with ATM but that no one had yet tried them with ATM. Hence my desire to do so. Thanks again for the information! Tom Helget | ||
| Daniel Wilson Member Posts: 20 Joined: 1/17/2004 Location: Moses Lake, WA User Profile |
-Daniel Wilson |
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