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ATM
Macro+Micro Method PLUS MOC entry/exit and REUSE
16 replies, 3380 viewings
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OmniTrader Upgrade Forums
ATM
Macro+Micro Method PLUS MOC entry/exit and REUSE
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Last Activity 4/21/2021 9:48 AM 16 replies, 3380 viewings |
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SteveL Veteran   Posts: 262 Joined: 8/19/2005 Location: Boulder, CO  User Profile |
Mark Holstius describes in detail his ATM method which produces an outstanding equity curve. The profile and ATM method are downloadable from Ed's blog: https://www.nirvanasystems.com/macro-micro-method/ In this post, I want to show the consequences of two changes which I expect will improve most RTM strategy results. Over the past couple years, Jeff Drake has commented in a couple of his webinars that Market-On-Close (MOC) trades can improve RTM results. The first snapshot shows a comparison of Mark's original "ATM Macro & Micro" method, with the same strategies (CRT-3, NSP-41, RTM7a, T3-S3, XLS-19 V2, X-MFI and X-ULT) modified to use MOC (instead of the default Market-On-Open or MOO) entry and exits. The second snapshot shows how Mark's ATM method performs with both MOO and MOC strategies, but with the PortSimSettings->TradingParameters->"Reuse intraday money to enter new positions" selected. In PortSim with this setting selected, MOC exits free up funds for MOC entries. In real trading, I approximate this by using MKT exits with MOC entries, and have AutoTrade (AT) start the analysis early enough for the analysis to complete before IB's MOC order cutoff at approximately 15 minutes before market close. The downside of this approach is that the analysis is based on data which is 45 minutes to an hour prior to market close, so it won't exactly match the post-market close simulation, and frequently signals will disappear. NOTE: During ToDo analysis, MKT exits are executed before AT calculates the MOC entries based on Forming signals. NOTE: Higher resolution snapshots are attached. NOTE: Commissions are not included. I think that is the way Mark's original post was also created. So, commissions need to be included for more realistic results. [Edited by SteveL on 3/23/2018 4:31 PM]  Attached file : 2018-03-23_11-40-07 ATM Micro & Macro MOO vs MOC Comparison.png (111KB - 335 downloads) Attached file : 2018-03-23_11-40-07 ATM Micro & Macro MOO vs MOC Comparison (800 pixels wide).png (220KB - 1160 downloads) Attached file : 2018-03-23_11-40-07 ATM Micro & Macro MOO vs MOC Comparison with Reuse.png (113KB - 323 downloads) Attached file : 2018-03-23_11-40-07 ATM Micro & Macro MOO vs MOC Comparison with Reuse (800 pixels wide).png (224KB - 1169 downloads) | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
And - the % profitable went up to 71.2% too... ;-) Could you do me a favor, and in the Simulation Settings / Account settings / Leverage try using 1.5 instead of 2X to see how that affects the statistics and post a snag of it? They'll obviously be lower, but some ratios might improve - and I'm curious about testing that to see how manipulating the leverage changes things. Thanks for sharing - looks like you've got something here. Mark | ||
| SteveL Veteran Posts: 262 Joined: 8/19/2005 Location: Boulder, CO User Profile |
[Edited by SteveL on 3/23/2018 4:48 PM] Attached file : 2018-03-23_11-40-07 ATM Micro & Macro MOO vs MOC Comparison with Reuse 1.5X.png (111KB - 339 downloads) Attached file : 2018-03-23_11-40-07 ATM Micro & Macro MOO vs MOC Comparison with Reuse 1.5X (800 pixes wide).png (219KB - 1129 downloads) | ||
| SteveL Veteran Posts: 262 Joined: 8/19/2005 Location: Boulder, CO User Profile |
[Edited by SteveL on 3/23/2018 4:53 PM] Attached file : 2018-03-23_11-40-07 ATM Micro & Macro MOO vs MOC Comparison with Reuse and Commissions.png (113KB - 341 downloads) Attached file : 2018-03-23_11-40-07 ATM Micro & Macro MOO vs MOC Comparison with Reuse and Commissions (800 pixels wide).png (223KB - 1125 downloads) | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
Here's what I was looking for, and thinking about; Your 2X: Avg Ann ROI / Avg Ann MDD = 172.8%/19.1% = 9.05 Your 1.5X: Avg Ann ROI / Avg Ann MDD = 113.4%/14.5% = 7.82 My M+M 2X: Avg Ann ROI / Avg Ann MDD = 84.5%/17.3% = 4.88 Your 1.5 already has a lower Avg Ann MDD than mine at 2X Maybe you could play with it and see how low you need to go on the Leverage to get to my orig Avg Ann ROI of 84.5% and we'll see what your Avg Ann MDD is when you get there? Could be interesting...??? Mark | ||
| SteveL Veteran Posts: 262 Joined: 8/19/2005 Location: Boulder, CO User Profile |
NOTE: Commissions not included in this simulation. [Edited by SteveL on 3/23/2018 5:27 PM] Attached file : 2018-03-23_16-20-40 ATM Micro & Macro MOO vs MOC Comparison with Reuse 1.22X.png (109KB - 323 downloads) Attached file : 2018-03-23_16-20-40 ATM Micro & Macro MOO vs MOC Comparison with Reuse 1.22X (800 pixels wide).png (215KB - 1110 downloads) | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
So; Your 1.22X: Avg Ann ROI / Avg Ann MDD = 84.4%/12.0% = 7.03 My M+M 2X: Avg Ann ROI / Avg Ann MDD = 84.5%/17.3% = 4.88 That's a considerable improvement. You're demonstrating what I said "back when"; There are a lot of smart traders here, and by working together we can advance this much faster. Thanks for sharing, Mark | ||
| bjmtigers Member Posts: 25 Joined: 1/6/2004 Location: Tampa,FL User Profile |
I assume you are changing the exit condition to MOC in the trade plan for each strategy. Is the entry also changed to MOC? Thanks Barry | ||
| SteveL Veteran Posts: 262 Joined: 8/19/2005 Location: Boulder, CO User Profile |
Yes, both entry and exit are MOC. Steve | ||
| bjmtigers Member Posts: 25 Joined: 1/6/2004 Location: Tampa,FL User Profile |
Some of the order types are "Market". Are you leaving them as is or also changing them to MOC. Thanks Barry | ||
| SteveL Veteran Posts: 262 Joined: 8/19/2005 Location: Boulder, CO User Profile |
For purposes of the simulation in PortSim, I changed all entries and exits to MOC. But in real trading, I use MKT exits to free up funds for MOC entries (i.e., reuse intraday money to enter new positions). The exit orders are issued during ToDo analysis as each symbol is analyzed, and then new MOC entry orders are submitted by AutoTrade (AT) after ATM does it's analysis of the new signals. | ||
| Buffalo Bill Legend  Posts: 539 Joined: 10/3/2006 Location: Stafford, VA User Profile |
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| Buffalo Bill Legend Posts: 539 Joined: 10/3/2006 Location: Stafford, VA User Profile |
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| SteveL Veteran Posts: 262 Joined: 8/19/2005 Location: Boulder, CO User Profile |
The Portfolio Analysis was done with EOD data. In real trading using EOD data, you need to enter orders before the end of the day. With EOD data, that means you need to run the analysis prior to the market close with "intra-day" data. If you start analysis 30 minutes prior to market close, then that intra-day data will be 20 minutes old at that point in time (i.e. time-stamped 50 minutes prior to market close). re: your comment about X-Suite strats I don't know whether this responds to your comment or not. In my first post in this thread I stated: "The first snapshot shows a comparison of Mark's original "ATM Macro & Micro" method, with the same strategies (CRT-3, NSP-41, RTM7a, T3-S3, XLS-19 V2, X-MFI and X-ULT) modified to use MOC (instead of the default Market-On-Open or MOO) entry and exits." In that comment, I list the seven strategies that Mark H. used in his Macro+Micro method. I modified ALL SEVEN of these strategies to use MOC entry orders and MOC exit orders in all legs of the strategies for the purpose of doing the Portfolio Simulation shown in the snapshots in that first post of this thread. Maybe you are commenting/asking the process I went through to make these changes(?). I duplicated each strategy and made the MOC modifications in each of the copied strategies. I created a duplicate of Mark's Macro+Micro method, and in that copy of his ATM method, I selected the new strategies modified with MOC entry/exits to replace Mark's original strategy choices (one for one replacement). All 14 strategies (the 7 default strategies, plus the 7 modified strategies) are then run thru analysis and portsim with both ATM methods selected to get the comparison shown in the snapshot. | ||
| Buffalo Bill Legend Posts: 539 Joined: 10/3/2006 Location: Stafford, VA User Profile |
Two things - I THINK if we use RT data then the symbol prices are not "old" - I think we can use RT data AND select daily bars and have OT continually re-run it's analysis to generate exits, and for re-use of $ new entries. We can even have OT load, say, 30min bars (unused) but that will force OT to re-run an analysis every 30 min for example. I *think* this is the way we'd want to go with your MOC idea - RT data, but I'm not sure the best way. Just spitballing on the way to set up OT, EOD vs RT, so it actually generates the orders that give us your most excellent results. You answered the question - if you modified all of the 7 strats for MOC, entries and exits, then by def you changed the stock X suite exits from MKT to MOC. Here's to hoping your MOC discovery works as hoped! Thank you for that! [Edited by Buffalo Bill on 3/27/2018 5:07 PM] | ||
| CJL Member Posts: 7 Joined: 9/2/2005 User Profile |
I noticed you posted in another thread about using MOC orders and running OT earlier to get those orders in on time. You also mentioned disappearing signals which is understandable. Just wondering if you are trading the method described in this post and how close are your simulated results to your actual trading results? Are the additional trades making a difference negatively or positively? Are there that many disappearing signals? ATM is still new enough that we are all just trying to get a feel for it and really see how close actual trading can be to the simulator. Thanks in advance for any input. Joe | ||
| SteveL Veteran Posts: 262 Joined: 8/19/2005 Location: Boulder, CO User Profile |
I made a significant change 5/23/2018. Since that date, here is a comparison of completed trades: ... 25 portsim trades ... 22 actual trades ... 19 trades in common in actual and simulation The 19 common trades (same trade dates in actual and portsim) track very closely w.r.t. entry/exit prices. Sometimes actual trade is a little more, sometimes a little less. The leverage problem I mentioned in a prior post is responsible for missing 3 of the trades that were taken in PortSim, and for undersizing trades. There were 2 trades where the signal disappeared, and a couple others where the trade was delayed by 1 day in PortSim. The leverage problem accounts for the bulk of the difference in results between actual trading and portsim. NOTE: It's possible that there is an operator error - I am simulating with MOC entries and exits, and actual trading is with MOC entries and MKT exits. BTW, I'm switching to MKT orders for both entries and exits. I'm looking forward to the PR that Angela indicated (in another forum thread) was coming soon, and hoping it fixes the leverage problem. |
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