OmniTrader Upgrade Forums
ATM
Concurrent Macro & Micro States
15 replies, 2772 viewings
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OmniTrader Upgrade Forums
ATM
Concurrent Macro & Micro States
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Last Activity 4/21/2021 9:48 AM 15 replies, 2772 viewings |
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mholstius Veteran   Posts: 175 Joined: 1/13/2017  User Profile |
I forgot that I hadn't posted the document I showed at the Bash yet, so it's attached to this. Sorry I didn't have it up before it was released. The attached word doc has the necessary modifications to the market states color coded for understanding, but they can just be copied and pasted into the appropriate Market State definitions in ATM. I was just headed out the door & remembered this... You will definitely have to make the corrections in order to have the concurrent states for Macro & Micro work correctly. Good luck experimenting - concurrent states adds a lot of new capabilities. Mark [Edited by mholstius on 6/11/2018 4:53 PM]  Attached file : Macro and Micro market state formulas colored.docx (15KB - 465 downloads) | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
I got the following error messages, but when I clicked OK and Yes, the file opened OK for me. So... if you trust me, that should work until I get something else up... Mark [Edited by mholstius on 6/10/2018 2:07 PM] Attached file : Errors on doc.png (52KB - 1534 downloads) | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
Mark P.S. That seems to work for me...??? [Edited by mholstius on 6/10/2018 2:12 PM] Attached file : Macro and Micro market state formulas corrected.rtf (49KB - 348 downloads) | ||
| jpb Veteran Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI User Profile |
Much appreciated. I managed to open the original docx file using LibreOffice without issue. Thanks, Jeff | ||
| DesertDude Veteran Posts: 108 Joined: 12/15/2003 Location: Texas User Profile |
Darrell | ||
| FG Member Posts: 39 Joined: 1/8/2004 Location: Atlanta, Ga User Profile |
Thank you so much for your efforts and more than generous willingness to share. Fred Gordon | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
Since the updated Default definitions will work correctly in either the new Concurrent version of ATM or the original (non-concurrent) version of ATM, I’d suggest making the modifications in all versions of Macro & Micro and then saving them as a Method (not just a Custom Method). That said, I also ALWAYS suggest that whenever you make modifications that you save them as a copy with a new name (by clicking on "Save As...") so as not to overwrite the original should you make a mistake… I hope this snag will help explain some of the details; Hope you have a nice weekend - and thanks for the kind words, Mark [Edited by mholstius on 6/15/2018 6:47 PM] Attached file : 01 Default Entry.png (307KB - 1244 downloads) | ||
| FG Member Posts: 39 Joined: 1/8/2004 Location: Atlanta, Ga User Profile |
Second, Thank you for your most helpful guidance. Fred Gordon | ||
| Jim Dean Sage   Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
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| Buffalo Bill Legend  Posts: 539 Joined: 10/3/2006 Location: Stafford, VA User Profile |
I don't know if you noticed but with the new concurrent MS to use ATM concurrently, IOW having market states look at more than just SPY, you have to check the box (bottom lower left on 1st tab - Market state) next to "enable CMS" in ***each*** market state you want CMS active. Without that box checked ATM acts just like it did - no concurrency - like before. this can be a MS by MS decision - IOW concurrent in Bear-bear but not default-default for example | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
LD was kind enough to point out that the "Default and Bear" State I posted was missing a line, and only checking for the "Not Macro Bear" vs "Not Macro Default" (the combination of not Macro Bear or Bull) in the first few lines. Many thanks to LD... I've attached a corrected version of the Macro & Micro States to this post. If you've used it, you need to replace the "Default and Bear" Market State in my original with this updated version. Sorry. But once again, peer review saves the day... Mark [Edited by mholstius on 6/28/2018 5:12 AM] Attached file : Macro and Micro market state formulas corrected.rtf (49KB - 466 downloads) | ||
| LSJ Legend Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL User Profile |
I am still reeling this A.M. of how is it possible to get such results in an unleveraged account including commissions. This is an ongoing experiment but I have used seasonality and advance/decline line stats in defining some of the mkt states and filters along with CMS and symbol lists. I am still a little shaky on how to best use it. I also use shorter time periods as it seems more realistic in my case (an old fart.) This also includes shorts so to be more realistic for an unleveraged acct I will try it with long only. In the meantime I am still amazed. [Edited by LSJ on 6/28/2018 6:39 AM] Attached file : CMS.jpg (518KB - 494 downloads) | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
Especially for no margin, with commissions, and starting with $40,000. It'll be interesting to see your long only results. Mark | ||
| LSJ Legend Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL User Profile |
Attached file : Long Only.jpg (232KB - 442 downloads) | ||
| DesertDude Veteran Posts: 108 Joined: 12/15/2003 Location: Texas User Profile |
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| LSJ Legend Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL User Profile |
Going through all of my Port Sims I see the same thing, a negative average profit %. Another thing I wondered about was the negative Sharpe Ratio in all cases. Knowing that the Sharpe Ratio is based on the portfolio return minus the risk-free rate of return divided by the standard deviation may be a clue to these negative results. OT, by definition, calls it a modified sharpe ratio which doesn't use the risk-free ROR so I don't know how that is getting a negative value. In both cases it looks like the SD would have to be a negative value to get negative results. Looks like N may have to weigh in on this. [Edited by LSJ on 6/30/2018 6:28 AM] |
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