OmniTrader Forum OmniTrader Forum
forums calendars search
today this week
 
register logon control panel Forum Rules
You are currently browsing as a guest.
You should logon to access more features
A Self-Moderated Community - ALL MEMBERS, PLEASE READ!
Vote for Members who contribute the most to your trading, and help us moderate content within the Forums.


  Current location        Thread information  
OmniTrader 2017 Upgrade Forums
ATM
ATM Symbol List
Last Activity 9/8/2019 11:15 AM
11 replies, 602 viewings

Jump to page : 1
Now viewing page 1 [25 messages per page]
 
back reply
Printer friendly version

^ Top
LSJ

Legend
100100100100
Posts: 417

Joined: 8/17/2006
Location: Citrus Springs, FL

User Profile
 
Subject : ATM Symbol List
Posted : 10/3/2018 7:33 PM
Post #45529

The ATM "Use these symbols" list is a static list. If the list is derived from an OS list with criteria and the number of stocks vary from time to time, does this cause a problem with the ATM method?
Or, is it necessary to keep the list static?



^ Top
Jim Dean

Idol
2000500100100100100
Posts: 2922

Joined: 9/21/2006
Location: L'ville, GA

User Profile
 
Subject : RE: ATM Symbol List
Posted : 10/3/2018 7:55 PM
Post #45530 - In reply to #45529

The list is static - you can manually change it as time moves forward.

Dynamic Lists don’t work.
^ Top
LSJ

Legend
100100100100
Posts: 417

Joined: 8/17/2006
Location: Citrus Springs, FL

User Profile
 
Subject : RE: ATM Symbol List
Posted : 10/3/2018 8:26 PM
Post #45531 - In reply to #45530

Thanks, Jim. what I was thinking though is what happens if I copy symbols from an OS list and paste into the ATM symbol list. Then say the OS criteria causes the list to change. Does the analysis crash when run or do the new stocks or missing stocks just get skipped. I am just trying to stay ahead of a worst case scenario.

(I have been having a lot of crashes with my methods and I usually don't know why and spend hours if not days chasing that down. Trying to avoid repeats.)

I'm guessing you are going to recommend all lists be static. eh?

Yeh, as I think about it that's what I'll do.

[Edited by LSJ on 10/3/2018 8:33 PM]

^ Top
Jim Dean

Idol
2000500100100100100
Posts: 2922

Joined: 9/21/2006
Location: L'ville, GA

User Profile
 
Subject : RE: ATM Symbol List
Posted : 10/3/2018 8:55 PM
Post #45532 - In reply to #45531

Heh heh. You got it.
I’m really hoping that somehow, somewhen, the lists can be made dynamic.
^ Top
John W

Regular
2525
Posts: 56

Joined: 8/1/2011
Location: Sydney, NSW, Australia

User Profile
 
Subject : RE: ATM Symbol List
Posted : 10/4/2018 12:18 AM
Post #45533 - In reply to #45532

FWIW I have been able to create my own dynamic lists to run with ATM.
They run longer and give different results to the same list with the dynamic feature unchecked.
^ Top
Jim Dean

Idol
2000500100100100100
Posts: 2922

Joined: 9/21/2006
Location: L'ville, GA

User Profile
 
Subject : RE: ATM Symbol List
Posted : 10/4/2018 7:40 AM
Post #45534 - In reply to #45533

Velly intellestink.
I asked Barry & crew about this a long while back and was told that DL’s don’t work with ATM.
So I never bothered testing - it would be extremely difficult to verify.

Barry - could you please clarify. Has this changed?
^ Top
Barry Cohen

Sage
5000500100
Posts: 5603

Joined: 1/19/2004

User Profile
 
Subject : RE: ATM Symbol List
Posted : 10/4/2018 9:36 AM
Post #45538 - In reply to #45531

Jim, no it has not changed.

Larry, if you use an OmniScan list like that & the list changes, first the ATM list won't update, so you'll have symbols that won't be included in ATM unless you manually add them. You shouldn't get any crash or error though. The worst thing that happens if your Profile is set to an OmniScan list is when symbols are actually traded & they stop being included in the list, those positions won't ever update or exit. To get around that though you could use the All Analyzed Symbols list. Bill posted about this here:


https://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=15867&posts=5
^ Top
John W

Regular
2525
Posts: 56

Joined: 8/1/2011
Location: Sydney, NSW, Australia

User Profile
 
Subject : RE: ATM Symbol List
Posted : 10/4/2018 8:21 PM
Post #45540 - In reply to #45533

Within an ATM method there are 2 choices for handling symbols:

“Use portfolio Simulation Settings for Symbols” or,
“Use these Symbols”

If you choose the first alternative then a dynamic list can be run with the ATM method.
If you choose the second alternative then the symbols cannot be changed dynamically

As an example I sorted a list of the Russell 1000 to find the top 30 symbols using AVG(C,10)*AVG(V,10) as both a criteria and sort value.

In its static from this produces the 30 largest stocks that meet this rule today.
This produces 1430 trades using those static 30 symbols and final equity $3.879M




The same list in its dynamic form produces 1747 trades using 134 symbols and final equity $3.655M.





[Edited by John W on 10/4/2018 8:25 PM]

Attached file : CurrentTop30.png (70KB - 326 downloads)
Attached file : DynamicTop30.png (69KB - 320 downloads)

^ Top
Buffalo Bill

Legend
100100100
Posts: 305

Joined: 10/3/2006
Location: Stafford, VA

User Profile
 
Subject : RE: ATM Symbol List
Posted : 10/7/2018 11:10 AM
Post #45547 - In reply to #45529

I use a dynamic OS list with ATM and it works fine. It starts with all optionable us stocks then filters for C>10 and Ave Vol(10) > 500k and then ADX(8)>20. Then it's set to rank them by Ave (c*v,10) and take the top 500. It updates everyday when Todo runs I assume
^ Top
Jim Dean

Idol
2000500100100100100
Posts: 2922

Joined: 9/21/2006
Location: L'ville, GA

User Profile
 
Subject : RE: ATM Symbol List
Posted : 10/7/2018 11:15 AM
Post #45548 - In reply to #45547

Hi Buffalo

Barry has stated - and recently confirmed - that DL’s do not work properly (ie as you’d expect) for ATM. Apparently the results differ from similarly structured static Scans but the differences are not based on true daily reconfiguring of the List across the backtesting period.
^ Top
Buffalo Bill

Legend
100100100
Posts: 305

Joined: 10/3/2006
Location: Stafford, VA

User Profile
 
Subject : RE: ATM Symbol List
Posted : 10/8/2018 2:47 PM
Post #45553 - In reply to #45548

Jim

I take that to mean it doesn't work for a DL backtest but day to day the OS dynamic list updates and ATM works normally. Yes?
^ Top
Jim Dean

Idol
2000500100100100100
Posts: 2922

Joined: 9/21/2006
Location: L'ville, GA

User Profile
 
Subject : RE: ATM Symbol List
Posted : 10/8/2018 9:08 PM
Post #45554 - In reply to #45553

I assume so - afaik the main FL, if based on a OScan, works that way. But it’s possible that if the OScan Main FL does not include some of the symbols used in a specific explicit Mkt State List, then that could mess things up behind the scenes.
I don’t know if a DL works differently as a normal OScan at the HRE or not. I wouldn’t *think* so - but if Barry says DL’s don’t work with ATM, then my advice would be to just not use them - duplicate the DL rules in a normal HRE OScan and run with it (just to make sure). Jmho fwiw.

[Edited by Jim Dean on 10/8/2018 9:11 PM]

Jump to page : 1
Now viewing page 1 [25 messages per page]
back reply

Legend    Action      Notification  
Administrator
Forum Moderator
Registered User
Unregistered User
E-Mail this thread to a friend
Toggle e-mail notification


Nirvana Systems
For any problems or issues please contact our Webmaster at webmaster@nirvsys.com.