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ATM and "Resilient Portfolio" in Omnifunds
Last Activity 4/21/2021 9:48 AM
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Trailbrake

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/13/2020 2:11 PM
Post #46937 - In reply to #46936

Hey Tom,

Thank you for the detailed response. Perhaps, Nirvana will help us out with the equity balancing features to support Omnifund emulation and Omnifund portfolio development in Omnitrader.

Yes, I've been studying/playing with Antonacci's Dual Momentum outside of OT but, I recently started trying to build with Tactical Asset Allocation as espoused by Meb Faber, Adam Butler et al. I have some work to do but, perhaps I can post an example in the next few days. I have the same issues trying to replicate a balancing algorithm in a signal driven tool. Resilient looks a lot like TAA except DOG seems a better hedge than TLT which is typically the TAA bear hedge, if you get the market state and allocation right. Trying to duplicate, modify and improve them, if possible, with the desired outcome of have a portfolio of strategies that, in aggregate, push returns up and volatility down . Kinda like Omnivest would if it had Omnifunds equity balancing features. But, even if I can come close on several of these and perhaps export to Omnivest, I think it could be quite a powerful ensemble strategy. Just looking for a bunch of grails, none of them particularly holy.

Thanks, Tim
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John W

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/13/2020 3:11 PM
Post #46938 - In reply to #46936

Have you tried using BarDayofWeek()=6 for your entries and exits, perhaps that's a solution? If you look at OmniFunds its signal dates are Saturdays!
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EYEGUY

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/13/2020 3:35 PM
Post #46939 - In reply to #46938

John W:

No, I had never thought to but you are correct in that you can't see your Monday trades on Friday on OmniFunds and it is only on Monday that they become available (I think) so using 6 might have some utility although there isn't a "bar" for it.

Tom Helget
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jpb

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/13/2020 3:53 PM
Post #46941 - In reply to #46938

John,
I originally tried BarDayofWeek()=6 in the system, but it never generated any trade signals. I tried various different day values but even using 5 (Friday), never created orders to be executed on Monday. It always wanted to go to Tuesday. Maybe it is because I had a MOO set in the TradePlan.

The only thing that worked for me was to say BarDayofWeek()[1]=4 (which meant I am Friday and should generate an order for Monday.

I reached this conclusion when I would run the TODO, look at the Port Sim trades to see where they were entering and exiting. That's how I made adjustments to the system for firing a long signal and set the number of bars for exit in Trade Plan.

Thanks,
Jeff B.
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Jim Dean

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/13/2020 3:56 PM
Post #46942 - In reply to #46938

John et al
Bar day of week, or of month, is based on the charted bar’s ID. The bar’s ID is keyed to the date and time of the Open of the bar.
Unless you are dealing with Forex symbols that trade during the weekend, BarDayOfWeek = 6 or 7 are essentially meaningless in OT-land.
I read about some attempts to use it - and how it acted differently for half the year - imo that is all a fluke. Bdow=6 doesn’t mean anything useful unless the symbol trades on Saturday.
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John W

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/13/2020 6:26 PM
Post #46943 - In reply to #46942

Hmm! Omnifunds appears to generate signals every Saturday, so I wonder if Nirvana would be kind enough to share their code snippet to enable us to do it in OT?
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jpb

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/13/2020 6:50 PM
Post #46944 - In reply to #46943

Normally, to generate signals on Saturday, I just run OT on Saturday. Sometimes I run it on Sunday. In fact, running OT after market hours on Friday seems to generate signals for Monday's open.

I struggle with Port Sim and making it generate orders on the day I want it to -- at least, that was what we were trying to do here. Normally I'm not day specific.

Although, I will say, in running the simple test using the strategy/profile/system I posted earlier in this thread, when orders are submitted on different days, you get different results. Some of them were more dramatic. I didn't save any of those results. Maybe later, I'll dust that off.
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EYEGUY

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/14/2020 1:48 PM
Post #46946 - In reply to #46944

Tim:

Can you please check your inbox at the top left of this thread?

Thanks,

Tom Helget
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Trailbrake

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/14/2020 7:05 PM
Post #46950 - In reply to #46903

Found it. thanks!
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JamesT

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/19/2020 10:53 PM
Post #46977 - In reply to #46903

I just want to say thank you both for this great thread. As a long time user, who is just starting to get into strategy creation, this was a fantastic read. I aspire to this level of OT/ATM programing chops! Kudos!

James T.
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John W

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/30/2020 3:27 AM
Post #47078 - In reply to #46903

Resilient is new to many. This week is also particularly unusual, because ATM and Omnifunds operate differently if there is a market state change during the week.

Omnifunds closed DOG and all other symbols and reopened with a new symbol set and allocation percent early this week.
ATM handles this differently, only on Friday and Monday.

Here are some questions about how to handle the last day of each week using an EOD profile.

1. What is a good time to run the trade plans, is anytime after market open OK.

2. Should users select the "current positions" tab and manually run the ToDo list.

3. Should users let AutoTrade handle everything, if so what changes need to be made to distinguish the end of week settings from the Monday morning run? Here's some highlighted areas that may be relevant.





4. What about DOG. Its already shown as closed during the week because it dropped below its MA, how should this be handled. OT thinks its closed whereas the broker still holds the position.

5. Should all positions be closed manually by clicking on "C".



[Edited by John W on 4/30/2020 3:28 AM]

Attached file : 2020-04-30_17-33-37.jpg (60KB - 465 downloads)

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Barry Cohen

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/30/2020 11:32 AM
Post #47081 - In reply to #47078

1. You want AutoTrade to run before market open (30min prior or longer should be good) & update portfolio to run during market hours (30min after should be good).

2. No, leave it on the My Symbols list.

3. AutoTrade should handle everything.

4. With Resilient, there are 2 situations that can result in closed trades. On Fridays when update portfolio runs during market hours, the trade plan exits will be triggered & submit MoC orders to close all the trades at the end of Friday. The other situation is due to a market state change. This could happen any day during either process that AutoTrade performs. When that occurs it should submit market orders on that day. If this is not happening, like how you are reporting what happened with DOG, then that would be a bug. Perhaps you can send me your AutoTrade logs for this week.

5. If using AutoTrade there shouldn't be anything that you have to do manually, but this method is pretty new & there might be some things that we aren't aware of yet, like #4.


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Jim Dean

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/30/2020 8:23 PM
Post #47084 - In reply to #47078

Barry:

Ok I’m confused. If you’re fully automated, then you have a choice between using MOO orders for both entry and exit - presuming calc and submission is done outside Market hours.

Or, you can use a mix of MOC &/or Mkt orders for Entry and exit, and set up AutoTrade to run *during* exchange hours.

Barry, your post below shows a combo of MOO and MOC. Please explain how that can be hands-off automated. Thanks.
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John W

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 5/1/2020 6:11 AM
Post #47085 - In reply to #47081

Thanks Barry for your comprehensive reply. I've setup Autotrade as suggested.

Re your Point 4. I didn't run Autotrade mid-week I figured the trade plans only allowed new MOO trades Monday and MOC trades Friday. My bad.

Re DOG. It no longer exists in OT because the market state changed mid-week. All other symbols opened on Monday remain open in OT.
It will be interesting to see if the DOG trade plan closes DOG today, because its trade plan is the same as all the other symbols.
So, I'm hoping that today being Friday that the trade plan exits will be triggered for all open symbols including DOG.

As seems to be a favourite phrase in politics lately - "We'll just have to wait and see"!

[Edited by John W on 5/1/2020 6:13 AM]

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Barry Cohen

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 5/1/2020 9:27 AM
Post #47090 - In reply to #47085

John, yes, DOG & any other symbols with the Resilient trade plan should submit their MoC orders today when AutoTrade's update portfolio runs. It's important to know that AutoTrade itself does not close trades (unless using the close trades on signal setting). All AutoTrade does is perform the ToDo List & enter new trades. It's the trade plans that manage & close the trades.
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Barry Cohen

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 5/1/2020 9:38 AM
Post #47091 - In reply to #47084

Jim,

The Resilient trade plan has a MoC exit that only triggers on Fridays during market hours.

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Jim Dean

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 5/1/2020 9:43 AM
Post #47092 - In reply to #47091

Ok, so you must be talking about OmniFunds on Server, not ATM on OT.

When does OmniFunds on server do it’s calculations? How does it know to run Entry calcs for MOO orders after hours, so the order can be submitted before the exchange opens - and conversely, when and how often does OmniFunds update TradePlans during open hours, so that it can submit the MOC order before the exchange closes?
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Barry Cohen

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 5/1/2020 9:44 AM
Post #47093 - In reply to #47092

I was only talking about ATM in OT in this thread. OF on server doesn't use trade plans.
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Jim Dean

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 5/1/2020 9:52 AM
Post #47094 - In reply to #47093

Ok. So, ATM on OT local.

AutoTrade is set up to run its calcs at night to determine Entries and place order before exchange opens.

Then trade plan kicks off. Is RT feed assumed? There has to be a way for the TP to be recalc’d during exchange hours, if you want to use an MOC order to exit. Does the TP have some logic in it to only run the exit checks in the final minutes before the day ends?

If no such logic, AND if RT feed continuously monitoring the TP, then any intraday H or L might trigger the MOC order, which doesn’t make much sense to me. In that case, why not just use a Mkt order and have done with it?
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Barry Cohen

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 5/1/2020 10:05 AM
Post #47095 - In reply to #47094

AutoTrade is set up to run its calcs at night to determine Entries and place order before exchange opens.


Well, it's set up to run before market open, so entries should occur Monday mornings.

Then trade plan kicks off. Is RT feed assumed?


No, ATM does not work with RT.

There has to be a way for the TP to be recalc’d during exchange hours, if you want to use an MOC order to exit. Does the TP have some logic in it to only run the exit checks in the final minutes before the day ends?


That is what AutoTrade's "Update Portfolio" process is for - it will trigger the trade plans so that their MoC orders get submitted.
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Jim Dean

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 5/1/2020 10:19 AM
Post #47096 - In reply to #47095

Aha. I have been staring at that and never realized that’s what it did.

Strongly recommend that you change the label to “Update Active Trade Plans”

Thanks.
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Barry Cohen

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 5/1/2020 10:34 AM
Post #47097 - In reply to #47096

It's not a setting you want to always use. It depends on the situation. All it does is run the ToDo List to download data & run analysis. For Resilient you need it as the ToDo List process will get the trade plans to trigger their exits.
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John W

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 5/1/2020 3:20 PM
Post #47099 - In reply to #47090

Barry, I just want to confirm that DOG and the other symbols closed with MOC orders as advertised. It all worked.
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