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OmniTrader 2021 Technical Support
Dynamic OmniScans and PortSim, StrategyWizard, and
Last Activity 11/21/2022 10:19 AM
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kmcintyre

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Subject : Dynamic OmniScans and PortSim, StrategyWizard, and
Posted : 5/23/2021 2:38 PM
Post #48161

ATM4 allows for multiple dynamic OmniScans, and I assume uses the historical OmniScan results for backtesting.

(I assume, because I have not personally validated that the symbols in the Focus List and the trades taken by ATM4 change over time based on the OmniScan Criteria Rules...)

My previous understanding was that dynamic OmniScans did not work in PortSim, StrategyWizard, or Lab Mode.

If I wanted PortSim results that reflected the OmniScan Criteria RUles, I needed to code the Criteria Rules into my System or Strategy.

Ditto for StrategyWizard.

So what is the current state of dynamic OmniScans w.r.t PortSim, StrategyWizard, and LabMode?

Can I now count on PortSim only trading symbols that exist in the Dynamic OmniScan Custom List on a specific date?

If I run Lab Mode, will I only be shown symbols in my watchlist that pass the OmniScan Criteria Rules for the date shown?

Will StrategyWizard only trade symbols that the dynamic OmniScan servs up on each backtest date?

Do I need to use ATM4 with one market state, running one Strategy, to have PortSim results reflect only trades that passed the dynamic OmniScan Criteria on each backtest date?

Etc.

Thanks


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Buffalo Bill

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Subject : RE: Dynamic OmniScans and PortSim, StrategyWizard,
Posted : 5/23/2021 6:40 PM
Post #48162 - In reply to #48161

My answers are based on my understanding here. YMMV and I might have some of this wrong...

ATM4 allows for multiple dynamic OmniScans, and I assume uses the historical OmniScan results for backtesting.

-Yes

My previous understanding was that dynamic OmniScans did not work in PortSim, StrategyWizard, or Lab Mode.

-IDK either way but I'm guessing you're right

If I wanted PortSim results that reflected the OmniScan Criteria RUles, I needed to code the Criteria Rules into my System or Strategy.

Ditto for StrategyWizard.

-Port Sim (PS): **IF** your ATM method in use specifies certain strats tied to certain OS lists then PS **WILL** reflect what you want. If your ATM method is just Fixed$ with no other criteria (multiple market states tied to certain OS lists and strats) for example then maybe not.

-For Strat Wiz (SW) what I do is ONLY have the Dyn OS list in the FL and strat I want to test against loaded so I know it's testing against what I want. I use either a simple no Mkt State (MS) ATM method like Fixed$ or use Perf Rpt for my SW results. If the list is set tp dynamic it will work and test against the dynamic results day by day. It takes MUCH longer for each run BTW.

Can I now count on PortSim only trading symbols that exist in the Dynamic OmniScan Custom List on a specific date?

-YES

If I run Lab Mode, will I only be shown symbols in my watchlist that pass the OmniScan Criteria Rules for the date shown?

-IDK never used Lab mode ever in 15 yrs of OT use! Sorry!

Will StrategyWizard only trade symbols that the dynamic OmniScan servs up on each backtest date?

-If you set it up so the OS list you want it tested against is the one selected in your FL - those symbols are the ones you see - then YES

Do I need to use ATM4 with one market state, running one Strategy, to have PortSim results reflect only trades that passed the dynamic OmniScan Criteria on each backtest date?

-NO, but doing that gives you a pure look at that strat(s) using that OS in each MS it's selected and how the trade ranking is working. It is not affected by trades in other MS that take up $$, etc. Then making adjustments to any of these factors is also better represented. You can duplicate this in any ATM method even if it has multiple OS, multiple MS, etc by zeroing out the allocations in the MSs you don't want to look at. This is also the best way to use any ATM optimization

-Now Perf reports are different. I am pretty sure the ATM method has NO IMPACT beyond $ allocation so it won't differentiate for market states, etc, in the results. The MS or MSs selected I don't believe have bearing on Perf rpts so they don't matter. If you use trade ranking in your MS which could limit trades taken the perf report doesn't seem to use that. I see many many more trades taken in a perf rpt than in a PS run for that and other reasons. Now in the To Do is you select to run it against only one of the OS lists then it will only be that list, dynamically scanned, so it has value



Hope this is right and helps! Pretty sure I am
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kmcintyre

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Subject : RE: Dynamic OmniScans and PortSim, StrategyWizard,
Posted : 5/23/2021 8:34 PM
Post #48163 - In reply to #48161

Thanks!

It sounds like I can rely on dynamic OS lists, and not include redundant OmniLanguage in my Systems and Strategies. (Exactly what I was hoping for.)

keith


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Buffalo Bill

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Subject : RE: Dynamic OmniScans and PortSim, StrategyWizard,
Posted : 5/23/2021 9:42 PM
Post #48164 - In reply to #48163

Yes I am sure you're GTG on that part
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kmcintyre

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Subject : RE: Dynamic OmniScans and PortSim, StrategyWizard,
Posted : 5/24/2021 9:32 PM
Post #48165 - In reply to #48161

Well, now I am confused (again)...

This morning I was certain I had had a senior moment and confused pre-Dynamic OmniScans with post Dynamic Scans.

For sure, in the old days, OmniScans only worked at the HRE. If I wanted to backtest I had to code the Criteria in my OLangfor the Strategy.

But it only made sense that Dynamic scans had remedied this...

But being hesitant to assume things...
I
I created a test Profile. I added one OmniScan custom list. It used the DJ-30 as the universe, included one technical criteria (c[1] > 0), and returned the top 5 symbols based on (C - C[1]) / C]1] * 100.00.

The Focus List displays 5 symbols. Useing View | Dynamic Scan Symbols I see five symbols for each day. I also see different symbols for most days.

So far so good.

I created a Strategy that contains one System. The System logs the Date, Symbol, and Close to a .txt log file for each time my strategy is allowed to run.

The log file shows all 30 DJ30 symbols being evaluated on each daily bar.

I would expect that only the 5 symbols shown in the Focus list, and by View | Dynamic Scan Symbols, would be processed by my Strategy on any given day.

Barry, are you out there?

Is there some other mechanism that blocks long and short entry signals for symbols not in my Dynamic Scan?


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Barry Cohen

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Subject : RE: Dynamic OmniScans and PortSim, StrategyWizard,
Posted : 5/25/2021 9:38 AM
Post #48166 - In reply to #48161

Dynamic scans work with Performance reports, Lab Mode, & Port Sim, but not Strategy Wizard.

If one of those didn't work for you, when you run the ToDo List make sure the dynamic setting is enabled & analysis runs together with it before clicking perform selected tasks.

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Buffalo Bill

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Subject : RE: Dynamic OmniScans and PortSim, StrategyWizard,
Posted : 5/27/2021 8:25 AM
Post #48169 - In reply to #48166

Originally written by 291234 on 5/25/2021 10:38 AM

Dynamic scans work with ... but not Strategy Wizard.



Whaaa?

This going to get fixed? OT runs the dyn scan at the start, caches each day's result then runs SW against it (NOT re-run the dyn scan for each SW iteration)
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Vinay

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Subject : RE: Dynamic OmniScans and PortSim, StrategyWizard,
Posted : 11/21/2022 12:34 AM
Post #48756 - In reply to #48166

Originally written by Barry Cohen on 5/25/2021 8:38 PM

Dynamic scans work with Performance reports, Lab Mode, & Port Sim, but not Strategy Wizard.


Barry,

Does the Dynamic Scans still don't work with Strategy Wizard or they have been upgraded to work with SW also?

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Barry Cohen

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Subject : RE: Dynamic OmniScans and PortSim, StrategyWizard,
Posted : 11/21/2022 10:19 AM
Post #48757 - In reply to #48756

I think I misunderstood this thread from before, so let me clear this up.

Strategy Wizard will not update a dynamic scan, BUT if a dynamic scan is already configured in the profile, Strategy Wizard will use the dynamic scan in the Output results.

In other words & in that sense, yes, Strategy Wizard works with Dynamic Scans. You can verify it when SW is analyzing results - it will analyze the strategy(s) on the entire starting population rather than only the active symbol list.

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