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Questioning PS trade selection.
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c

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Subject : Questioning PS trade selection.
Posted : 4/3/2012 2:35 AM
Post #26314

This is about three main things:

1. Multi-strategy voting.

2. Not understanding why certain BT stats are showing up in the FL when Strategy Voting minimums are not met.

3. Not understanding why the PS is taking trades that fall below specified BT minimums set in TODO/STRATEGIES/STRATEGIES VOTING.


Taking #2 first. When I'm dealing with Multi-strat voting, I go to the TODO/STRATEGIES/STRATEGIES VOTING and set my minimums to BTHR 70, BTAPR 100 and minimum 2 strategies.

I am assuming two things when I do that:

1. I'm making the PS ignore Voteline trades that do NOT meet those minimums.

2. I'm expecting the FL to NOT show me those BT stats that fail to meet those mimimums I set.

However, I'm seeing those stocks that fail to meet the minimums in the FL AND I'm seeing the PS select trades where the BT stats fail to reach those minimums.

The question is why aren't the minimums imposed when I select them in TODO/STRATEGIES/STRATEGIES VOTING(BTHR 70, BTAPR 100) restricting the PS from selecting ANY trade that fails to meet those minimums?

My basic setup is 350 bars loaded, BT 250, FT 0. FL is NASDAQ 100

In the attachment, I show where the stock VMED is displayed in the FL where the BTHR is 56 and the BTAPR is 67--both of which are below the minimums I set in TODO/STRATEGIES/STRATEGIES VOTING. Then I show in the PS Equity Report where the PS selects VMED today even though the BTHR and BTAPR falls below the minimums I set.

Question: Why does the PS select trades that fall below those Min HR and APR minimums set in TODO/STRATEGIES/STRATEGIES VOTING?

[Edited by c on 4/4/2012 9:19 AM]

Attached file : All Strategy Mins..gif (101KB - 205 downloads)

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Barry Cohen

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Subject : RE: Questioning PS trade selection.
Posted : 4/3/2012 4:13 PM
Post #26324 - In reply to #26314

Your assumptions are correct & when I try in my OT the strategy voting works as you would expect. The question is why isn't yours working. Could you compress/zip & email me your profile please? bcohen@nirvsys.com Could you also post a screenshot of your entire OT screen? Have you modified the strategies that are in this profile or using the default versions of them?
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c

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Subject : RE: Questioning PS trade selection.
Posted : 4/8/2012 11:30 AM
Post #26375 - In reply to #26314

Hi Barry,

Thank you for taking time to look.

I have zipped my profile and strats to your email.

I am running 20 strategies. They are a mix of unaltered strats and strats I have altered. Many of the strats I altered I replaced the standard Orders Block exits with the new ACT exits(including the Systems block on the secondary line). Those strats are labeled "ACT EX" so I know which strats' exits I have altered.

I can't think of anything else I may have done to cause strats that DON'T reach the minimums(BTHR 70, BTAPR 100) I set in TODO/STRATEGIES/STRATEGY VOTING to show up in the FL and consequently are picked up in the PS for trading.

This may not be relevant, but this is the same profile and strats in which I attached a PS pic of some of the Equity Curves showing a 168% ROI on a 250 bar Floating BT.

The pic is in the General Discussion thread and which Jim answered. In case it means anything relative to the problem I seem to be having.

Thanks again.






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Barry Cohen

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Subject : RE: Questioning PS trade selection.
Posted : 4/10/2012 3:52 PM
Post #26449 - In reply to #26314

I have confirmed that it is working correctly, but it isn't 100% like I had previously thought. Here's how the filters work & why you're seeing these small discrepancies.

The strategy voting filters are basing the numbers off of the individual strategies.

Say you have Strategy A, Strategy B, & Strategy C, Strategy D running on DELL. You have your BTHR filter enabled at 70%.

The individual Strategy A gives a BTHR of 85.
The individual Strategy B gives a BTHR of 75.
The individual Strategy C gives a BTHR of 71.
The individual Strategy D gives a BTHR of 50.

Strategy D is dropped since it does not meet the 70% filter, leaving Strategy A, B, & C.

The combined strategy voteline then is using Strategy A, Strategy B, & Strategy C to determine signals. Not every signal from the individual strategy A will likely make it to the voteline due to signals from Strategy B & C, the same goes for B as well as C. So sometimes a bad trade from Strategy A may prevent a good trade from another strategy from getting to the voteline depending on other factors. When bad trades "bump" enough good ones from the combined all strategy voteline, then you run into cases like this where the BTHR of the combined voteline is less than the 70% filter.

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c

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Subject : RE: Questioning PS trade selection.
Posted : 4/11/2012 12:12 PM
Post #26461 - In reply to #26314

Barry,

Thank you for the explanation. Very helpful to all of us.

A few points:

1. Because I was seeing this behavior(OT displaying composite Vote Line signals that fell below the global minimums I set in TODO/STRATEGIES/STRATEGY VOTING) in both the FL and consequently in the trades the PS was selecting, I started the "slider" thread idea for the PS's Trade Selection Tab to force the PS to only select trades from the FL that met or exceeded those global minimums.

The "slider" idea was a way to specify minimum BTHR, BTAPR etc. to make the PS ignore any composite Vote Line trade that fell below the global minimums I THOUGHT were supposed to already be taken care of in TODO/STRATEGIES/STRATEGY VOTING.

2. You generously offer a detailed explanation for what is happening but no workaround. If I read you right, I think you are saying these are small discrepancies and the overall effect is probably small thus no workaround is needed.

As to the discrepancies, you have forgotten more about OT than I will ever know but I respectfully question exactly how small these discrepancies are?

Does this not add a layer of "contamination" to at least the BT runs in the PS when we have selected ALL STRATEGIES? And don't these "contaminated" BT results then carry forward into the FT's since the BT's are supposed to be "training" the strats for the FT's?

If the overall effects are negligible, that's fine. But exactly how confident should we be that they are, in fact, negligible in our overall results for the BT and FT?

3. As a workaround, would it help to, as standard practice from now on, "drop" a Performance Block into EVERY strategy, even if that strat is based only on a single system, to specify the BTHR and BTAPR minimums for EACH individual strategy? In order to overcome the fact that global minimums set in TODO/STRATEGIES/STRATEGY VOTING are not always being adhered to in OT's analysis?

Thanks again for the help. Very much appreciated.


[Edited by c on 4/11/2012 12:17 PM]

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Barry Cohen

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Subject : RE: Questioning PS trade selection.
Posted : 4/11/2012 1:05 PM
Post #26463 - In reply to #26314

The question is why aren't the minimums imposed when I select them in TODO/STRATEGIES/STRATEGIES VOTING(BTHR 70, BTAPR 100) restricting the PS from selecting ANY trade that fails to meet those minimums?


Well the minimums are imposed for each strategy, but again, when there are multiple strategies fighting to put trades to the voteline then this behavior could occur. And those statistics are for the entire back test period of the voteline, they aren't per trade statistics. BTHR & BTAPR look at all the trades in the back test & determine values from them.

One thing you could do is add a filter to your Focus List, say ADV > 70. This will look specifically at the ADV column & hide any symbols that are less than 70 ADV. You could do other filters for other columns too like APR & BTNT. Though I believe PS will still read trades from the hidden symbols, so the remaining symbols would need to be copy/pasted into a separate My Symbols list.

I think if you added Performance blocks to each strategy you'd have the same issue. Ideally PS should only look at the symbols that are not hidden. That would be a feature request to get the behavior you're looking for. So would the ability for PS to not take trades from a symbol that doesn't meet certain criteria. I'm sure there are other ways it could be done, but those are the 2 that come to mind.

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Jim Dean

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Subject : RE: Questioning PS trade selection.
Posted : 4/11/2012 1:08 PM
Post #26464 - In reply to #26461

Hi, guys:

I don't want to muddy the water here ... but I *think* I'm seeing a small but important difference in how you are speaking about these percentage thresholds.

Charles is I think referring to the percentages reported by the standard Analysis run for the strategy in question, regardless of the interaction of strategy voting or portfolio decisions. That is, I think he is expecting that any strategy whose "separate Analysis BTHR pct" is below the input 70% cutoff should never appear as an acceptable strategy within the PS run, SINCE it has been rejected on the standalone basis. I might be wrong about what he's thinking/saying, but that course of logic does seem very sensible to me.

OTOH, I think that Barry may be speaking (at some point) about the "net resulting BTHR" of a given strategy, AFTER the PS logic has chosen some but not all of that strategy's trades in its filtering and ranking process. Barry seems to be saying that even though a strategy has the "separate Analysis BTHR pct" above 70, then when some of its historical trades are chopped out by the PS logic, then the net BTHR for the trades actually chosen from that strat might end up less than 70%. Again, I may be mis-stating this, but that logic sort of makes sense to me ... but it does sound a little stretched/gues-sy ... an actual example would have been nice.

My opinion about all this is that Charles' concerns seem very legitimate. If there is an input in PS that says it rejects BTHR's below 70%, then no strategy with a BTHR below 70, evaluated ON ITS OWN before PS logic is applied, should be used for that symbol. Period. This seems pretty cut-and-dried to me, AS LONG AS Dynamic Optimization is not being used or something else that does a walk-forward kind of analysis. I'm presuming this is all legacy fixed-BT&FT-windows stuff here.

So, I for one would appreciate it if Nirvana could make the PS filters work in this manner, so that when we do our own Analysis runs and compare the BTHR's from them, to the threshold BTHR in the PS run, for a given symbol, the two would jive without any tap-dancing.

Barry and Charles, please forgive me if I've mis-stated anything here that you said.

P.S. I wrote this before I saw Barry's second response, just before this post.

[Edited by Jim Dean on 4/11/2012 1:10 PM]

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Barry Cohen

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Subject : RE: Questioning PS trade selection.
Posted : 4/11/2012 1:25 PM
Post #26467 - In reply to #26464

If there is an input in PS that says it rejects BTHR's below 70%, then no strategy with a BTHR below 70, evaluated ON ITS OWN before PS logic is applied, should be used for that symbol. Period.


Jim, there are no BTHR or BTAPR filters in PS. If there were then I could definitely see where PS would use them to get what Charles is wanting. And there is no filter that I'm aware of that can be applied after Strategy Voting takes place & before you run PS. There would need to be a filtering process that takes place in the FL or a filtering process that PS would do. Both are good feature requests.
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Jim Dean

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Subject : RE: Questioning PS trade selection.
Posted : 4/11/2012 1:39 PM
Post #26469 - In reply to #26467

Thanks for your kind reply Barry. I'm embarrassed - I did not doublecheck my memory - which seems to be a daily need that I have now. I was hoping that would not happen until Soc Security kicked in ...

I was combining (in my head) the Advisor Rating Cutoff percent input with the various allocation and simulation constraints and also the Trade Selection options ... I guess I was using a mental picture much like Charles' "sliders" suggestion, without the sliders.

So, yes ... this is clearly a feature request. Sorry for jumping in!
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Barry Cohen

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Subject : RE: Questioning PS trade selection.
Posted : 4/11/2012 2:01 PM
Post #26470 - In reply to #26469

No problem Jim, & don't be embarrassed. I had to verify in PS myself.
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c

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Subject : RE: Questioning PS trade selection.
Posted : 4/11/2012 2:06 PM
Post #26471 - In reply to #26314

Jim wrote:

"If there is an input in PS that says it rejects BTHR's below 70%, then no strategy with a BTHR below 70, evaluated ON ITS OWN before PS logic is applied, should be used for that symbol. Period. This seems pretty cut-and-dried to me, AS LONG AS Dynamic Optimization is not being used or something else that does a walk-forward kind of analysis. I'm presuming this is all legacy fixed-BT&FT-windows stuff here."

That captures it exactly in a nutshell. And this is indeed all Legacy BT.

As to Barry's last response about filters in the PS, that's what I was getting at when I posted the "slider" idea(for the PS's Trade Selection Tab) in the Features Request thread a few days ago.

Maybe the "slider" idea is lame, but I'm trying to get across SOME way to create a PS filter(adding the "sliders" for BTHR, BTAPR etc. to the Trade Selection Tab perhaps?) to specify a filter RANGE(minimum--most importantly for this discussion but also a maximum) for EACH(again, BTHR, BTAPR etc.) stat available in the TST.

I did not want to even get to this point because I had intuitively assumed that when I set global minimums for BTHR--70, BTAPR--100 in TODO/STRATEGIES/STRAGEGY VOTING, that would mean that any composite Vote Line that failed to meet those minimums would be filtered out of the FL(I.e., we would not even see them). And "logically" I assumed the PS only selects trades that are VISIBLE(I.e., passed the global minimum filters I just referenced) in the FL.

Otherwise, what is the point of setting global minimums if OT's initial TODO analysis can allow some trades that don't reach the minimum threshold set in TODO/STRATEGIES/STRAGEGY VOTING into the FL where they are subsequently picked up by the PS for trading and therefore BT and FT analysis?

I think one rough way to characterize all this is that when we set global minimums, OT TRIES to adhere to them but, as Barry explained, some signals are "fighting" to get through and sometimes trades that don't meet the global mimimums are passed through anyway into the FL where they are naturally picked up by the PS for trade and BT/FT analysis(at least in Legacy)

I only want a straightforward way(perhaps PS filters with the ability to set minimum and maximum ranges for BTHR, BTAPR etc.) to restrict the PS from accessing composite Vote Line symbols that DON'T meet the global minimums I set.

As a first line of defense, I just want to keep the FL from displaying ANY symbols that fail to meet the global minimums set in TODO/STRATEGIES/STRAGEGY VOTING so the PS won't have access to them(though it seems the PS may go after hidden symbols as well if I understand you right, Barry.).

But beyond that, I have several ideas I'd like to try if I could just have PS filters that allowed a user-specified minimum and maximum value for EVERY stat available in the PS's TS Tab(BTHR, BTAPR etc.).

I want to digest more of what has been written here. Then I will need to make a couple of feature requests.

Thanks, Barry, Jim for the help.



[Edited by c on 4/11/2012 2:11 PM]

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Keith Parsons

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Subject : RE: Questioning PS trade selection.
Posted : 5/4/2012 11:04 AM
Post #26671 - In reply to #26471

Tks All,
Very informative thread - I was having, at times the same probems in my F.L.

Rgds
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