I’ve been experimenting with the new ATS capabilities in OT2018, and I’m thoroughly impressed.
I hope the following info will allow you to duplicate my results and see for yourself how much ATS improves things…
How I did it...
Load in Nirvana’s Large Cap Stocks list, use only the VBX3 strategy, run the To Do list to update everything, and save the data for use in Port Sim;
Running the To Do list will take a while, but when it’s done go to Port Sim and choose Large Cap Stocks for the Focus List;
I used $100,000 and 2X Leverage for my example;
It’s important that the parameters are the same for both the original and ATS runs, so I set both to use 5% per trade allocation;
At the bottom left of Port Sim, click on ATS settings, click on these 3 choices, and then Close;
In the top middle of the Port Sim, click on % of Equity and make sure the default settings are correct (you can modify them in the boxes if necessary);
Click on Reversal and make sure those are correct (you can modify them in the boxes if necessary)
Notice that the first 5 should be the same as the first 5 in % of Equity (so we’re comparing Apples to Apples)
The last 2 have to do with ATS settings;
Click on Run Analysis.
It takes a while, but below are my results using BT 1/1/00-1/1/07 and FT 1/1/07-1/1/17, VBX3, and Large Cap Stocks;
(Sorry, the image is a bit wide in order to make all the info visible)
To see how ATS improves the results, click on the Reversal tab;
The improvement is quite obvious.
You can also click on the Summary tab to see both overlaid;
I wasn’t in on the development of this new capability, but I’m certainly impressed.
I was dubious after seeing such good results, so I exported the trades for both the original run and the ATS run and put them into excel for analysis.
I can confirm the following;
The original took 15,813 VBX3 trades.
The ATS run took 9,182 of those trades and did not take 6,631 of the original trades.
ATS didn’t add any trades, it just selected a much better subgroup of the original set.
I want to learn more about how ATS works...
I don’t know any more than you at this point, but these are truly impressive results, just by using the default settings published by Nirvana
Maybe we can do even better...???
BTW - I intentionally left 2017 out of these tests, and plan to post those results in the near future.
Hope this helps,
[Edited by mholstius on 12/4/2017 4:47 PM]
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