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Posts: 513

Joined: 3/22/2006

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Subject : RE: OT 2018 ATS With VBX3 And Large Cap Stocks
Posted : 12/6/2017 7:01 PM
Post #29734 - In reply to #29733


One of your comments at the end of your post didn't make sense to me.

You commented that:

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.

Yet your screen shots clearly show each Method (% of Equity and Reversal) taking around 15,000 trades each. And that makes sense to me as the VBX3 Strategy throws off a large number of possible trades on the huge Large Cap Stock list (2362 issues strong on today's OmniScan). As a matter of fact 46 possible Long and Short trades were available for the taking today alone. Certainly more than enough to choose from to get a full 20 trades at 5% allocation per trade even if no other Symbols were currently in trade.

So, I would posit that what the ATS Reversal Method was doing was selecting the very best of those scadzillion trades whereas the % of Equity Method was just taking the trades alphabetically.

And, on that matter, One thing you did not describe in your write-up is how your Trade Selection was done - I would assume you just left it the standard Symbol Ascending order.

Now I always hated that since, what if, the "Z" symbols were the hot pistols currently?

So I like to use something a bit more ranking in it's own right - Advisor Descending:

Now when I did that I got roughly the same results you achieved with the Reversal Method but a bit better Equity Curve for the % of Equity Method:

Now to me this would show that the ATS Reversal Method is selecting it's trades solely on the Ranking in the Method whereas the % of Equity Method could be bettered a bit by using the Advisor Descending sort in place of the customary Symbol Ascending order.

Tom Helget

[Edited by THOMAS HELGET on 12/6/2017 7:04 PM]

Attached file : Trade Selection for VBX3 Large Cap Stocks.JPG (38KB - 813 downloads)
Attached file : VBX3 Large Cap Stocks Portfolio Simulation Ranked By Advisor.JPG (191KB - 826 downloads)

Deleting message 29734 : RE: OT 2018 ATS With VBX3 And Large Cap Stocks

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