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OT 2018 ATS With VBX3 And Large Cap Stocks
27 replies, 4151 viewings
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OmniTrader Professional Forum
OmniTrader Pro General Discussion
OT 2018 ATS With VBX3 And Large Cap Stocks
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Last Activity 6/18/2025 7:38 AM 27 replies, 4151 viewings |
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mgerber Regular  Posts: 61 Joined: 3/30/2006 Location: Issaquah, WA  User Profile |
Your coding does indeed work in ATS. However . . . zScore does not seem to work well. I just ran it with the following general results: --List: S&P 100 + NASDAQ 100 --Time period: 10 years, ~5-1-07 to 5-1-17 --Strategy: UIS Double Stochastic Result: It UNDER performed equity by ~25% Thanks again, Mark G. [Edited by mgerber on 12/10/2017 2:22 PM] | ||
| mgerber Regular Posts: 61 Joined: 3/30/2006 Location: Issaquah, WA User Profile |
--5% equity, max longs 5, and no optimization at all --Identical port sim settings as he had set --Long only (My personal assurance was to edit the strategies for long only, and re-label them by name with prefix L-) But using a shorter list and shorter time span to speed up testing: --S&P 100 + NASDAQ 100, rather then the ~1800 stocks of the Large Cap list --10-year time span 5-1-07 to 4-28-17, rather than a 17 year time span Testing on three different strategies: --UIS Double Stochastic --VBX-3 --XLS-19 V2 --Mark G. [Edited by mgerber on 12/10/2017 5:07 PM]  Attached file : 2017-12-10_13-42-19.png (13KB - 540 downloads) Attached file : 2017-12-10_13-38-39.png (10KB - 556 downloads) Attached file : 2017-12-10_13-39-23.png (157KB - 571 downloads) Attached file : 2017-12-10_13-42-06.png (13KB - 551 downloads) Attached file : 2017-12-10_13-41-30.png (10KB - 504 downloads) Attached file : 2017-12-10_13-41-37.png (127KB - 562 downloads) Attached file : 2017-12-10_13-42-35.png (13KB - 517 downloads) Attached file : 2017-12-10_13-43-43.png (10KB - 522 downloads) Attached file : 2017-12-10_13-43-49.png (130KB - 529 downloads) | ||
| THOMAS HELGET Elite   Posts: 610 Joined: 3/22/2006 Location: BALDWINSVILLE, NEW YORK User Profile |
Using the original technique proposed at the top of this thread I repeated the analysis on the Large Cap Stocks Focus List utilizing VBX-3 and found that with the three new ATS Method settings that % of Equity outperformed all three of them. However, when optimized, both the Trend Reversal and the Reversal ATS Methods proved far superior to the % of Equity method (you will have to look very carefully to see which was the better): Even optimized the Trend ATS Method underperformed % of Equity. Note that these results were with choosing the top Long ATS performer only and devoting 10% of Equity to it's purchase. When I tried to go both Long and Short (1 trade each) once again % of Equity won out by a wide margin even when the three new ATS Methods were optimized which would appear to indicate that different strategies might need to be employed in the individual ATS methods to effectively pick Short winners. Tom Helget [Edited by THOMAS HELGET on 12/16/2017 7:02 PM] Attached file : VBX-3 Large Cap Stocks ATS Portfolio Simulation.JPG (138KB - 526 downloads) |
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