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ATM ARM5. cplor charts, using SPY as a surrogate
Last Activity 2/22/2021 7:27 AM
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Posts: 116

Joined: 9/12/2007
Location: Valley Center, CA

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Subject : ATM ARM5. cplor charts, using SPY as a surrogate
Posted : 2/15/2018 4:31 PM
Post #29848

I have the basic ATM ARM5 Nirvana Club release bits up and running. Impressive, even with a smaller account size and 2 cents a share commission (which helps cover margin interest, data fees, exchange fees, slippage, etc.)

I set up a color chart to show the market state, which is based on volatility of SPY. I then paged through charts of the My Symbols stock list.

It appears to me that many stocks are not strongly correlated to the SPY.

I wonder if ATM would work even better if the strategy selection was per underlying, versus based on the broad market (SPY) volatility?

It might all be curve fitting, but it makes sense to me...



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Jim Dean

Posts: 3350

Joined: 3/13/2006
Location: L'ville, GA

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Subject : RE: ATM ARM5. cplor charts, using SPY as a surroga
Posted : 2/15/2018 4:38 PM
Post #29849 - In reply to #29848

Keith, I definitely think you’re on the right track. I’ve been working with Market State evaluation for well over a decade. My presentations at the Bash several years ago promoted the idea that a combination of wide market metric, plus Industry &/or Group-specific metrics, AND the Symbol in question should all be relevant factors with appropriate weighting, to determine the true and relevant market state that should influence Symbol selection for tradeability. Ideally, as I discussed in the TradeTigt forum years ago, the weighting itself would be a function of the degree of correlation between the Symbol and its supersets.

The MTV Indicator I described at the Bash provides for that kind of “tiered” analysis, and I’ve gone the extra mile of providing a viable OmniScript based solution for OVest, since N will not permit DLL’s to be uploaded. It’s awkward but powerful. If DLL’s could be uploaded, it would be easy and powerful. But at least they are available in OT.

I’ve been trying to get this point across to Nirvana - but it appears that since the OVest platform is not readily amenable to it in “filters” (which cannot eval Symbol by Symbol), and since separate Dynamic Scans cannot be assigned within OT’s implementation of ATM, that the concept has been tabled. However I do believe it is a very important point that would benefit everyone.

The good news is that it’s really not that hard to modify any OT strategy (canned or custom) to include this kind of robust Market Analysis. So, for those willing to make the extra effort, even though ATM cannot employ separate Scans for each State, ATM can be made to benefit from in-depth evaluation through using the tried and true classic OT Strategy Filter Block.

[Edited by Jim Dean on 2/15/2018 5:05 PM]

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