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ATM3 Early Results
Last Activity 2/14/2020 3:53 PM
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mholstius

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Subject : ATM3 Early Results
Posted : 1/22/2020 6:36 AM
Post #30734

Ed and Jeff have done a great job of sharing the capabilities of Nirvana’s new ATM3 upgrade in webinars, and I thought it would might help to add a few more details…

We all face the question of what is the most useful “target” / goal to give us an edge?

Historically, we’ve used HR, PPT, CAR, CALMAR, etc. – with the inherent problem that each can be quite specific and have their own weaknesses.

So, for about a year or two I’ve worked on developing a formula that would evaluate a number of different parameters and assign a single number that would correlate with the overall equity performance in the past.

I hope I’ve come up with something useful, and Ed’s dedicated a lot of time and resources this year to incorporate it into the updated ATM3.

This post is an attempt to show a bit of what it does.

I’ve run numerous tests to confirm that the number derived from the formula accurately reflects past performance.
One of my more extensive tests involved 500 symbols, and the following snags show the equity curves in the order of the ranking number produced by the formula…

The equity curves produced when charting the top 3 of 500;




Ranked #50, 100, and 200;




Ranked #300, 400, and 500;






The theory is that given a choice, we’d rather trade something tomorrow that had a high rank number vs a low one…

As Ed said, moving forward on a monthly basis using excel (even with 1M cells) just wasn’t possible – but ATM3 gives us that capability.

ATM 3’s only been out for the past week or so, but I’ve been able to run some tests that appear to validate the theory.

The formula (rank “Mark II” in ATM3) uses the backtest period to generate the ranking number, and ATM3 uses that number to choose the symbols to trade the following month - calculating a new number each month and then walking forward the following month.

I have a very diversified list of 365 symbols that I use for development work. I knew that VBX-3 hadn’t performed well with this list over the past few years, so I figured it would be a good test.

I set up ATM3 to trade the top 15% of the ranked symbols (55 of 365), walking forward each month from 1/1/2017 to the present using 10% allocation / trade.

It produced the significantly better results you can see in the snag below…. (ATM3 curve in green)



Final equity rose from $90,000 to $123,000
Avg Ann MDD fell from 25.3% to 4.6%
# of trades fell from 788 to 250
And the Avg % Invested fell from 40% to 12% (considerably less risk)

The better, stable, and robust performance got me thinking…
What if we allocated more to each trade to more efficiently utilize equity, rather than letting it sit on the sidelines?

So… I ran the test again, adding 20% (blue line) and 30% (now the green line) allocations;




The performance improvements are impressive, and the equity curves are very similar – they don’t improve just because a particular allocation cherry picked better trades.

With 30% allocation;
Final equity rises from $90,000 to $161,000
Avg Ann MDD falls from 25.3% to 7.4%
# of trades decreases from 788 to 186
And Avg % Invested falls from 40% to 22.8% (again, less risk)

While we might not trade at those allocations, it’s a concrete example of what’s possible with ATM3.

Just take a minute to reflect on what this demonstrated…

I gave ATM3 a big list – and it not only chose the symbols that traded the best with VBX-3 in the past, it repeated that process every month.

And then, more importantly, it charted the walk forward, out of sample results of what would’ve happened if I’d been able to use ATM3 in the past.

We’ve never had that before – and it’s simply incredible!


There are currently 7 different ranking algorithms in ATM3: CAR, HR, Consistency, Stability, Smooth, Mark I, and Mark II.

No surprise, I tried “Mark II” for this run - but I’m certainly going to try the others too. Maybe one of them will work even better…???

This was a limited test to simply see if ATM3 could find the best symbols to trade with VBX-3.

It can also find the best Market State & Strategy pairings, and even combine those with the Symbol & Strategy pairing capability this test demonstrated. So many outstanding possibilities…

I haven’t had time for all that yet – I just wanted to share these early results since they’re a concrete example of what ATM3 can do.

Imagine what’ll happen when we pair the improved ARM6 AI capabilities with ATM3….

That thought puts a smile on my face.

Mark



[Edited by mholstius on 1/22/2020 6:42 AM]

Attached file : 01 Top 3.png (104KB - 898 downloads)
Attached file : 02 Middle 3.png (108KB - 890 downloads)
Attached file : 03 Bottom 3.png (116KB - 886 downloads)
Attached file : 04 VBX3 ATM3 Results.png (174KB - 885 downloads)
Attached file : 05 Higher Allocation vs Risk.png (241KB - 889 downloads)

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Jeff Brown

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Subject : RE: ATM3 Early Results
Posted : 1/22/2020 4:51 PM
Post #30737 - In reply to #30734

Mark, Thanks for sharing this impressive test.

I have just a few questions and a request:

1) When you ran the test, did you have leverage defined? It looks like up to 300% (3x)?
2) Did you have Port Sim set to "Increase Number of Trades" or just the "Increase Trade Size"?
3) Where did you come up with such an awesome ranker? I'd love to hear more about your thinking process and what lead you to it.

With results like you've shown, you've got me wanting to test a ton of strategies that haven't performed in the past and see what ATM3 can do with them just by giving them symbols that behave well for how it works. I've already got 2 VMs running since Friday night when I installed ATM3 -- both AI strategies and a Method I'm using in live trading to see how much better it could have been. But I didn't touch the ranker. Now I want to get another test running...
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mholstius

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Subject : RE: ATM3 Early Results
Posted : 1/22/2020 7:51 PM
Post #30738 - In reply to #30737

Thanks, Jeff…

Glad to hear you’re experimenting with ATM3. Hope you’ll share what you find.

I think ATM3 will “rank” right on up there as one of the premier pieces of software from Nirvana – and that’s saying a lot.

The tests I posted above all used 2X leverage and “Increase Trade Size”.

The only difference between the black, blue, and green plots is the allocation of equity / trade.

Black used 10% / trade, blue used 20% / trade, and green used 30% / trade.

ATM3 was set to trade using VBX-3 Long and the symbols that had Mark II ranking values in the top 15% as of end of the previous month;




I’ve been working on the algorithm / formula for a couple of years now, trying to boil it down to one number that can be used to rank the “quality” of the equity curve in the past.

It took a lot of work on the part of the Nirvana developers to incorporate it into ATM3 – and it’s a testament to their skills that it runs as fast as it does.

(I just checked, and I’ve created 16,000 spreadsheets on this machine – 3,000 of them since 1/1/2018. That’s probably not a good thing… sigh.)

Good luck in your testing – we have a lot to work with, and a lot to learn with 7 different ranking algorithms to choose from;



Hope you enjoy the walk forward…

Mark


[Edited by mholstius on 1/22/2020 7:54 PM]

Attached file : 01 ATM3 settings.png (53KB - 813 downloads)
Attached file : 02 ATM3 rankers.png (9KB - 808 downloads)

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BenQ

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Subject : RE: ATM3 Early Results
Posted : 1/22/2020 8:42 PM
Post #30739 - In reply to #30734

Thanks for sharing this Mark. This is fantastic research.
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John W

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Subject : RE: ATM3 Early Results
Posted : 1/22/2020 11:09 PM
Post #30741 - In reply to #30738

WELL DONE MARK! THANK YOU AGAIN for your KINDNESS and GENEROSITY!
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Keith Parsons

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Subject : RE: ATM3 Early Results
Posted : 1/23/2020 8:27 AM
Post #30742 - In reply to #30741

Thank u Mark for sharing. Your posts over the years have helped me ever so much.

Really appreciated.
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mholstius

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Subject : RE: ATM3 Early Results
Posted : 1/26/2020 7:45 PM
Post #30758 - In reply to #30742

First – thanks for all the kind words…
Just trying to share, since we can all move this forward a bit faster if we work together.
There are a ton of new possibilities with ATM3 – if each of us shares something new we’ll all improve that much quicker.

Ed was kind enough to share the latest build with me this afternoon, so I’d like to show what I was able to find in a few runs.

I have a strategy that I was developing a year ago that wasn’t doing very well, so I’d “put it on a shelf” in 2018.
I thought it would be an interesting challenge for ATM3, so I dug it up and ran it using the same 365 symbol list I used in my first post here.

As I expected, it didn’t do very well – but ATM3 did a nice job of improving the results;



I had time for another run before supper, so I did one that you can duplicate if you have ATM3…

The list is simply the SP500 from Omniscan using X-MFI for the strategy with the following pretty generic settings in ATM3;

No Market State (just C>0)
Allocation 10%
All Longs
Symbol-Strategy using Top 30%
Mark II
Internal FT 30 Bars
Monthly
Cutoff of 0




Below is the result;




The lower red plot is the normal 10% of Equity

The blue line is the ATM3 result using allocation of 10%

Since that result was only using 13% of equity (vs 51% for the “normal” run), I did it again and just increased the allocation (no other changes).

The green line is the result after increasing the allocation to 20%.

The improvements are quite obvious.

I have to run for the evening but wanted to share this for all of you that now have ATM3 – and those that are still trying to decide.

It’s definitely a winner... and did I forget to mention the walking forward part too?

Mark


[Edited by mholstius on 1/26/2020 8:04 PM]

Attached file : 00 My Strategy.png (212KB - 653 downloads)
Attached file : 01 ATM3 SP500 Settings.png (210KB - 653 downloads)
Attached file : 02 X-MFI.png (244KB - 651 downloads)

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Steve Luerman

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Subject : RE: ATM3 Early Results
Posted : 1/26/2020 8:54 PM
Post #30759 - In reply to #30758

Hi, Mark.
Thanks for sharing your thoughts, tests, etc.

Early in the thread, you indicated you are running test with walk-forward testing starting in 2017. Does that apply to all the testing you are showing?

Steve L.
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mholstius

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Subject : RE: ATM3 Early Results
Posted : 1/27/2020 7:29 AM
Post #30760 - In reply to #30759

Hi Steve…

Yup – it can be hard to read in the snags…

They start on 1/1/17 and run for 3 years, except that the snag for “My Strategy” started on 1/1/16 for 4 years because I was doing something else when I grabbed that one.

Also, I forgot to include some of the settings I used in OT and Port Sim for anyone that might want to replicate this – so here are those details…




I’ve been concentrating on testing the ability of ATM3 to dynamically find the best symbols to use with strategies, and being able to verify the results of those automated choices walking forward using out of sample data is amazing.

I haven’t begun to use the optimization capabilities or the ability to find the best strategies to use with Market States - choices also made using the BT period and validated by a walk forward in out of sample data.

I thought ATM was a game changer when it came out, but this adds a whole new dimension.

Mark

[Edited by mholstius on 1/27/2020 7:30 AM]

Attached file : 01 Settings.png (235KB - 590 downloads)

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Buffalo

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Subject : RE: ATM3 Early Results
Posted : 2/2/2020 7:40 PM
Post #30775 - In reply to #30734

Mark

You have any idea why in the auto trend ATM3 method there is no trade ranking used? Barry?
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mholstius

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Subject : RE: ATM3 Early Results
Posted : 2/3/2020 8:42 AM
Post #30776 - In reply to #30775

Good morning Buffalo…
To be honest, I just haven’t had enough time to look at the Auto trend method, so I can’t comment.
If there’s no trade ranking, that sure sounds like something that could be modified and improve the results.

With ATM3, there are a lot of tools that can be used to advance things… so every little bit of collaboration (like your observation) can go a long way toward helping everyone become more profitable.

Here’s hoping you can find a ranker that helps…
Mark

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Barry Cohen

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Subject : RE: ATM3 Early Results
Posted : 2/3/2020 12:44 PM
Post #30779 - In reply to #30775

You have any idea why in the auto trend ATM3 method there is no trade ranking used?


Jeff says, "The ATM3 automation is essentially ranking the combinations based on recent performance. While we could add another step and rank the trades based on an indicator, this particular method doesn't generate a large number of trades a day and we found the indicator ranking to be an unnecessary step."
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Buffalo

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Subject : RE: ATM3 Early Results
Posted : 2/3/2020 2:29 PM
Post #30784 - In reply to #30779

Thanks Barry!

Adding in strats for more trades so I may need to add some trade ranking

ATM3 can build the symbol-strat and MS-strat combos, then if still multiple trades available this maybe good to have.

Anyone found a good trade ranker beyond VTY-PR against SPY?
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james

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Subject : RE: ATM3 Early Results
Posted : 2/13/2020 5:26 PM
Post #30856 - In reply to #30779

I have tried every combination I can think of to replicate Marks' very detailed setup using X-MFI but when I get to the Portfolio Simualation I end up with the following notifications. 1) 'Object reference not set to an instnace of an object' and 2) 'There were no orders obtained to run a simulation, try a different source'
How do I deal with this ?
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Barry Cohen

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Subject : RE: ATM3 Early Results
Posted : 2/14/2020 9:10 AM
Post #30857 - In reply to #30856

James, if you'd like to attach your ATM method (...OT2020\ATM) & profile (...OT2020\Profiles) I can check it out.
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james

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Subject : RE: ATM3 Early Results
Posted : 2/14/2020 10:20 AM
Post #30860 - In reply to #30857

Barry,
It appears that the files, even if sent individually are greater then 5,000k
Is there another way of sending them ?
James
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mholstius

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Subject : RE: ATM3 Early Results
Posted : 2/14/2020 10:32 AM
Post #30861 - In reply to #30856

Hi James...
I'm pretty much out of it with the flu at the moment, but oftentimes choosing a different Focus list in the Port Sim will help with the problem of not finding data: 'There were no orders obtained to run a simulation, try a different source'



Mark


[Edited by mholstius on 2/14/2020 10:33 AM]

Attached file : list.png (53KB - 137 downloads)

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Barry Cohen

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Subject : RE: ATM3 Early Results
Posted : 2/14/2020 10:47 AM
Post #30862 - In reply to #30860

James, you can right-click a file & select Send to -> Compressed. Hopefully the compressed file is small enough afterwards, otherwise you can email me at bcohen@nirvsys.com
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james

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Subject : RE: ATM3 Early Results
Posted : 2/14/2020 12:31 PM
Post #30863 - In reply to #30862

Barry,
Files attached
James
Attached file : ATM Auto Trend Copy MH.its.zip (1KB - 1 downloads)

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james

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Subject : RE: ATM3 Early Results
Posted : 2/14/2020 12:39 PM
Post #30864 - In reply to #30862

Barry
Trying again to send profile
Attached file : ATM Auto Trend Copy MH.zip (664KB - 6 downloads)

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james

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Subject : RE: ATM3 Early Results
Posted : 2/14/2020 2:34 PM
Post #30868 - In reply to #30861

Hi Mark,
Sorry to hear about the flu bug. Just finished a case of one myself
I tried your solution and no go
Hope Barry is able to solve
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Barry Cohen

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Subject : RE: ATM3 Early Results
Posted : 2/14/2020 3:53 PM
Post #30870 - In reply to #30868

Thanks James,

In your method, for each market state, you have "Use These Strategies" enabled, but there are no strategies enabled. This is resulting in an error & I'll report it. But you can fix it by enabling at least one strategy in each market state or by selecting the "Use All Strategies in Current Profile" setting in each market state.

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