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ATM3 and Port Sim PS
Last Activity 9/15/2020 3:15 PM
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Buffalo

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Subject : ATM3 and Port Sim PS
Posted : 2/14/2020 1:43 PM
Post #30866

With ATM3 and walk forward capabilities I think we need an addition to PS - a new way to view the FT results.

OK so you do a run of an ATM3 method - using the auto trend method as-is the BT is 1/1/2010-1/1/2015, FT 1/2/2015+. If I look at PS the BT results and equity curve is very different from the FT because ATM3 uses the BT to figure out the combo of settings (strats+MS+symbols) it will use in the FT (walk forward) portion. Typically the FT is much smoother and has a much lower amt in trade. If you want to examine the FT (walk forward numbers) without the contamination of the BT numbers you CAN'T. If you select FT in the simulation settings ATM3 uses part of that time for BT combo gathering (like before) - you can't see the pure ATM3 WF results alone.

Add an option to just VIEW the FT (or BT) results as ATM3 originally calculated them in the BT+FT run NOT recalculate them as just the FT. Otherwise it's impossible to tell how well the WF part of ATM is doing, or if a change you made is better or worse WRT WF results. So have PS lock in and remember all the stats and just DISPLAY the FT (or customizable dates) asked for, incl where the amt of euity starts when the FT begins. IOW if I started with $100k on 1/1/2010 and had $500k at the end of the BT then the FT display-only option would start at $500k

With WF capabilities I think something like this is VITAL for us to asses how our selected ATM method settings are doing and compare/contrast new settings
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mholstius

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Subject : RE: ATM3 and Port Sim PS
Posted : 2/14/2020 4:50 PM
Post #30872 - In reply to #30866

Hi Buffalo…
Maybe I’m missing something, so I just want to re-visit what’s happening in ATM3 in regard to your question / request.

Your initial BT is 1/1/10 – 1/1/15, FT 1/2/15+

So, the BT from 1/1/10 – 1/1/15 is analyzed and the top ranked Strats+MS+Symbols combinations (based on your choices) are then used for the following month.

That process is repeated each month, “walking forward”.

So, if you choose to have ATM3 use all the data for the BT, the BT increases in size each time and ATM3 uses that “new” BT period to rank the combinations and select the top X to use in the following month.

1) The BT used to calculate the choices for 1/2/15 would be 1/1/10 – 1/1/15
2) The BT used to calculate the choices for 1/2/17 would be 1/1/10 – 1/1/17
3) The BT used to calculate the choices for 1/2/19 would be 1/1/10 – 1/1/19



The Port Sim then “stitches together” the results of each months trading (walking forward) – combining the results you would’ve obtained each month if you’d traded the top X ranked combinations calculated from each “new” BT that ended just prior to that month.

Every month, everything changes – both the BT period and the top X choices to be used the following month.

The most significant part is that every month in the FT is out of sample - using the changing BT periods to choose what combinations to use the next month.

Maybe the terminology needs to be changed…???

“BT” is no longer a static period in ATM3.

“FT” is technically no longer a static period in ATM3, at least as we used to think of it.

I suppose you could think of each month as a little FT…???
The port sim is the combined out of sample results of the fluctuating choices made using dynamic periods ending prior to each month (the “BT”).

Does that help, or have I just mucked it up?
Mark


[Edited by mholstius on 2/14/2020 4:51 PM]

Attached file : ATM3 BT.png (26KB - 104 downloads)

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