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ATM Macro Micro with Breakout Package Reversal
Last Activity 10/8/2021 3:12 PM
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Jeff Brown

Posts: 28

Joined: 1/29/2008

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Subject : ATM Macro Micro with Breakout Package Reversal
Posted : 10/5/2020 1:26 PM
Post #31256

I'm catching up on a number of videos Nirvana has published over the past few months and this weekend, I reviewed the Breakout Package.

In the Breakout Package is one strategy that caught my eye -- BP Reversal. To get that strategy, you need to have the Breakout Package, but from my testing, I think it is worth it. The package includes 2 or 3 other strategies but I haven't evaluated those yet.

The setup:
I began with the 16 basic market states as defined in the ATM Macro Micro method. 16 you say, I thought there were only 9? As Mark H. pointed out, the formulas used have overlap (intentionally), so you may have a situation where both a Bear and Bull state exist simultaneously at the Macro or Micro level. I defined a macro and micro market state that I call "Uncertain". That gives us Bull, Bear, Default, and Uncertain at both the macro and micro level or a combination of 16 market states.

Using those market states as the base, I then activated only the BP Reversal strategy and ran with data from January 2007 through 9/16/2020 (my forward test period). Back test period was January 2005 through Dec 2006. The BP Reversal strategy is simply the base strategy from the Breakout Package - no modifications.

I wanted to catch a couple of market down turns -- some sideways, and some up. The only market state that wasn't observed was Uncertain/Uncertain. Some of the market states were only observed for a handful of days -- see chart below.

My symbol list is a custom list of 300 as opposed to the list provided with ATM Macro Micro. I use OmniScan to create my list. The results below are based off of a static list (not dynamic). The list was created using the state of everything as of 10/4/2020 (Sunday).

The Results:

The BP Reversal is a Long only strategy. It is also not a RTM strategy which most (or all) of the ATM Macro Micro strategies were. So, this is a good example of how a non-RTM strategy can operate with market states (but some of you probably already do this).

Here's a look at Port Sim comparing my base ATM method to the ATM method that incorporated the BP Reversal strategy for those market states that it showed as profitable from the above report.

Inclusion of the BP Reversal strategy looks to have boosted the performance significantly within the last year. The trades (found in the attached zip file) show between 2/6/2020 and 3/11/2020 show 6 out of 8 trades were a loss, but then since 3/16 it has significantly more wins than losses.

I have some more testing to do on this strategy and am running it through Strategy Wizard 5 to evaluate a few of its parameters, but it looks like an awesome strategy. I'm curious if anyone else has evaluated BP Reversal and how your results compare?

[Edited by Jeff Brown on 10/5/2020 2:20 PM]

Attached file : ATM-Macro-Micro-BP-Reversal-Isolated.png (80KB - 245 downloads)
Attached file : Analyzing ATM Market States (664KB - 67 downloads)
Attached file : PortSim-MM-with-BP-Reversal.png (104KB - 209 downloads)

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