Automatic Trade Selection by Ed Downs

Transcription

1 Automatic Trade Selection by Ed Downs

2 Tutorial Agenda: Pre-Release 2A How ATS Works Using ATS Building ATS Methods ATS and other features have been enhanced for Pre-Release 2A.

3 Release Notes Pre-Release 2A

4 Updating to the New Pre-Release Run the Update 1. OmniTrader must be closed before installing 2. Start Menu Programs OmniTrader2018 Omnitrader Updater Latest Pre-Release You'll be taken to the update page. 3. The most recent update will be selected already, so click Submit. 4. Click the Install button. A List of all changes in the Pre-Release is shown below.

5 ATS Interface Improvement Now, all aspects of ATS can be controlled from Real Mode. You do not have to go to the Portfolio Simulator to change values. New option: Use In Trade Signals limits the total # of trades at any time to Max Longs + Max Shorts, as opposed to # of new trades on a given bar (un-checked). New in the interface New Option: Use In Trade Signals

6 ATS Algorithm & Methods Updated ATS Methods: Reversal Trend Reversal New Method: Trending These new methods use will overwrite the old ones.

7 New Reversal Method Indicator {weight}: 1: VTY_PRICE(14,5) {90} 2: TRII(60,40) {30} Reversal Method Ranking No Ranking (Alphabetical) * Both curves were simulated taking a maximum of one trade per day using 10% of equity.

8 New Reversal Method Taking the Best 2 trades per day * * The optimal number of trades will depend on how many Signals are being generated each day. ATS can automatically determine the optimal value for any Strategy & List.

9 Improved Automation If an ATS method is selected and the ATS column is present in the Focus List, the ToDo List will automatically run ATS and populate the column. ATS Method Selected ATS automatically calculated

10 How ATS Works

11 What is Automatic Trade Selection? ATS is all about Ranking Signals to find the best ones. Combines Multiple Indicators to Rank Signals each day. ATS Column Once ranked, it can Use any standard Allocation Method for the Trades.

12 Strategies can Filter Trades Up to now, the way we improved results was to filter trades out that did not meet a condition Close above EMA C > EMA(200) Oscillator below a value RSI(6) < 20 Problem: Many Trades are Eliminated, which can reduce results.

13 Using Indicators to Compare Signals Higher Lower The indicator values in CERN are lower than PYPL. If the indicator values are predictive, we can use this to select PYPL over CERN.

14 How Indicators are Combined ATS COMBINES Indicator Formulas to create a single value. For Reversal the formulas are: F1 = VTY_PRICE(14.5) F2 = TRII(60,40) A Score is based on weighted values of the indicators using different weights Score = w1*f1 + w2*f2 We can let ATS optimize w1 and w2 to find values that maximize Ending Equity. In this case, the values 90 and 30 were found. Score = 90 * VTY_PRICE(14,5) + 30 * TRII(60,30) = 90 * * 100 = 3,630 Scores are scaled to display in the ATS column.

15 The ATS Feature ATS defines Ranking Methods using combinations of indicators Each Ranking formula can be defined for both Longs and Shorts

16 Better Trades = Better Results! In the Trade Simulation, OmniTrader selects the Signals with the highest ATS values. This can result in significantly better performance. Ranking on Reversal % of Equity (no ranking) The upper curve was created using trades selected by ATS. The lower curve selected trades alphabetically by name. Both used the same number of trades and the same allocation.

17 Using ATS

18 Using ATS Add the ATS Column to the Focus List 3 1. Click the Wrench icon in the Focus List 2. Select ATS (under the Profile Statistics tab) 3. Click the Add Arrow 2 Column Added 1

19 Using ATS Activate the ATS Methods 1 1. Click the ATS icon If you don t see it, click View Toolbars and activate it. 2. Check Enabled for: - % of Equity - Reversal - Trending - Trend Reversal 2

20 Using ATS Run Analysis 1. Run the ToDo List 1

21 Comparing Results In the Main Menu, click: Mode... Portfolio Simulator Summary Tab BEST Selected Method Compare simulations between the different methods. ATS Access Equity Curves for all Enabled Methods Selected Method Statistics

22 ATS Comparison Hint: For a valid comparison, make sure defaults (except for Weights) are the same across all selected Methods. Reversal Method Selected After you select the best method, you can further improve it through Optimization (discussed next).

23 Optimizing ATS Methods The Allocation tab on each ATS Method has optimization ranges. This enables the user to determine the best configuration (Max Longs, % Allocation, etc.) for the profile being used. New in the interface Use In-Trade Signals This option can be set to limit the number of trades taken on a given bar, or to limit all positions to a fixed maximum.

24 Select your Default ATS Method Click the check box in the Default column to select the ATS method you want to use each day.

25 Sort the Focus List 1 2 Sort the Columns to get the Trades Ranked. 1. Double-click the Sig column 2. CTRL-click the ATS column

26 Automatic Ranking If an ATS method is selected and the ATS column is present in the Focus List, the ToDo List will automatically run ATS and populate the column. ATS Method Selected ATS automatically calculated

27 Trade the Best Trades Every Day!

28 Building ATS Methods

29 Building Your Own ATS Methods It s easy to create your own methods. 1. Click NEW on the ATS Interface. 2. Name the method, select an Allocation Method and click SAVE.

30 Add Ranking Formulas 3. Click Add, name the Ranker and click OK.

31 Add Ranking Formulas 4. Add an indicator formula (you can use Formula Builder to do this.) In this example, we used Relative Momentum In this case, we chose RELMOM(200, SPY )

32 Set Allocation Parameters 5. Click the Allocation tab. 6. Establish values - % of Equity - Max Longs - Max Longs% - Max Shorts - Min Longs% 7. Click Save Suggest 10 Suggest

33 Initialize (or Optimize) the Weights In the Portfolio Simulator, click a Method tab. Optimize can be used to automatically calculate weights. Suggest Weights will be zero on new indicators and need to be initialized to a value. ALTERNATIVELY, the Optimize column can be checked to have the program automatically determine the best Weight.

34 Run the Simulator Summary tab Click Run Analysis Conclusion: using Relative Momentum to rank our trades is more profitable than not ranking.

35 Automatic Trade Selection by Ed Downs