automatic trade selection - nirvana systems inc. · tutorial agenda: •pre-release 2a •how ats...
TRANSCRIPT
Tutorial
Agenda:
• Pre-Release 2A
• How ATS Works
• Using ATS
• Building ATS Methods
ATS and other features have been enhanced for Pre-Release 2A.
Updating to the New Pre-Release
Run the Update 1. OmniTrader must be closed
before installing
2. Start Menu Programs OmniTrader2018 Omnitrader Updater 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.
Latest Pre-Release
A List of all changes in the Pre-Release is shown below.
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
ATS Algorithm & Methods
Updated ATS Methods:
• Reversal
• Trend Reversal
New Method:
• Trending
These new methods use will overwrite the old ones.
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.
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.
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
What is Automatic Trade Selection?
ATS is all about Ranking Signals to find the best ones. • Combines Multiple
Indicators to “Rank” Signals each day.
• Once ranked, it can Use any standard Allocation Method for the Trades.
ATS Column
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.
Using Indicators to Compare Signals
The indicator values in CERN are lower than PYPL. If the indicator values are predictive, we can use this to select PYPL over CERN.
Higher
Lower
How Indicators are Combined
100
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 * 7 + 30 * 100 = 3,630 Scores are scaled to display in the ATS column.
7
The ATS Feature
ATS defines Ranking Methods using combinations of indicators
Each Ranking formula can be defined for both Longs and Shorts
Better Trades = Better Results!
Ranking on Reversal
% of Equity (no ranking)
In the Trade Simulation, OmniTrader selects the Signals with the highest ATS values.
This can result in significantly better performance.
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.
Using ATS
Add the ATS Column to the Focus List
1. Click the Wrench icon in the Focus List
2. Select ATS (under the Profile Statistics tab)
3. Click the Add Arrow
1
2
3
Column Added
Using ATS
Activate the ATS Methods
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
1
2
Comparing Results
In the Main Menu, click: Mode ...
Portfolio Simulator
Compare simulations between the different methods.
Selected Method
Summary Tab
Selected Method Statistics
Equity Curves for all Enabled Methods
ATS Access
BEST
ATS Comparison
Hint: For a valid comparison, make sure defaults (except for Weights) are the same across all selected Methods. After you select the best method, you can further improve it through Optimization (discussed next).
Reversal Method Selected
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.
Select your Default ATS Method
Click the check box in the Default column to select the ATS method you want to use each day.
Sort the Focus List
Sort the Columns to get the Trades Ranked.
1. Double-click the Sig column
2. CTRL-click the ATS column
1 2
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
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.
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”)
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 1 100 0 0
Initialize (or Optimize) the Weights
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.
Optimize can be used to automatically calculate weights. Suggest
In the Portfolio Simulator, click a Method tab.
Run the Simulator
Click Run Analysis
Conclusion: using Relative Momentum to rank our trades is more profitable than not ranking.
Summary tab