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Overwhelmed by OmniVest
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ThomasHelget
Posted 3/20/2013 6:19 PM (#4403)
Subject: Overwhelmed by OmniVest



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Jim:

OK, I'll get the ball rolling. I have to admit I was an "early adopter" of OmniVest.

I will also have to admit that I still am unsure as exactly how to compound Strategies into a usable Portfolio to put into a usable Account.

That is not to say that I haven't done it, but I really don't know what I have in hand. I thought I was making a Portfolio that would likely trade once or twice a day, but checking in today to my Account I see that only one trade (on GOOG) should have been executed today and that the last recommended trade in the Account was on March 8th - nearly two weeks ago.

So, I am hoping that someone can present me with a reasonable rationale on just how to combine Strategies into a Portfolio into an Account.

And, yes, I have watched some of the training videos and thought I followed them. And, yes, I know it is all relative as to your investment goals.

But right now I feel that I haven't a clue as what to do. And, having been a OT/VT user for the last 10 or more years you would think I would feel right at home. But I feel like I am in a foreign land. And, if that is so, what will a new novice user of OmniVest think - that he is on another planet in another galaxy in another universe?

So, I would appreciate any help or suggestions anyone might proffer......

Thread moved by JimDean on 8/4/2014 9:25 AM from Nirvana Club (members only) > OmniVest & Trade Processor > Overwhelmed by OmniVest

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LarryLuck
Posted 3/20/2013 8:59 PM (#4405 - in reply to #4403)
Subject: Overwhelmed by OmniVest


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I've been experimenting with OV and have developed some good portfolios mostly by trial and error. One was formed by downloading the strategy characteristics - hit rate, CAR, MDD, etc into Excel. I added an extra column for CAR/MDD and sorted for largest values. Then I created a portfolio by using the top 10 strategies. When I ran the simulation starting Jan 1, 2007, OV run up a 100K account to $820 K, w/o using margin and with a MDD of less than 10%. Not a bad starting place for further refinement. Equity graph is attached below.

(OV equity curve.png)




Thread moved by JimDean on 8/4/2014 9:25 AM from Nirvana Club (members only) > OmniVest & Trade Processor > Overwhelmed by OmniVest


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ThomasHelget
Posted 3/20/2013 9:19 PM (#4406 - in reply to #4405)
Subject: Overwhelmed by OmniVest



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Larry:

Well that's the thing.

I did what you did (maybe a bit less successfully) and turned 100K into over a mil from 1/3/2000 with an average of 32 or so trades per month as shown below.

But, when push came to shove, well, look at the pathetic number of trades actually generated recently in the second screen shot!

What gives?

I mean where have the trades been for the last two weeks?

(Account Two.png)



(Current Situation.png)




Edited by ThomasHelget 3/20/2013 9:21 PM


Thread moved by JimDean on 8/4/2014 9:25 AM from Nirvana Club (members only) > OmniVest & Trade Processor > Overwhelmed by OmniVest


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LDNewby
Posted 3/21/2013 2:44 AM (#4407 - in reply to #4406)
Subject: Overwhelmed by OmniVest



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Tom
My guess is that nothing is wrong. Your running a fairly low TPM (Trades Per Month) account. Also, it looks like your simulated equity cure is actually flat for the last month or so (its hard to see - suggest that you look at it for the past 1 and 3 months). The flat curve probably means that the systems that you picked are designed to stay out of the market in unfavorable conditions - which is a good thing.

I remember a quote from Emilio Tomasini . He is a systematic guru of sorts. He actually advises Hedge Funds on quantitative trading development. He is also one of two authors of the book "Trading Systems: A New Approach to System Development and Portfolio Optimization".

He was interviewed in a Traders magazine fairly recently. You can probably find it out on the internet. The article was titled "Systematic Trading: Myth or Reality". This is what he says about equity curves, I quote

" The myth of the steadily growing equity curve without
drawdowns or strong volatility of any kind is a phantom. The question
that one must answer is totally different: can I see and compare the
equity line of a trading system applied to real money for at least 4 to 5
years with the equity line of historical testing of the same system?
Unfortunately, only in the very rarest of cases. And, on those rare
occasions, you will notice that the “real” equity curve is always irregular,
with long static periods, peaks and pullbacks that never occur in
theory. I do not trust a trading system that shows a linear or even
worse an exponentially growing equity curve. I concentrate exclusively
on trading systems that have a stepped profit curve. A stepped curve
means that at most times the equity line moves horizontally because
the system is not in the market. That means the system has a
mechanism to judge when it is right to trade and when it is not. That
kind of system with a stepped, imperfect equity curve can be
integrated well into a system portfolio. It will usually contribute to
satisfactory portfolio equity growth. I remember in 2001 how a few
programmers ecstatically plotted an equity line for a couple of intraday
systems based on the DJ EuroStoxx 50 future. How happy they were
as they stared full of awe at the equity line. They looked as if Raffaello
had drawn them. Just two years later these systems just fell apart
because of the low volatility and liquidity and every systematic trader
flew out of the market. But the programmers fine-tuned the code
down to the last detail. They polished it to exasperation. A concept
that could be summarised in two lines of code would be turned into a
terrible ordeal with pages upon pages of code; all for nothing. It ends
up becoming pure intellectual masturbation, totally useless and
potentially destructive. " end quote

I assume that its okay to post the quote.

LD


Thread moved by JimDean on 8/4/2014 9:25 AM from Nirvana Club (members only) > OmniVest & Trade Processor > Overwhelmed by OmniVest

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ThomasHelget
Posted 3/21/2013 10:18 AM (#4408 - in reply to #4407)
Subject: Overwhelmed by OmniVest



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Larry:

Thanks for the information. I think my major disappointment is that there just don't seem to be a lot of trades recently. After all, I opted in to OmniVest to trade. I don't recall being especially fussy about staying out of the market and I thought that the anticipated 32 trades a month were quite enough to handle manually. I also had a very low drawdown on the Portfolio which might also be not allowing some more riskier trades.

Thread moved by JimDean on 8/4/2014 9:25 AM from Nirvana Club (members only) > OmniVest & Trade Processor > Overwhelmed by OmniVest

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LarryJohnson
Posted 3/21/2013 11:11 AM (#4409 - in reply to #4403)
Subject: Overwhelmed by OmniVest


Tom, have you looked at the Demo portfolio? It has eight opening positions on 3/11,15,20 and 21. I know you know all this stuff but I found that some of the account settings can really shut off trades. I too am in a bit of a quandary concerning Omnivest. I started looking at the Demo portfolio and since I am trading in an IRA needed long-only strategies. I modified the Demo portfolio which has nearly the same results and saved it as another portfolio which I am using for trading. That portfolio hasn't traded since the 15th but is a 94TPM portfolio. It is a little disconcerting that the open positions in the Demo portfolio has six losers out of eight open positions at this time and the Demo portfolio set to long only has 8 for 8 losers. I know this sort of thing happens if you follow a system but it takes some faith and with it being new it may take some time to develop some confidence. I'm with you there, Tom. I'm just going to close my eyes and pull the trigger and hope I don't have too many duds. That's easy to say right now since I'm temporarily out waiting for an account transfer to GX. Sure would like to see a nice pullback during this time.
I have considered taking the shorts using options but this constitutes "tinkering" with an untested strategy and I know that is dangerous. Anybody got any ideas on synthetics for the shorts in an IRA to take the Omnivest shorts?


Thread moved by JimDean on 8/4/2014 9:25 AM from Nirvana Club (members only) > OmniVest & Trade Processor > Overwhelmed by OmniVest

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MarkGerber
Posted 3/22/2013 11:26 AM (#4410 - in reply to #4403)
Subject: Overwhelmed by OmniVest



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Well, guys. . . I, too, was an "early adopter" of OV. . . know the feeling. . . still feel overwhelmed. . .

Thread moved by JimDean on 8/4/2014 9:25 AM from Nirvana Club (members only) > OmniVest & Trade Processor > Overwhelmed by OmniVest

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PaulWaijers
Posted 3/22/2013 2:23 PM (#4411 - in reply to #4407)
Subject: Overwhelmed by OmniVest



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I fully agree with the quote from Emilio Tomasini. Moreover, you do not need a lot of trades to make good money. In fact you loose a lot of money by over trading.
See attached portfolio on a fully mechanical system that buys low and sells high on the major stock market cycles.

Ideal for a 401K portfolio?, you may argue. I think it is very suitable for a long term investment strategy. I trade this strategy myself and put my money where my mouth is.
Only 4-12 new positions a year. Average duration per trade: 18 months (longs), 14 mths(shorts).
Number of trades 48-130 trades in 10 years time. 75%-80% profitable, a 3.7- 7.2 win-loss ratio and the largest loss on equity between 1% -1.5%
Starting equity 15.000.(2x leveraged) , 100.000 (unleveraged). Max consecutive losses 2-3, max consecutive wins: 7-15. Over time these statistics may vary, but not much(leveraged or not).
For Omnivest hard to beat this, although the drawdowns might scare some of you. Still improving on this strategy, but it is hard over a longer time frame, not to accept occasionally drawdowns of around 20%.
There are always anomalies, unexpected events(nature disasters, oil spill(BP)) So, they key is not to put too much of your stake in one basket and spread your risks.
Buying at the LT cycle low is preventing many unprofitable trades, hence a high number of profitable trades.

Correct it is not design for day traders, but if you are a strategic investor, and you should be for your 401K plan, with or without leverage this system makes money.
The system fully complies with Tomasini's characteristics. It is predominantly out of the market when there are no trades(see the sideways equity movements), it is in the market when there is a trend up or down.

So, there is no need people to use Omnivest and spend a lot of money on a black box system that in the long run is probably going to show cracks. The concept Omnivest is great, but I personally do not like the black box trading systems approach. Be careful out there. I personally like to know what the system does, and not to trade on a system I do not know what it does. If I can use it with my own systems that would be a great value add to my systems.

My key message is: You can design it yourself.

*** Updated on the comments received on March 21 and 22nd 2013 after originally posting this post ***

(Portfolio Simulation LT strategy.PNG)



(PS_LT_strategy_No_leverage.PNG)




Edited by PaulWaijers 3/23/2013 7:01 AM


Thread moved by JimDean on 8/4/2014 9:25 AM from Nirvana Club (members only) > OmniVest & Trade Processor > Overwhelmed by OmniVest


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Attachments Portfolio Simulation LT strategy.PNG (75KB - 17 downloads)
Attachments PS_LT_strategy_No_leverage.PNG (77KB - 9 downloads)
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LDNewby
Posted 3/22/2013 3:24 PM (#4412 - in reply to #4411)
Subject: Overwhelmed by OmniVest



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Hello Paul
Thank you very much for sharing your comments on Portfolio design. Have you ever thought of licensing your mechanical system to Nirvana. It would be a very interesting Plugin. Or perhaps an OT University course on LT Mechanical Systems would be more appropriate. Either way - I would love to be a student of your methods.

I also somewhat agree with your thoughts on Wealth Management. I believe its useful for investors to think about their assets in buckets. For simplicity - A Wealth Bucket and a Trading Bucket in this case . The strategies that are appropriate for trading in one bucket may be totally inappropriate for another bucket. What places assets into one or the other bucket? Its the normal issues ie.. risk, expected return, consequences of a lost, participation). Your Wealth Bucket are those assets that are needed to fund and sustain your lifestyle during the times when you are not working.

I believe that Omnivest is more suited for the Trading Bucket (funds with a higher risk tolerance and if lost will not affect your lifestyle). Gains made in the trading bucket are best moved systematically over to the Wealth Bucket in accordance with your trading/business plan - however intelligent people will disagree on my assessment.

Thanks again for sharing.
(For full disclosure - I am a licensed RIA- Registered Investment Advisor). My comments are in no way intended to be investment advise.

Edited by LarryNewby 3/22/2013 3:26 PM


Thread moved by JimDean on 8/4/2014 9:25 AM from Nirvana Club (members only) > OmniVest & Trade Processor > Overwhelmed by OmniVest

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JimDean
Posted 3/22/2013 4:04 PM (#4414 - in reply to #4412)
Subject: Overwhelmed by OmniVest



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I agree STRONGLY re the "buckets". And I'm NOT a licensed RIA ... so the comments are worth about as much as you paid for em ;~)

I've tried to get Nirvana to add a "peel off the winnings" mode to the OmniVest modelling ... the idea is that you pick a certain threshold in your aggressive growth portfolio ... maybe moving from $50k to $150k ... then above that point you peel off your profits into a more conservative portfolio ... or maybe $100k to $500k if that fits your pocket better ...

And when the more conservative portfolio itself grows larger, peel off some of that just to enjoy life ... or better yet, give it away so that OTHER people can enjoy life. :~)

Thread moved by JimDean on 8/4/2014 9:25 AM from Nirvana Club (members only) > OmniVest & Trade Processor > Overwhelmed by OmniVest

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LarryJohnson
Posted 3/22/2013 7:35 PM (#4415 - in reply to #4403)
Subject: Overwhelmed by OmniVest


I guess I am the dissenter here as it seems there is some "piling on" Omnivest. I don't disagree with much of what is being said but I think there are some impressions that are not necessarily true concerning the Omnivest strategies. Those equity curves are not straight and if you expand them so the detail can be seen there are significant periods of drawdown and waiting as any system does. You can also set the parameters to be in as deep as you want as far as % invested, %/trade, etc. As an Omnitrader user I have some confidence in the process because of having run and tested many similar strategies. To me, the value added is the many hours of testing and development that the Nirvana team has invested that would take me a lifetime. I'm old enough to have been burned a few times with long-term trading and market disasters and am more comfortable with shorter term trading these days.
I've seen lots of hypothetical performance reports and Omnivest is no different in that respect but at least I know what’s being used and concur with the methodology.
Today was the day. Finally got my GX account setup and funded, the trade processor running and placed the first trade (AGNC from the R1-L-ELS strategy). Had a few hiccups with the mechanics of linking accounts, etc. But that is all resolved and so far I am pleased with the way everyone and everything worked.
Tom, hope you got some trades today. Omnivest opening orders just came out and I have four new orders for Monday.
As for the “Portfolio Simulation LT Strategy”. Has this system been traded or is this hypothetical only? You say this is for a 400K (I assume you mean 401K) but you are using 2x buying power, or margin, which you can’t do in an IRA so that will change the results for that purpose. I like worst case scenarios since I seem to attract them. Starting with $15,000.00 if your worst loss of $12000+ occurred or the three consecutive average losses occurred right off the bat you’d pretty much be out of business. All I’m saying is let’s not rush off so fast for something better until it has really been vetted.


Thread moved by JimDean on 8/4/2014 9:25 AM from Nirvana Club (members only) > OmniVest & Trade Processor > Overwhelmed by OmniVest

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JimDean
Posted 3/22/2013 10:58 PM (#4416 - in reply to #4415)
Subject: Overwhelmed by OmniVest



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Larry said: "let’s not rush off so fast for something better until it has really been vetted."

Wise words. That sentiment is at the very heart of my viewpoint about OVest. Right now both the TP and OV are still in what *I* would consider "alpha" testing and development, and Nirvana's bias is to jump as quickly as possible to the conclusion that all is well.

The concept is great. The tools, once working in a bulletproof fashion and once adequate mmgmt and analysis features are added, will be quite useful. But in my mind we never really will "know" about the blackbox strategies.

Nirvana continually asserts that they don't "overtune"'the strats but I've become convinced that what they think of as tuning and what I think of as tuning are two quite different things. So, I don't expect the stats to be at all realistic of future performance. They don't have to be, for the concept to work - but just sayin'.

My anticipation, beyond the qualifiers that I just stated, is for the Elite Trader interface to be implemented. That will allow me to utilize OVest and TP as management and execution tools for MY OWN fully-understood strategies.

My advice: take it slow and steady. If you want to use OVest to trade real money, I suggest you budget your funds in the same way you might for a trip to Vegas. For now. JMHO fwiw.

Thread moved by JimDean on 8/4/2014 9:25 AM from Nirvana Club (members only) > OmniVest & Trade Processor > Overwhelmed by OmniVest

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RoyWild
Posted 3/23/2013 12:33 PM (#4420 - in reply to #4411)
Subject: Overwhelmed by OmniVest



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Hi Paul

Thanks for sharing the strategy. Very nice strategy. Currently working on my 401K strategy. Quick questions:The strategy takes trades on monthly timeframe? How do you define major market cycles?


Thanks

Thread moved by JimDean on 8/4/2014 9:25 AM from Nirvana Club (members only) > OmniVest & Trade Processor > Overwhelmed by OmniVest

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JimDean
Posted 3/23/2013 1:16 PM (#4421 - in reply to #4420)
Subject: Overwhelmed by OmniVest



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Lets keep this Thread and Room's discussions about OmniVest and the Trade Processor.

If you have other non-omnivest strategies or comments, please post them in other of the MANY Rooms in the forum.

This thread is getting very long and is not very focused anymore - it just communicates general worry. When I get the time I'll try to parse it into separate threads.


I'm going to freeze this thread to prevent further posts here ... please start up other, more specifically-titled and focused threads in the OmniVest & TP Room, so that the info can be reviewed and accessed in the future without having to wade through a zillion posts.

Thanks.


Thread moved by JimDean on 8/4/2014 9:25 AM from Nirvana Club (members only) > OmniVest & Trade Processor > Overwhelmed by OmniVest

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