Automatic Trade Selection by Ed Downs

Tutorial

Agenda:

• Pre-Release 2A

• How ATS Works

• Using ATS

• Building ATS Methods

ATS and other features have been enhanced for Pre-Release 2A.

Release Notes 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

How ATS Works

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

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

Using ATS

Run Analysis

1. Run the ToDo List

1

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

Trade the Best Trades Every Day!

Building ATS Methods

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

3. Click Add, name the Ranker and click OK.

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

Automatic Trade Selection by Ed Downs