OmniFunds

Alpha 1.0

Introduction:

This documentation is for the OmniFunds fund management prototype, running in VisualTrader 11 Professional. Here

are some important notes about Alpha 1.0:

1. A few methods are programmed, but only Strong ETFs has been developed.

The other methods will be issued in updates.

2. SDK support is not there for users yet. (expected late September)

3. Actual trading with a broker is not there yet (also expected late September)

About VisualTrader 11 Pro

VisualTrader is used as the platform on which OmniFunds runs. The primary reason we did this was to develop the

OmniFunds prototype as quickly as possible (it only took us about a month).

VisualTrader has all the supporting features, including:

1. Charting and window management features, needed to validate indicators.

2. Full paper trading support, with integrated Portfolio and Equity Curve (new in VT 11)

3. Full support for OmniLanguage

4. Indicator display in the list.

5. Full brokerage trading support (not implemented in OmniFunds yet)

6. Trade Throttle code base, making it easy to implement OmniFunds due to AutoSIM (in VT 11)

Trade Throttle?

The OmniFunds code is based on the Trade Throttle, so in this Alpha Release the Tool Bar literally says “Trade Throttle”.

This will be changed to “OmniFunds” in a coming build. In this version the actual Trade Throttle is on the same tool bar.

In this version, to activate the original Throttle click the Throttle Icon.

… Show all installed

OmniFunds

Bring up the

OmniFunds interface

(which right now

includes the Throttle)

Throttle Icon (shortcut) to

activate the Throttle

Activating and Running the Strong ETFs Example

1. Make sure you load the Profile that has the correct symbols for the OmniFund you are going to run.

For this example, click File, Open and load the profile “XRTvsXTN”

2. Click the Drop-Down next to “Trade Throttle” to show all installed OmniFunds Methods.

3. Select StrongETFs. Click OK

4. Click the “Trade Throttle” tool bar.

You should see the OmniFunds Interface. In this case, the Method is “Strong ETFs”

OmniFunds Interface for “StrongETFs”

5. Select the Specific OmniFund you want to run using the Name drop-down, in this case XRTvsXTN.

Note: Check this box to keep

it on top of VisualTrader

Select a specific

OmniFund inside

this Method here.

6. Move the start date back in the VisualTrader Simulator back to January 6, 2014 (for this example).

HINT: You can go back to the same date in subsequent runs by establishing a BookMark. To do so, Right-Click in

the Playback control, select Bookmarks from the menu, and create one at a specific date in the interface. Then,

for your next run, you just activate the BookMark by double-clicking it in the BookMark interface.

7. IMPORTANT: MAKE SURE THE OMNIFUNDS INTERFACE IS ACTIVE (click the Throttle button).

If it’s not activated, it will not take any trades. It can be minimized.

8. Click “Simulator” on the Simulator control and select “Start New Session”

9. Click NEXT in the Simulator to advance to the next bar, or PLAY to let it go by itself. As trades are executed, you

will see them appear in the Position Window. You can PAUSE the simulation, click charts, add indicators –

anything you like while the simulation is running or paused.

10. Click Account on the lower right section of VisualTrader to bring up the Account Interface. From here, you can

see all Orders, all Historical Positions, and all Open Positions while the simulation is running. Click Equity Curve

to see the simulation curve.

(continued next page)

Customize an OmniFund (or Create a New Version)

OmniFunds Interface for “StrongETFs”

Each OmniFunds has the same Setup Section (basic filters, rankers, and position controls) but a different

Symbol Selection area that defines the OmniFund (i.e., Settings that are Specific to the Method).

On the next page, we will define the Settings that are common to all OmniFunds.

Common

Settings

Settings that

are Specific to

this Method

Note: During this time the

market only had an 18%

Return and 12% Draw Down.

Common Settings

Switching Interval:

(o) N Bars

( ) Every Monday v Weekly v

If “N Bars” is selected, the program will switch every N bars, without attempting to line up on a specific day. If

“Every” is selected, it will switch on the interval and say specified. If it cannot trade on the day due to a

holiday, it will trade the following day.

[x] Close Trades at Switching Interval: If this is checked, then any open trade that would not normally be

selected at that switch point will be closed. Wouldn’t you always want this? No – if you are using a TradePlan.

In that case, you probably want the Trade Plan to exit your trades. If you are NOT using a Trade Plan, this box

should be checked.

Market Filter: This is an OmniLanguage indicator with no parameters that returns zero (“0”) if False or “1” if

True. It runs on the Market Symbol that is specified. If it is false then no new entries are allowed. A typical

Market Filter would be

C > EMA(200). {Close greater than the 200p Exponential Moving Average)

[x] Close Existing (next to Market Symbol): If Market Filter turns from True to False and this box is checked,

then all open positions will be closed.

Symbol Filter: This is an OmniLanguage indicator with no parameters that returns zero (“0”) if False or “1” if

True, running on each symbol for which a new position is about to be entered. If False, the new position is not

entered. A typical Symbol Filter would be:

C > EMA(100). {Close greater than the 100p Exponential Moving Average).

Symbol Ranking: Given N possible securities that can be traded at the switching interval, but not all of them

can be taken due to the definition of allocation, they are ranked by this OmniLanguage indicator in either

Ascending or Descending order. An example of a Ranking indicator is:

CCI(6) Ascending. {trade those symbols with the lowest values of CCI(6)}.

Max Concurrent Positions: The number of positions you allow at one time.

Allocation: This is an OmniLanguage indicator that returns a value from 0-100, indicating the % of Equity for

trade size, which is converted into shares. At this time, Margin is not allowed. Once the allocation reaches

100% of the equity in the Portfolio (Account) it will stop taking positions. If Allocation is BLANK then the

account will be divided equally among positions based on the Max Concurrent Positions setting.

Trade Plan: You can optionally specify a Trade Plan to be applied to all new positions. In this case, the Trade

Plan can dictate when the trade exits, if [x] Close Existing under Market Filter and [x] Close Trades at Switching

Interval are NOT checked. If these settings ARE checked, they will override the Trade Plan.

Strong ETFs Settings

Each OmniFund has a unique approach. StrongETFs (the first OmniFund) operates by running the ETF Selector

to determine which ETF to switch into, then uses the SymbolRanking indicator to rank the stocks within the

ETF. The highest or lowest values of the indicator (Descending or Ascending) determine which are selected for

switching into. There are only 3 unique parameters for Strong ETFs (our example method):

ETF Symbol 1 and ETF Symbol 2: The two ETFs that are used for switching.

ETF Selector: An indicator which is applied to the actual ETF symbols, to determine which one to switch into.

By default, we use Relative Momentum.

Additional OmniFunds we are working on…

StrongETFs is our first OmniFunds.

We have defined the following OmniFunds, and we are testing them now for rapid delivery.

Timing, Safety, and Trend This OmniFunds module will use 3 indicators, Timing, Safety and Trend with cutoff levels. This way, users can emphasize what is most important to them. There is also a Symbol Ranking feature, so only the strongest symbols are selected. It can be used to trade Stocks or ETFs.

ETF Selection by Components

This OmniFunds will rank the individual components of an ETF in order to rank the actual ETFs for trading. They can be

ranked on 3 separate indicators, which can be summed, averaged, or have the mean taken.

Hedged ETFs

This OmniFunds provides for lists of Regular and Inverse ETFs to be defined, and looks to constantly maintain a balance

of market-correlated and non-market-correlated exposure.

Using OmniLanguage to Modify Settings (indicators)

One of the great things about OmniFunds is that it is based 100% on OmniLanguage Indicators. This means you can

create any kind of Filter, Selector, or Ranking function you want, using the full range of capabilities of the built-in

system. OmniFunds performs the following steps to make it easy to edit the OmniLanguage:

1. When you Activate the OmniFund, it copies the current method from the /VisualTrader/OmniFunds folder to

the OmniLanguage “OmniFunds” folder. You edit the indicators, add new ones in OmniLanguage, and they will

be used. Essentially, the OmniFunds project in OmniLanguage is your “working folder”.

2. When you Close or Save the OmniFund (see buttons in interface), it copies them BACK to the original folder in

\VisualTrader\OmniFunds.

To summarize, while an OmniFund interface is up, the indicators defined for that method are loaded into the

OmniFunds Project in OmniLanguage, where you can edit the indicators.

You can even do this while a simulation is running. Just click PAUSE in the PlayBack interface, edit your OmniFunds

Indicator, compile it and then resume.

SAVE and SAVE AS

BUTTONS (for new)

OMNIFUNDS

PROJECT

(WORKING

FOLDER)

WHERE

FILES ARE

SAVED

Copy to OmniFunds Project

Copy back to OmniFunds

folder in VisualTrader

Experiencing the Power of OmniFunds

The main thing we want new users to see is just how powerful this prototype is. Ultimately, it will become a web site,

but this implementation enables us to have maximum visibility into effective switching methodologies.

Having it run in VisualTrader means you can do all kinds of things like…

Define Indicators in the OmniFunds project and Plot them. This enables you to verify that switching is

happening at the right time, and to tune the indicators. Right-Click, Add Indicator, OmniFunds, … Indicator

Plot all the open positions to see how they are doing, and why some are causing draw downs. Do this from the

Positions Window.

Sort on an indicator in the Focus List, so you can examine the relative “goodness” of symbols to establish a

Ranking function. In StrongETFs, use BOTH Mode, so it can sort the symbols in each ETF. Make sure you set

the Symbol Ranking value to blank if you want to use the Focus List for Ranking Order.

Bring up the Account interface and examine Open Positions, Closed Positions, Orders for the next bar, and

anything else in that interface, PLUS get an Equity Curve (it doesn’t update dynamically right now – we’re

working on that).

Bring up the Market to see how it is behaving relative to your switching paradigm, and identify the right Market

Filter to stop trading (and optionally exit all positions) if the Market starts to falter.

Change any Indicator, at will, before/after/during a Simulation to see the effects.

Work with list Sorts to establish symbol ranking. If no Ranking indicator is specified, it will use the sort of the

upper list in VisualTrader for the order of symbol selection. You can even change this while it’s running!

Experiment with Allocation Formulas. The default is to divide up Equity into N equal parts. But you can write

an Allocation Formula that returns a percentage, and that percentage will be used.

Experiment with Trade Plans. If you specify a Trade Plan, make sure you turn OFF the check box that says

[x] Close Trades at Switching Interval.

ALL features are available. You can close trades, move stops, add indicators, patterns, anything that VT

supports to simulate.

The time frame of the program is what is used for switching, and Real Time bars are supported. What would

happen if we switched in Real Time?

Nirvana Club Members: We just implemented ARM4 Indicators that use Neural Network blocks in Strategies to

return NN Score Values. This feature will soon be released. We think the implications of this are truly awesome!

Stay tuned for updates….