Home › Forums › Logical Invest Forum › Backtesting with fundamental data and Strategy
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- 05/17/2019 at 6:35 pm #64255williamParticipant
Can quantrader Pro backtest using fundamental data (PE, EPS, etc.)?
Once strategy is created, how can I implented it in production?For the sixteen strategies on the website, how often do we get the signal or need to rebalance the portfolio?
Is the maximum drawdown posted based on the daily performance numbers (daily peak to valley)?
Can the daily performance numbers be downloaded to excel?Thanks.
06/01/2019 at 7:41 am #65115Alex @ Logical InvestKeymasterHello William,
All our portfolios are fixed-weight blends of the strategies. So instead of subscribing to several portfolios, you can mix & blend one portfolio from the underlying strategies. That’s easier to track, see here how to create your very own custom portfolio: https://logical-invest.com/create-portfolio-of-portfolios-portfolio-builder/
Correlation: The correlation among the portfolios and to market proxies differ on the timeline depending on the allocated strategies and their ETF. For example when there is a long-trending uptrend in equities the portfolios also allocate more to equities, thus the correlation to let’s say SPY is relatively high – once the trend breaks or markets turn then the portfolio allocates to safe havens thus correlation is lower.
Here as example the 60 day rolling correlation of our medium risk portfolio vs the S&P500, you see how it oscillates between close to 1 (fully tracking) to -0.2 (inverse correlation):
Do the three core portfolios use the same symbol set? No, they use different strategies with different ETF subsets, see the description and allocations
Should I include more strategies/portfolio to the above three? You can blend in additional strategies into your custom portfolio, see link above
How often do you post more models and portfolio? Normally we publish 2 strategies per year
Will you be working on market neutral models? Yes, but market neutral in the sense of better hedges, not long/short same indices/sectors. - AuthorPosts
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