Consolidated Signals

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Consolidated Signals 2017-03-03T15:29:31+00:00
  • Author
    Posts
  • Alexander Horn
    Keymaster
    Post count: 263

    Please share any feedback, further enhancements or error you might encounter.

  • William Keys
    Participant
    Post count: 3

    Alexander….

    I seem to be able to access the Consolidated Signals Tool only from your email of today. I would have expected a link to it on the Custom Portfolio Builder page. What am I missing?

    Thanks,
    William Keys

    P.S. This looks like a great enhancement.

    • Alexander Horn
      Keymaster
      Post count: 263

      Hello William, have now added the links, thanks for the testing and feedback.

  • Sunil Bhatia
    Participant
    Post count: 25

    This consolidated signals tool (in pie-chart form) is a great addition to your subscription service along with the Custom Portfolio Tool.

    Once I choose 4 strategies and allocate the percentage to each strategy, will this tool automatically update the allocation percentages for various ETFs overnight tonight, when the signals for September come out?

    Thanks.

  • Alexander Horn
    Keymaster
    Post count: 263

    Hello Sunil,

    the allocations to the ETF will be updated automatically by tomorrow morning US time, you´ll see them for breakfast.

    For the time being your individual allocations to strategies are NOT updated, you´ll have to quickly type them in again. That´s a feature for the next release.

  • John Lawson
    Participant
    Post count: 3

    I really like the portfolio builder and signal consolidation tool. This is a great enhancement to the service. It will personally help me each month. I’ll let you know if I have any questions as I work through it.

    Is there any update on the progress of the monthly switching strategy you’ve been working on?

    “Switching to the fastest horses in our stable of strategies once a month?”

    • Alexander Horn
      Keymaster
      Post count: 263

      We figured out that there are so many possible monthly switching strategies (aka metastrategies as we´ve called them before) that we´re thinking to rather release our QuantTrader software at a more accessible price to retail investors.

    • Ivan Fisher
      Participant
      Post count: 38

      As a small “retail investor” I would be interested in QuantTrader if the pricing was attractive. But living in Australia, it also costs 25% extra due to our FX

      thanks
      Ivan

  • Nelson Brady
    Participant
    Post count: 5

    Could you add the CAGR for selected strategy? Actually all of the metrics would be useful but CAGR is the one I most want.

  • Alexander Horn
    Keymaster
    Post count: 263

    Hello Nelson,

    the CAGR of your selected strategy or portfolio is visible on the Portfolio Builder page, here it´s rather only the signals.

  • Michael
    Participant
    Post count: 2

    Consolidated allocations for Max Sharpe total more than 100%; actually about 106%. This tool worked OK last month so a bug must have recently crept in. Thanks for taking a look.

    Second consolidated allocation I looked at, Max 10% Volatility, totals 107%.

    Mike Begley

    • Alexander Horn
      Keymaster
      Post count: 263

      Hello Michael, thanks for the note. You are right that the allocations for Max Sharpe add to 106.7%, but thats actually ok and not an error. The leveraged BUG is all in this month with 197%, and with 6.96% allocated to this strategy the total allocation is above 100%.

      You could certainly reduce it down to 100% if your account does not allow margin.

  • Michael
    Participant
    Post count: 2

    Thanks Alex. I did resale back to 100% as my tax deferred account does not permit leverage.

  • Richard Runkles
    Participant
    Post count: 1

    Looking at the portfolio options for the online optimizer page on the website, there are some portfolios with a “Lev 2” preface. For example, “Lev 2:min volatility” portfolio is listed separately than “Min Volatility” portfolio. What is the difference between these portfolios? What does “Lev 2” mean?

    • Alexander Horn
      Keymaster
      Post count: 263

      The “Lev 2” portfolios are 2x leveraged, that is, using a 200% allocation. All others use a 100% allocation.

  • Howard
    Participant
    Post count: 6

    I am currently setting my custom portfolio to have 50% max yield which requires rebalancing every other week and 50% gold-usd which requires monthly rebalancing. On a consolidated basis, should I only rebalance the max yield every other month and the other strategy monthly when the signal comes OR should we rebalance all strategies monthly? Thanks in advance for your advice. Happy holidays.

    • Vangelis
      Moderator
      Post count: 119

      Hello Howard,
      On a strategy level, you should rebalance MY twice a month and GLD-USD monthly (when respective signals are posted).
      On a account level, you can rebalance the 50/50 allocation of your capital to each strategy as often as you wish.
      Our experience is that rebalancing across strategies more often than once a month is an overkill.
      Let me know if this answers your question.

  • Howard
    Participant
    Post count: 6

    Thanks Vangelis. Broadly speaking, I am trying to construct a portfolio for 2017 using ~2-3 strategies. While the custom portfolio tool / consolidated signal is very helpful and powerful as it shows us the model risk/return of various strategy composition, I am trying to get a better understanding on the p&l driver for each strategy, i.e., what market will make a strategy works and what environment will make it not work as well until market normalizes. I have read the white paper, and read some of the forum posts, but would love to hear your advice on how best to get a better understanding on this.

    For instance, 2015 was a tough year for various strategies given the macro events that drove volatility, especially the August 2015 cny depreciation sell off. Why is that? Is that because such events make momentum gauging difficult? I remember Alex mentioned that in one of his responses. But would love to hear your thoughts further. 2017 could be a bumpy ride given rates vol, various geopolitical events coming up etc.

    In addition, would you recommend sticking to a fixed allocation to each strategy for an extended period of time based on user’s risk appetite as opposed to keep playing with the allocation say every month or two?

    Thanks,
    Howard

  • Raymond Capozzi
    Participant
    Post count: 3

    Is this an error?
    * ZIV is quoted by Yahoo on Dec 31 as having closed at on Dec 30 at $46.54.
    * The LogicalInvest “Consolidated Allocations for selected Portfolio” quotes ZIV at $44.46.

  • Ritter
    Participant
    Post count: 10

    Hi Howard,

    I am sure the powers that be will answer you. I will give you a quick opinion and say that if you wish to use say the 3 best strategies each month then you can do so by building it up in the quant software they have released. Basically set them all up and each month it will pick the best performing strategies and you can then allocate to them!

    If you want to stick to a fixed strategy and mix 3 then in my opinion looking for diversity instead of trying to predict (which is impossible) might be a good idea.

    Joachim

  • Sunil Bhatia
    Participant
    Post count: 25

    The tool is not working this morning. Please fix.

    • Alexander Horn
      Keymaster
      Post count: 263

      Sorry, the site was sometimes a bit overwhelmed by the many access. Should be working now.

  • aw
    Participant
    Post count: 3

    This page, as helpful as it is, confuses me. Are the consolidated signals available without subscription now? I do see the most up to date signals of Dec 30, 16 without being logged in. So what’s the advantage of having a subscription?

    • Alexander Horn
      Keymaster
      Post count: 263

      Thanks for the hint, clearly not our intention! We´ve fixed it, now again only “All Strategy” Subscribers can see this page. Must have been a bug from some updates we did over the holidays.

  • Greg Meyer
    Participant
    Post count: 3

    When i select the 15%DD the pie chart shows 4 strategies but the details show also the GMRS strategey. Also the GMRS strategy is misalligned in the table? Which one is correct – the pie chart or the table?

    based on the email that went out it looks like maybe the GLD strategy should not be in the table? Please let me know.

  • Greg Meyer
    Participant
    Post count: 3

    It is showing correctly now in the table – never mind i am good.

    • Alexander Horn
      Keymaster
      Post count: 263

      Hi Greg, give the tables and charts some seconds to update. GMRS 6.65% is correct.

  • Richard
    Moderator
    Post count: 18

    Hello LI,

    FYI — It seems that the Consolidated Signals application is not fully rendering its results properly. Note the last 3 columns are not rendered after allocation updating.

    • Alexander Horn
      Keymaster
      Post count: 263

      Thanks Richard, fixed it, seems there is a problem with Yahoo, so will use Google Finance until fixed.

  • reuptake
    Participant
    Post count: 31

    It’s impossible now to enter numbers which are not integers. Could it be enabled (in my portfolio I have allocations like 12.5% and so on)?

  • Richard
    Moderator
    Post count: 18

    Hello Alex,

    It looks like Consolidated Signals is not properly rendering the results once again.

    Regards, Richard

  • Greg Meyer
    Participant
    Post count: 3

    Hello Alex,

    This is not working if you select the 15% draw down – only 2 symbols are showing up right now for me.

    thanks
    Greg

  • Richard
    Moderator
    Post count: 18

    Hello Alex,

    The problem seems intermittent. Earlier It failed to render fully, then it did so, then it failed again. On the last test, I waited a few minutes and the screen filled out. Hope these symptoms help you find the culprit code.

    Regards, Richard

  • Alexander Horn
    Keymaster
    Post count: 263

    Sorry to Everybody, we’re having a hard time with the Online Consolidation Tool today. We´re having constant issues with the data provider, which leads to missing data in the tables.

    If you experience this, please try hitting “Update Allocations” a second time some seconds after an incomplete table being rendered. As a safety rule, please also always confirm market price and the resulting dollar and share allocation.

    Should the problems persist, please use the offline tool from here: https://logical-invest.com/blog/strategy-signals-simple/

    We are trying to fix this as soon as possible and looking into a more permanent fix also.

  • Michael Puchtler
    Participant
    Post count: 3

    Hi – I noticed specifically that the $ZIV price is wrong. Thanks.

  • Alexander Horn
    Keymaster
    Post count: 263

    The Online Consolidation Tool is now back to normal, once again sorry for the inconvenience this week! Symbol quote prices are now updated once every hour, instead of realtime for each query. The resulting deviation in prices and shares should in practical terms not have any impact, but the tool is now much more stable and faster. Hope this is ok for everybody.

    Please let me know if you still experience any issue or have further comments.

    • ben123789
      Participant
      Post count: 4

      Hi, referring to the online consolidated tool I noticed that the signal is calculated once every 2 weeks or so. Is there one that uses most recent price to give the most up to date signal? This might or might not be very important during more turbulent markets.

    • Alexander Horn
      Keymaster
      Post count: 263

      Hi Ben,

      actually prices are updated once an hour, for example last update for SPY was at 9:49 CST with $247.6, and in consequence $$ and shares to hold vary. The allocations for each strategy at ETF/stock level are updated according the the signals we send out, e.g. MYRS bi-weekly, other monthly. What is not changing in line with the Markowitz MPT are the allocations at portfolio level, e.g. among strategies.

      Important that you look at the % allocations between strategies and at ETF/stock level at each rebalance date – bi-weekly if MYRS is involved, monthly if only othr strategies. The $ and shares obviously change with every underlying price move once an hour, but that does not mean you should follow these in your portfolio

    • ben123789
      Participant
      Post count: 4

      Ok thanks for the clarifications. I understood that the prices can be updated every day and thus the changes to the amount of shares. What I’m interested in is to get the latest signals based on the latest price actions. I’m new here so I’m hesitant to use the signals since some are almost a month old.

      But is it possible to get signal based on latest price data by using the QuantTrader program?

    • Alexander Horn
      Keymaster
      Post count: 263

      Hi Ben,

      the prices are maximum one hour “old”, they are automatically updated. My comment was regarding the performance table of the strategy, this is only showing weekly performance.

      And yes, QuantTrader also allows you to updates prices daily, or even intraday. See latest version here: https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader500S.zip

  • Sunil Bhatia
    Participant
    Post count: 25

    Online Tool is down.

    • Sunil Bhatia
      Participant
      Post count: 25

      And the few times it is working it is not behaving i.e, showing incorrect results. For example, it is not showing any allocation to ZIV despite the fact that I have allocated 15% to Max. Yield strategy. Please help resolve this

    • Alexander Horn
      Keymaster
      Post count: 263

      Ay carramba, good thing is I learned public appologizing back in Japan. This fix should be the final.

  • Nelson Brady
    Participant
    Post count: 5

    A slick enhancement would be to use google’s real time stock price tools or equivalent so that when using the interactive allocation tool for custom portfolios the prices would be current instead of previous day close.

    • Alexander Horn
      Keymaster
      Post count: 263

      Hi Nelson, thanks for the recommendation. I used real-time data before, but that caused the problems two weeks ago. Currently prices are updated once an hour during market hours or close prices once markets are closed, so should not cause any real deviation.

  • Thomas Rennard
    Participant
    Post count: 2

    Dear Alexander,
    This may seem simplistic but can a general risk level be applied to the Custom Portfolio options the way you do when describing your individual strategies ? For example when reviewing the BUG on its strategy page it has a ‘half pie” chart which ranges from lowest risk on the left to highest risk on the right. How would such a half pie chart apply to say Maximum Sharpe , Minimum Volatility and the rest of the choices under Portfolio Options at the top of this page.

    Thanks,

    Tom Rennard

  • Alexander Horn
    Keymaster
    Post count: 263

    Hi Tom, the risk gauge on the individual strategy pages is based on volatility since inception, so rather straight forward. See little “?” close to gauge chart, for example here:

    <8% - Dark Green
    <15% - Light Green (average long term bonds 20 yrs)
    <20% - Yellow (average S&P500 over last 20 yrs)
    <30% - Orange
    >30% – Red

    So in the Portfolio Builder:
    MaxSharpe, MinVol, Max Vol <7% would be dark green,
    Max Vol <10%, Lev Min Vol, Max Vol <15%, Max DD < 15 / 10%, and Lev Max Sharpe would be light green, and if I see correct, all others would be Yellow (so still at or below the historical volatility level of the S&P 500).

  • Calvin Elmore
    Participant
    Post count: 2

    In constructing a custom portfolio, it appears that I need to determine ahead of time 1) the meta strategy, and 2) the resulting mix in terms of CAGR, Volatility, Draw down and Sharpe. Then allocate across the strategies to comport with the meta strategy and mix goals.

    Is the the right approach?

    Cheers! Cal

    • Alexander Horn
      Keymaster
      Post count: 263

      Hi Cal,

      yes, the approach we suggest is:

      1) Have a look at how strategies work, which ones do you feel comfortable with fundamentally?
      2) Try the different “preconfigured” Markowitz optimized portfolios to understand the mechanics and get a grip of what kind of portfolio best fits you?
      3) If you want, customize your own portfolio, or stick with one of the options.

      –> Done, you got your portfolio. Now each month simply run the consolidated signals for your portfolio, rebalance and enjoy your day. With some practice this should not take more than 15 minutes a month.

  • Sunil Bhatia
    Participant
    Post count: 25

    The Signal Consolidation is a wonderful tool, which I use every month.

    I am noticing a bug this month. The online tool is defaulting to $100,000 and not accepting input. For example, if you enter $256,000 (in input USD to amount to allocate) it still calculates all the allocations for $100,000 total portfolio.

    Can you please fix this?

    Thanks for your help.

    • Alexander Horn
      Keymaster
      Post count: 263

      Hi Sunil, glad you like the tool!

      Fixed the bug, thanks for letting me know. Literally were running “out of memory” today, so many people are using the tool recently.

  • David Gresens
    Participant
    Post count: 1

    When we receive signals for 3x ETF’s – am I understanding properly, that we need to scale that down to equate to a non leveraged version? Or do we implement the trade with the full 3X leverage, and indicated share sizes corresponding to the trades? (Not interested in risk tolerance – etc, just the concept of implementation).

    Thanks,
    Dave

  • Sunil Bhatia
    Participant
    Post count: 25

    Has this tool been updated for June selections yet?

  • Vangelis
    Moderator
    Post count: 119

    We have to wait for the cache to clear as the new signals are not showing up here, yet. You can use the individual signals to get the allocations and the excel consolidation tool to calculate shares.

    • johannes.bruski
      Participant
      Post count: 2

      Dear Vangelis,

      do you have any idea when that will be case – it is not possible to calculate e.g. the maximum Sharpe lev. portfolio from individual signals. Or at least I do not know how to do this online.

      Best regards,

      J

    • Sunil Bhatia
      Participant
      Post count: 25

      Disappointing. Cache should be cleared by you a day ahead of rebalancing day, right?

  • Vangelis
    Moderator
    Post count: 119

    Joahannes,
    Alex may need to take a look at this. He’s on U.S. time.
    You can also use the portfolio builder tool, although it is fairly complicated if you are using it for the first time.

  • Vangelis
    Moderator
    Post count: 119

    It has been fixed. It was not a cache issue.

  • reuptake
    Participant
    Post count: 31

    Minor bug in Excel Consolidated Signals Tool: P4 should be SUM(P7:P160) – it’s P7:P159.

    • Vangelis
      Moderator
      Post count: 119

      Thanks. It’s been fixed.

  • reuptake
    Participant
    Post count: 31

    Also: please set O and P columns to at least 2 decimals. It’s misleading sometimes.

  • Levi Breidenbach
    Participant
    Post count: 2

    When will US Sect strategy be incorporated into excel consolidation tool? Maybe I don’t have the latest tool. What is the link to always the latest excel tool? Seems I never know if I’m working with the latest version?

  • Vangelis
    Moderator
    Post count: 119

    The Excel consolidation tool is updated monthly with the signals and now includes the U.S. sector You can find it here, under downloads -> “Consolidated Signals for June 1 2017” at

    Strategy Signals Simple

  • Levi Breidenbach
    Participant
    Post count: 2

    Hi Vangelis,

    Thanks for the reply. I have the latest version and on the Solver sheet I see USSECT available as the last T/F choice.

    On the Input sheet showing performance, I do not see the USSECT?

    • Vangelis
      Moderator
      Post count: 119

      Ah! You mean the portfolio builder Excel. Yes, the U.S. sector has not been incorporated as of yet. We will try to add it this coming month.

  • Tony Walker
    Participant
    Post count: 5

    There appears to be an issue with refresh data in the portfoliobuilderexcel spreadsheet. Just refreshed data and Nasdaq100 pulls blanks.

    • Alexander Horn
      Keymaster
      Post count: 263

      Thanks for letting me know Tony, a script was halted, fixed now. Btw, and you´ve probably seen already, the Excel portfolio tool now pulls the US Sector strategy.

  • Tony Walker
    Participant
    Post count: 5

    Thanks Alex, Please could you post the download link for the Excel portfolio tool with the US Sector Strategy included.

  • Alexander Horn
    Keymaster
    Post count: 263

    The US sector should pop-up in the list once you update the data. What I still need some days to finish and verify are the re-optimized portfolios. This will only happen after July rebalancing, so everybody can review with time.

  • Tony Walker
    Participant
    Post count: 5

    Updated but still have issue with Nasdaq data.

  • Alexander Horn
    Keymaster
    Post count: 263

    Tony, by reloading the data for the Excel portfolio tool from our server now Nasdaq and US Sector data should be fine.

  • jmccarrell
    Participant
    Post count: 2

    The Consolidated Signals display for 15% max volatility creates a table with missing columns for DBAP.
    This renders the form fairly unusable.

    To reproduce:

    1. go to Consolidated Signals page
    2. put in an amount and email address
    3. Choose “Max 15% Volatility”
    4. Choose “Update Allocations”

    See the resulting tables have rows for DBAP that are missing data. (see attached)

    Please let me know when this is working so I can update my allocations for July.

    Attachments:
    You must be logged in to view attached files.
    • Alexander Horn
      Keymaster
      Post count: 263

      Update @ 9pm: Ticker is fixed, now displaying correctly.

      —————————————

      Ok, seems there is an issue with this ticker, will fix by end of today. Sorry for that, Alex

    • daniel morton
      Participant
      Post count: 6

      Hi Alex,

      I don’t think the weighting is correct. I tried Min volatility with $100K and the numbers add up to $87K. I changed the amounts and changed strategies and then re-entered the min volatility. I exported to excel etc… I don’t know if you can put a check that the amount entered equals the sum of the value. Thanks for looking into.

      Daniel

    • jmccarrell
      Participant
      Post count: 2

      Daniel: as an FYI counterpoint, the allocation numbers do add up to the target I specified, so I cannot reproduce what you report.

      I have seen a long (maybe 5 seconds) lag between UI gestures and when the display updates, and certainly the user interface here does not do a great job of letting you know when the numbers in the table reflect the parameters.

      HTH

    • Alexander Horn
      Keymaster
      Post count: 263

      Jeff, agree, it seems to be slower as normal and had a lot of folks using it last days. Probably need to find a way to speed it up, and enhance confirmation message when allocations are updated. Will get started..

    • Alexander Horn
      Keymaster
      Post count: 263

      Hi Daniel, the allocations are correct. The Bug Permanent Portfolio this month is only 73% invested (SPY 26%, PCY 21% and CWB 26%), with the BUG being 47% of the MinVol Portfolio this results in 87% overall allocation, rest in cash, or you leverage all up to 100%….

      P.D. Might the bug be smelling something? Just wondering..

  • daniel morton
    Participant
    Post count: 6

    Hi Daniel, the allocations are correct. The Bug Permanent Portfolio this month is only 73% invested (SPY 26%, PCY 21% and CWB 26%), with the BUG being 47% of the MinVol Portfolio this results in 87% overall allocation, rest in cash, or you leverage all up to 100%….

    P.D. Might the bug be smelling something? Just wondering..

    Thanks, I thought there was always an ETF for cash.

  • Nelson Brady
    Participant
    Post count: 5

    I am in the MYRS and UIS 3X. Both typically have some TMF in them. Since I adjust TMF for the MYRS twice a month might I just as well adjust it for UIS also or is it better to try to keep them separate (kind of a pain)?

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