- 03/30/2017 at 2:22 pm #39984
A recently added feature which is very handy, but probably we´ve not highlighted enough is the option to pull intraday prices into QT.
Why is this handy? Because it allows you to execute your rebalancing at-close with “fresh” intraday strategy signals.
For example tomorrow, March 31st, 2017, you can refresh intraday prices at 2pm EST, and comfortably execute before close of the markets – and relax over the weekend, while we cut signals for our non-QT subscribers.
Here a short instruction:
1) Open QuantTrader
2) Reload the Historical Data
3) Verify the intraday prices in the “Show Stock Data” window of the Trader window.
4) If you like, compare to Yahoo Finance prices.
Your strategy signals now consider the last intraday prices.
Warm and cozy feeling – powered by Logical Invest!
All the best,
Alex07/28/2017 at 8:33 am #44139
Hi All, I’m new to LI and haven’t had the chance to review the QuantTrader software yet. I’m wondering if that software can give a more up to date signals for all the quant strategies provided here? Other than the prices and the corresponding quantities, I was told that the signals provided on the online consolidated tool are updated only once or twice a month but I’d like to find a more real time signal if possible. Thanks.
EDIT: it seems that my question might’ve already been addressed by the posting above this one.08/14/2017 at 4:20 am #44590
where can I set leverage in Quant Trader? Usually I am trading with leverage 1:2. I am using your strategies and I am creating multistrategies from them. Have I to set it for each ETF individually or it is a way to set leverage for all strategies?
Petr08/16/2017 at 5:03 am #44652
there is no direct way to set leverage in QT. Easiest is to upscale the allocations outside QT before doing your rebalancing.
For example, if you´re using strategy A with 60%, B with 80% and C with 60% (total 200%), then you´d use 30%, 40% and 30% in QuantTrader (or let QT decide dynamic allocations), and double the allocations at ETF level before rebalancing.08/21/2017 at 9:06 pm #44791
Hello Alex, would it be possible to publish the QuantTrader setting for all of the base LI strategies similar to what Tom Gnade published in his excellent Morpheus paper? As I’ve worked in QT, I’ve changed the settings on some of the base strategies and cant figure out a good way to get back without reloading and starting over. If there’s an easy way to get back, perhaps you could point me in the right direction. Thanks for the help
Best regards, Mark08/24/2017 at 4:11 pm #44862
I am curious if any one else is having the same issue as me. I have 3 different equity strategies and one bond strategy. I would like to backtest a combination of all four strategies with the model rotating between 3 of the four strategies but always be at least 50% invested in the bond strategy. When i click on components in the portfolio manager and go to min allocation for the bond strategy I put in 50% but this does not hold true in the back tester.
Does anyone know why or how to fix this?08/24/2017 at 4:19 pm #44865
pretty impressive list of custom strategies in your screenshot, congrats! Did you yet hear about our “Post One – Get 10 back from the community” promotion?
Sounds simple, but can you try activating the check box at the min 50% allocation? Normally this option works like a charm. Or pls send me your ini file by email to see in detail.08/24/2017 at 4:22 pm #44866
Hi Mark, simply download a fresh QuantTrader install and look at the setting and the included ini file. These include always the current parameter settings for all of our strategies. You can always keep different QT configurations and ini files in separate folders, e.g. one as playground, one for final testing and one for “production”.
Hope this helps08/25/2017 at 3:41 pm #44887
I tried to click the check mark but it still does not work. When I click the check mark I click save and then see if it has updated on the backtester. After checking the backtester I open up portfolio manager again to see if the “Min Allocation” box is still checked and it is not.
Any idea why it is not saving? Even when I click save.
Thanks08/28/2017 at 2:46 pm #44956
Yes, seems to be a technical glitch in recent version, worked fine in all V30x, so please try this one – but might encounter issues due to later implemented functionalities you´d be using.10/28/2017 at 6:49 pm #47005
On the main portfolio screen under Allocations, what is the difference between the Actual & Invested tabs? The Alloc. % changes with the tab.
Thanks11/01/2017 at 9:59 pm #47208
The “Invested” tab is the past allocation, e.g. from last rebalancing. The “Actual” is the current, a.g. as you would rebalance if today was rebalancing day.02/16/2018 at 4:04 pm #50178
OPTIMIZING MEAN REVERSION VALUES FOR EQUITIES
I haven’t seen much forum discussion on the QuantTrader settings MEAN REVERSION WEIGHT and MEAN REVERSION PERIOD.
These two items have a huge impact on strategy performance. I have tried optimizing strategies using several different combinations of reversion weight and period. Some of the reversion combinations I have used are: 0.00 & 0.00, -50 & 3, -100 & 7, -200 & 15, -300 & 20 and -400 & 20, where the first number is Weight and the second is Period.
1) is there any way to have QT optimize the Mead Reversion factors?
2) if not, what setting combos do you suggest I try for equity strategies?
Gordon02/18/2018 at 2:57 am #50216
our strategies are mainly based on the modified sharpe ratio, e.g. return and volatility. Mean reversion is so far rather an add-on to catch short-term price action reversals. Interesting enough, it works both for positive and negative weights, e.g. subtracting short term “over-shoots” that might revert to the mean, but also adding short term “under-valued” which might pick-up again.
So you see how it works, the formulae is simplified: Sm = (Rl + (MRw * Rp)) / V ˄ f, where MRw is mean reversion weight, Rp the return during the mean reversion period.
To your question:
1) Currently these variables are not considered in the optimization, and probably adding them would considerably slow down the brute-force optimization, so not on the to-do list for now
2) I normally use only short term periods, e.g. 2 to max 6 days, depending on the overall lookback period. Weights mostly +100 or -100.
Honestly never tried bigger values like +/-300 weight and 20 period, curious how these work, please share further findings.02/20/2018 at 11:01 am #50274
I have found (for stocks anyway) that optimizing using a Mean Reversion Weight of -200 and a Mean Reversion Period of 15 often improves performance over leaving the Reversion fields blank.
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