- 02/23/2018 at 11:50 am #50351
Hi LI team,
I have enjoyed using QT in my trial period and have some observations:
1. I struggled to find a detailed explanation of how to interpret the QT Optimiser report (’50 shades of grey…’):
1.1 For example, I assume the red block in the report is the Optimiser’s choice of lookback and attentuator?
1.2 How do we tell if the portfolio is stable over the backtest period?
2. Do you have a link/video on how to create substrategies (along the lines of ‘the beast’ algo from Tom Gnade)?
3. For QT susbscribers, am I correct in understanding there may be the option for 1 to 1 training in Switzerland (being closest to my location in London)?
Thanking you in advance.02/23/2018 at 7:35 pm #50356
regarding 1) we´re just doing some video tutorials and will cover the optimizer in detail. Same to 2) not yet, in progress.
For 3) training, I´m sure Frank will happily meet with you when around Zurich area. But either of us can walk you through using Skype at anytime.04/22/2018 at 9:55 pm #51822
Has anyone managed to get QuantTrader to work on a MacBook? — perhaps using a PC emulator or something?04/23/2018 at 4:28 am #51832
[quote quote=51822]Has anyone managed to get QuantTrader to work on a MacBook? — perhaps using a PC emulator or something?
It runs under Parallels quite well.04/23/2018 at 9:47 am #51843
I own 2 macs with windows installed via bootcamp. QuantTrader runs fine on both. I also keep a small Amazon aws EC2 instance running windows 24/7 that I can remotely connect from anywhere and run QuantTrader (as well as other windows apps, costs around $14/month). This is good solution since you can connect from a borrowed laptop or even a smartphone and get the signals from anywhere.07/16/2018 at 10:25 am #53832
1) we´re just doing some video tutorials and will cover the optimizer in detail. Same to 2) not yet, in progress.
Regarding your Feb 23, 2018 post above….can you provide a link to any video tutorials covering optimization?
Gordon07/16/2018 at 11:11 am #53833
Sure, here full story: https://logical-invest.com/video-tutorial-quanttrader-a-complete-walk-through-for-new-users/
and here the part of the video on optimization: https://youtu.be/hYIac2PoD2Y08/12/2019 at 4:23 am #68965
We’re reopening this thread to improve the structure of the forum09/01/2019 at 7:50 pm #69971
I have been following the Strategy of Strategies under QuantTrader. In early August, I invested in the combination of the strategies MYRS ZIV-Hedged, BRS, and Treasury Hedged according to the “Actual” allocation in QT. I am positive that BRS was part of the “Actual” Strategy of Strategies. During a later QT session in August I noticed that the BRS strategy had been replaced by World Country Top Hedged. In fact now on Sept. 1st the historical allocations graph in QT shows an allocation to World Country Top Hedged rather than BRS through all of August.
Do you know what may have caused that change in the Strategy of Strategies during August? Thanks.09/02/2019 at 1:18 am #69984
to start with an explanation, the “Actual” allocation tab shows you the outcome of the algorithm as of the time when you execute QuantTrader, that is based on the latest available close prices. So this can and will change several times during the month, depending on how each single strategy performs during the month. For us it is only relevant on the rebalance day, which was July 31st, and now August 30th, the last trading days of the month.
Then the “Actual” allocations become the new “Invested” allocations, that is what is held in the portfolio for the current – and after the rebalance date – the next month.
In the web-app we only show the allocations as of the rebalance date, and not what the algorithm might have picked during the month.
As of July month-end on 7/31 the Top Strategy had allocated to the World Top 4 strategy, which are the signals we had send out, but if you looked some days later in August it may well be that during the month the algorithm would have ranked BRS higher temporarily. As most strategies are in “risk-off” mode the ranking is currently mostly about the degree of hedging in the strategies.09/19/2019 at 1:04 pm #71003
I am a European Investor and I do not have access to US Etfs and I believe per your advice that I would have to use Cfds to trade the various strategies. I can see the logic of this, however I am worried at the amount of leverage that is used by say Interactive Brokers when you buy a CFD. Your are roughly leveraged at 5/1 and only have to put up 20% of the deposit. The problem for me arises when you lose something like 10% in a month. With this amount of leverage, this amounts to a 50% loss.
Normally, you are advised when trading with CFds to set a tight stop/loss on account of the effects of leverage. Can we use stop/losses with your various strategies or it there another way to trade your strategies without having to buy Cfds.09/23/2019 at 1:48 am #71102
the best way would to apply for the status of a “professional” or “sophisticated” investor at your broker, so you can trade all US ETF without restrictions, or look for a US brokerage account. The use of CFDs is indeed a risky and expensive work-around, personally I would not trade them.09/23/2019 at 4:16 am #71108
Alexande, Thanks very much for the answer. It confirms my thoughts on Cfds. I will look into American Brokerages and “Professional” status.10/02/2019 at 1:18 am #71700
Hello Alexander, I’d like to understand the difference between two meta-strategies: the Strategy of Strategies under QT and the Top 3 Strategies on the Website. I noticed that on Oct. 1st the Strategy of Strategies used GLD-USD, MYRS ZIV Hedged, and GMRS Hedged, while the Top 3 Strategies used GLD-USD, MYRS ZIV Hedged, and BRS. So one of their constituent strategies was different this month. I also noticed that the Top 3 Strategies uses the best three strategies based on the most recent 3 month performance, while QT looks back longer (126 days) to calculate the Strategy of Strategies.
However I noticed some similarities between the meta-strategies. The statistics of the two meta-strategies (return, volatility, MDD) over a variety of time periods (3 mon to 10 yrs) are the same, except for their Sharpe ratios (using data for Strategies of Strategies coming from QT backtester vs data for Best 3 Strategies coming from its Website). If the two meta-strategies were different, I’d expect more differences in their statistics. And as I recall it, their selections in past months were consistent with each other when I compared them.
Could you comment on the differences between these meta-strategies, and if you’d recommend using one over the other?
Thanks.10/02/2019 at 10:10 am #71724
I too am interested in Thierry’s question about the differences between QT’s “Strategy of Strategies” and the LI website dashboard’s “Top 3 Strategies”.
I know you’ve touched on it before, but perhaps you could provide a simple refresher.
Drilling down a bit, the website’s dashboard lists the following description for Top 3 Strategies-
“This strategy selects the top three performers from our core strategies, based on the most recent 3 month performance, and allocates one third to each of them”.
For Oct 1 (as Thierry mentioned) the dashboard’s allocation was- Gold II, MYRS and BRS. But using the dashboard yesterday morning (Oct 1) to rank strategies by 3-mo returns it showed the top three for Oct were- GSRS, MYRS and Enhanced PP. And when I looked today (Oct 2) trailing 3-month returns were as follows-BRS n/a, NDX 100 n/a, MYRS =7%, Gold II +5%, Enh PP +5%). Could you also elaborate a bit on this discrepancy within the dashboard’s rankings as well?
It would be nice to be able to rank all strategies by any trailing period like we used to be able to do on the rank page which has been disabled for many months, any suggested work around?
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