- 10/04/2019 at 3:16 pm #71878rikderParticipant
I would also be interested in a reply to these posts. I like the idea of trading a “strategy of strategies” or “top 3”, but the allocation history on these strategies seem to change more frequently and drastically when the software or data is updated. These small changes are significant because they can cause a domino effect that impacts a full third (or 2/3) of the portfolio for a past month. For example on QT, the strategy of strategies shows it was invested in World top 4 in August, but this was not the case. At some point in September I believe the allocation in the past changed from BRS to World Top 4. This kind of change has a significant effect on the reliability of the long term statistics on these strategies. The theory behind the strategy is sound but its probably good to understand the limitations of the backtests and keep one’s expectations in check.10/05/2019 at 1:39 am #71903ThierryParticipant
I am glad that rikder also noticed the change in allocation of the Strategy of Strategies after its initial allocation at the beginning of August. I also brought this up in my post on 9/2/19 on this thread. I used the strategies listed under the ACTUAL tab to allocate my portfolio on Aug. 1st during the day. In late August I noticed that the strategies listed under the INVESTED tab were different from my portfolio allocation. As I understand it, the INVESTED tab reflects the allocation that should have been held since the beginning of the current month.
Something similar happened this month. When I rebalanced my portfolio on Oct. 1st, QT allocated the Strategy of Strategies to GLD-USD, MYRS ZIV Hedged, and GMRS Hedged under the ACTUAL tab. I have documented this in a screenshot that I took on Oct. 1st during the market session (I’d include the screenshot in this post but it doesn’t let me). Today, Oct. 4 after the close, QT shows a different allocation for the Strategy of Strategies under the INVESTED tab, in which GMRS Hedged has been replaced with BRS. This is also the allocation shown in the QT Historical Allocations Graph as being in effect since Oct. 1st! I also have a screenshot of this.
So for me there are two questions, if I am not mistaken: the stability of QT’s Strategy of Strategies allocation within a given month, and understanding the difference between QT’s Strategy of Strategies and the Top 3 Strategies listed online.
This being said, I did make a judgment call to use the Top 3 Strategies rather than the Strategy of Strategies on Oct. 1st, because I wasn’t comfortable having 56% of my portfolio in one asset (GLD) if I used the Strategy of Strategies. That was the result of GLD being used as a strategy of its own and also a hedge in GMRS. Just a matter of comfort level from my part.10/05/2019 at 3:43 am #71905
1) The allocations for all strategies we publish on the web-site come straight out of Quanttrader, there are no different versions for what we publish in the web-app and QuantTrader. So for example the Top 3 Strategies Thierry referred to is the same strategy both in QT and the web-app. For technical reasons in QT it is (still) called “Strategies of Strategies” in QT, while in the web-app we changed it to “Top 3 Strategies”.
2) That being said, there are slight differences in how the metrics are calculated. For example in QT we assume a risk-free rate of 0% as default (you can change in settings), while in the web-app we use 2.5% – so this has an effect on Sharpe, Ulcer, etc. Also the rounding of other metrics is different. This does not affect the allocations, as in the “modified Sharpe ratio” ranking the risk-free rate does not matter.
3) Most importantly, and we’ve seen this a couple of times now in the forum: In QuantTrader the “current allocation” is updated each time you run the application, and uses the most recent available pricing information. While the “invested” tab is the allocation from the last “official” rebalancing. This is important out of two reasons:
i) A QY user can decide to rebalance on a date other then our “official” rebalance date, for example just after close, or 1 day after month end – with “fresh, most recent prices”, but obviously the signals in “current” might then be different from what we show in the web-app. For example, if you ran QT on Sept 30 6pm EST, or Oct 1st 2am by default the signals might be different, see also ii). What this means: QuantTrader is our more flexible product for power users, offers much more functionality and settings, all “secret sauce” under the hood of our algos – this compared to the web-app where we try to provide a less complex environment. As we offer both, we very often fall in the trap where signals and results of both are compared, and this is totally fine, but at the end very often timing or user defined parameters are the reason for these changes. So, our pledge to advanced users: Use QT, learn it, feel it, get used and fall in love with it – but then do not nail us if the web-app shows slightly different results :-)
Here a screenshot of the allocations as of October 4th, so you see that indeed since Sept 30th the allocations in the “current” tab has changed. So somebody just joining today or somebody who decided to rebalance every 4th of the month can use the most recent pricing information to invest into this allocation. However, this is not available in the web-app where we keep the allocations static after the rebalance to keep it simple. You see that in the last days BRS has fallen out of the Top 3 and has been replaced by GMRS.
ii) And this is a tricky one: We use “split and dividend adjusted prices”, not plain “cash prices”. These calculations are complex and update the price history of the involved assets. The timing of these calculations is hours after close of the exchanges, after all dividend information is submitted and then normally available around 5-6 AM US EST the date after month-end. This is why we normally send the signals around 7 am US EST. But: It has happened and will happen again that for some tickers the dividend and split adjusted prices are updated by the data provider after that hour, and then there can be differences to the allocations just send out. Solutions? We could wait more before sending out the newsletter, but then you would not have it before US markets close. Is it critical? No, as only in very marginal “close call” situations where two strategies (or their components) are very close together in the ranking, and a slight change in prices then changes this allocation. This seems odd, but in practice when two strategies are very similar in the ranking there is no “good or bad”, either is fine. There are mathematical approaches for this, like “fuzzy logic” or “trigger ranges”, but these do not help in the practical application in our feeling.
Here a screenshot of the allocations and ranking as of Sept 30: See the values of the “attenuated sharpe” column for GMRS and BRS, the difference of both was only 0.02, but decisive to which strategy would make it into the “Top 3” ranking. In practice this means either is good – they are better than the other strategies ranked much lower, and that’s the point of the strategy.
So in essence: QT users have much more information at their disposition, and the benefit of being able to compare QT vs. Web-App. But allow us some simplifications for the less sophisticated investors only using the web-app.10/06/2019 at 5:57 pm #71975ThierryParticipant
Thank you for your detail response. The thoroughness of you and other staff in responding to questions from individual users is something I appreciate about Logical Invest.
My earlier questions came from a desire to reproduce the allocations and performance of public strategies and metastrategies. Admittedly, QT is not needed to do that since the offical allocations are published online, and QT is designed to solve bigger problems than that. As you mentioned, some unavoidable changes in the data used by QT can cause changes in its outputs. When two strategies are a virtual tie in the rankings, they can be considered equally good to use in a statistical sense. However, their performance over the short term can be rather different. If that’s not acceptable, one can always increase the number of strategies that the metastrategy allocates to.
I understand that the allocation shown under the Current tab in QT can vary during the month. But is it correct that the allocation shown under the Invested tab should not change after it is updated with the offical rebalancing at the beginning of the month?10/08/2019 at 3:49 am #72024
Hi Thierry, appreciate your response. Yes, indeed the allocations in the “invested” tab should not change after the “official rebalancing”. The only “but” is what I explained above about later changes in prices due to dividends, which again is rare and rather an exception out of our hands and affects all data providers.10/18/2019 at 3:25 pm #72498lpmcar1Participant
Hello, new subscriber here. You ETF rotation strategies are just what I have been looking for. I am eager to get started with the Max Draw Down Less than 15% Portfolio; however, I am not sure of the allocations to start with since I am starting mid month. The allocations on the website are as of October 1st. I have tried to use QT which has current allocations, but it seems to only have the component strategies and not the portfolio itself. So, what’s the best way to get started?10/19/2019 at 2:23 pm #72513VangelisKeymaster
Hello and welcome!
The Max DD 15% is a portfolio constructed from QT strategies but outside the software using standard max-return/ min-drawdown optimisation. Two ways to go about it:
1. If your brokerage fees are low you can jump in based on the October 1st allocations.
2. You can wait for the November allocation.
3. Or you can:
a. Find which strategies are used and at what percentage (ie, 30% BRS, 50% UIS, etc)
b. Run current allocations on each strategy inside QT and export the allocations in an spreadsheet.
c. Add the ‘weighted’ component allocations and calculate portfolio allocations.
Our recommendation would be in the order written.10/24/2019 at 3:34 pm #72674TexastroseParticipant
I just signed up for the
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I have opened two positions; first in the Max Drawdown less than 15% and the second is a combo of Nasdaq100, Max Yield, Leveraged gold and Bond Rotation. I have down loaded the QuantTrader software ans made an attempt to load these Portfolio’s in to software. However, i was notable to save the protfolio’s.
I am using TDA with TOS as my broker and software. How do others keep track of the investments
Mike10/26/2019 at 2:03 am #72745
welcome to the Logical Invest community!
To replicate any of the portfolios from the web-app in QuantTrader, just follow the process described here, see the animation: https://logical-invest.com/quanttrader-application/portfolio-backtesting-builder-main-windows/#conssignals
In our terms portfolios are fixed-weight blends of our strategies (or ETF), so you can simply input the %s into the consolidated signals tool to see the allocations.
Hope this helps, Best, Alex10/27/2019 at 11:47 pm #72831TexastroseParticipant
How many portfolios can you add to My Portfolio11/04/2019 at 1:57 am #73186
Currently only one by user, we’re working to allow for multiple in future.
For the time being you can “merge” serval portfolios into one like described here: https://logical-invest.com/create-portfolio-of-portfolios-portfolio-builder/
Or use QuantTrader which allows you to very quickly obtain signals for several portfolios as outlined here: https://logical-invest.com/quanttrader-application/portfolio-backtesting-builder-main-windows/#conssignals
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