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Alexander, thank you for considering a seminar in the next couple of weeks. I hope your offer generates a good response on Doodle.
In general, I’d like to walk through the steps of developing/optimizing a new meta-strategy while being able listen to descriptions and ask questions. Some topics I’d like to have explained include:
1. File management – File structure, file names, import/export portfolios. (I’ve had trouble importing and running the EPP strategy you posted on the Forum)
2. Trader Window – discussion of Strategy Parameters
History range & impacts on lookbacks
Min/Max Allocations vs Top n ETFs
Ranking SR/DR advantages & disadvantages
Mean Reversion Weight
Mean Reversion Period
Smoothing Weight
Rebalance Strength
3. Discussion of optimization routine and how to avoid over optimization.
4. Consideration for combining strategies with different optimum lookbacksThanks again
Alex,
The seminar is a great idea and I look forward to participating! Here’s a couple of topics I would be interested in.
1. Any thoughts/strategies involving Inverse ETF’s. Particularly mean reversion. I’ve successfully used strategies in the past based on RSI. Buying inverse ETF’s at extreme oversold levels as hedge during bull markets. Or (more importantly) alpha generators during markets when index is below 200 day MA. Not sure if something like this can be adapted to your strategies. Any thoughts you may have (whether mean reversion or not) would be welcomed.
2. Kinda basic, but I’m wondering if you have a separate “signal consolidation tool” you use for the QuantTrader signals. As you know the BUG strategy is different in QT and can often give different allocations than the public signal service. So when I take a META strategy from QT (which includes BUG) and plug the strategy allocation into the “public consolidation tool” I get different allocation amounts for the BUG portion of the META strategy. See this month as an example.
Thanks in advance for your efforts and look forward to the seminar!
Please block your calendar for next Saturday Feb 11 10am EST / 5pm CET, will send an invite shortly. Agenda will be fixed during the week in the forum, please see link here, same as Webinar links and dial-in numbers.
Have a good start into the week,
AlexQuantTrader Webinar
Sat, Feb 11, 2017 10:00 AM – 12:00 PM EST (4pm-6pm CET)Please join my meeting from your computer, tablet or smartphone.
https://global.gotomeeting.com/join/167951525You can also dial in using your phone.
United States: +1 (224) 501-3217Access Code: 167-951-525
More phone numbers
Canada: +1 (647) 497-9391
Denmark: +45 32 72 03 82
Germany: +49 (0) 692 5736 7210Latest QuantTrader Version 310S with the updated ini file of our strategies.
310S Changes:
– several smaller Bug fixes
– Now the strategy always loads the 15 minute delayed prices if you start it during normal market hours. This allows you to start it for example the last day of the month at 3pm and then you can do your allocation changes during the last hour.
– The strategy drag down field now automatically gets large enough so that you can read the complete strategy names.
Download link: https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader310S.zipAgenda:
1. How to get started?
a. File management – File structure, file names, import/export portfolios.
b. Main functionalities: New Symbols, New Strategies, New MetaStrategy
c. QuantTrader Dynamic Allocation vs Online Portfolio Builder Fixed Weight Allocation
2. Trader Window – discussion of Strategy Parameters
a. History range & impacts on lookbacks
b. Volatility Attenuator
c. Min/Max Allocations vs Top n ETFs
d. Ranking SR/DR advantages & disadvantages
e. Mean Reversion Weight
f. Mean Reversion Period
g. Smoothing Weight
h. Rebalance Strength
3. Discussion of optimization routine and how to avoid over optimization.
a. Inverse ETF vs Short ETF
b. Hedging and Delta Neutral strategies
c. Extending backtests with synthetic tickers
4. Consideration for combining strategies with different optimum lookbacks
5. Showing off – Some of the best strategies and portfolios so farThis agenda above looks great. I have been trying to work out how to create a META strategy with the top 2 or 3 sub-strategies at a given month end. I am not confident I have been setting parameters appropriately, so not confident in output.
Here an example of how to replicate the Portfolio Builder “fixed weight” allocations: https://logical-invest.com/forums/topic/showing-off-the-best-strategies-and-portfolios/#post-38652
Hi Cal, we skipped this development for the moment to focus on higher priorities, see here: https://logical-invest.com/forums/topic/trader-seems-to-have-gone-missing/. You can download a prior version to see it in action, currently rather a trade execution monitor than an interface to IB.
Is there a block that allows me to place portfolio size and then divide that by the allocation?
Essentially, can QT calculate how many shares I need to buy?
Alex, are there plans for another QuantTrader Webinar?
Cheers! Cal
Hi Cal, yes, this is one of the next features to be released – after we get the data connections stable..
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