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HI LI,
I sent you an email regarding this but I also wanted to share with the forum. Copy of the email below for others info
I have commenced my trial of QT after watching a recent webinar and I was wanting to see if it could also handle local Australian stocks on the ASX. I created a new portfolio but the results were not good, I then found that the stock data hasn’t been adjusted for splits. How best to address this problem? I think Yahoo only adjusts USA stocks . Are you intending to add a feature whereby QT could use a local data source such as existing Metastock or ascii data ? Also, would you be able to add the currency AUD into the system ?
thanks
IvanI know that Yahoo does not really provide good adjusted data of less important non US ETFs. We are at the moment testing if we could use free Quandl data instead, but this will take a moment to finish.
You can open the ETF csv files in Excel and edit your data this way, but from this moment you need to make sure that you never choose to download new data,because then your edited data would be overwritten.
You can load currencies using the Yahoo symbols (AUD=X for Australian dollar).Hi LI,
still trialing QT and I’m getting quite a few errors (how do I upload screenshots directly ?) .
https://www.dropbox.com/s/jjdjgen1cd6ek7j/2017-03-07_9-44-02.png?dl=0
https://www.dropbox.com/s/ytm9uef73blheqr/2017-03-07_9-44-59.png?dl=0These exceptions pop up when doing various things, the end result is I’m getting multiple entries of portfolios in the backtester and when I try to remove them it throws another exception. If I quit QT and restart sometimes the rouge entries are gone sometimes they are still there . When I boot QT I usually get warnings and errors about missing bits of portfolios , but I’m having trouble trying to clean things up because of the exceptions getting thrown. Even got to the stage QT would not start, just died after initial boot. Only way to recover was to roll back the ini file until it would start.
How do you want to handle the troubleshooting of these problems ? Do you want me to email the ini files or is there logs ?
regards
IvanPlease try with the latest Version 312S of QuantTrader available in the forum or below. These errors came from previous versions which had a bug with renaming/duplicating/deleting strategies. This should work now. You probably will need to begin with a clean QuantTrader.ini file as errors will not be fixed automatically. However I can do it by hand if your ini file contains valuable work.
Regards Frank—————————————–
This is the latest QuantTrader Version 312S with the updated QuantTrader.ini file of our strategies.
311S Changes:
– Bug fixes of the current prices download managementDownload link: https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader312S.zip
Hi Frank,
I installed the update but I still get this error when running an optimisation
https://www.dropbox.com/s/hh7yis1cyt7y3yq/2017-03-08_12-20-58.png?dl=0But this leads me to a question I was going to ask anyway about how future updates are handled.
If I have built my own strategies, data, symbols, optimizations etc , I don’t want to lose those . In this instance I have errors, so I have started out with a fresh ini which is a bit of a pain. But what happens in the future if for example you make a new release which uses a new structure in the ini file ? Will you build a conversion tool, or will you be expecting your users to just start afresh ? ( not good)Maybe given the problems I’m having, you could write a doc which explains how the ini file is structured and what can be edited by a user to remove problematic entries such as what I am experiencing ?
Another problem I’m a having is re downloading historic data is painfully slow ( like > 1hr). I’m not sure how the download is requested, but could you look at speeding it up ? Seems to be 1 symbol at a time ? Could you do a parallel thread ?
regards
IvanI don’t think that we will change the ini file format in the future. We will keep these upward compatible. What concerns the optimization errors, please send me your QuantTrader.ini file. Perhaps it has something to do with the Yahoo finance ASX symbol data. We already had some ETFs with missing data.
Once I have the QuantTrader.ini file we can see instantly what causes this error and we can also fix errors in the ini file, so that you can continue your work.
Please send the ini file to my email [email protected]
It seem strange to me that downloading Yahoo data is so slow for you. Perhaps try only to download data of the last close and not the 15min delayed prices available when the market is open. This one takes much longer to download.Hi All,
just need some clarification on the 2 params ranking day and trading delay.
If I take a strategy in QT which has default values for these 2 params ( blank) , what day is the ranking performed ? It seems to be 31 as when I enter this value the performance doesn’t change. So is that the ranking after the market close on day 31 or actually before the market opens for the last day ? Because if its after , then in my mind trade delay should be set to 1, because you are trading the next day after close of market ranking day. However , if I put trade delay =1 then the performance changes, so this suggests to me that the default values are ranking and trading on same day which is impossible unless you are doing the ranking prior to market open.
Just want to clarify this , because to me every QT strat should have trade delay =1 no matter what the ranking day is to reflect the fact you can’t trade until the open on the next day
regards
IvanFrom Frank:
The default ranking day and trading day is the close of the last trading day of the month. If you enter 31 as ranking day, the QT just searches the latest trading day of the month. We only use closing prices, so QT never trades at open.
By default QT ranks and trades at close of the last trading day of the month. This is not really possible, however what you can do is to download the 15min delayed prices for example at 3pm of the last trading day and then do “at close” orders. It is very rare that the allocation changes within the last hour.
Trading delay also always uses the next trading day as the calendar days entered may not be trading days (Saturday/Sunday …)HI All,
in version 313S it seems the trader function has gone ? I v312 its there , although its broken for me ( throws an exception if I try and add another account)
Please advise
thanks
IvanThe idea of the trader window was an order interface to Interactive Brokers and a fully automatic calculation of number of shares and price to simplify trading. We stopped this project for the moment because it was rather complicated and we rather had to concentrate on more important items like enhancing the backtester and removing bugs.
ok thanks Frank, BTW is there any work being done on a signals consolidation feature within QT ( to perform similar function as the online version) ?
regards
IvanYou might want to create a bug report email and add it to QT so we can report issues as they are found. A detailed report with screenshots would be difficult to track on a forum. Mantis (https://www.mantisbt.org/) is a good open source issue tracking system that will help you stay organized as you continue to improve the software, and I believe it can accept email submissions.
Hi All,
just wondering what others are using to perform their rebalancing duties . Since there’s no signals consolidation tool, are people just transcribing the allocations to a spreadsheet and managing from there ? If anyone would like to share their techniques / tools that would be greatly appreciated
regards
IvanHi All,
can somebody tell me how to apply leverage to a strat ? I’ve played with allocations, weights and multipliers but I can’t seem to find the magic button
Also it seems the trading cost param doesnt seem to work in the symbol manager ? If I change the value it doesnt seem to have an effect
regards
IvanJust click on the “Ranking Log” button and then save the table with the “Save as CSV” button in the upper right corner.
In the portfolio manager you can open under “Graphs” the portfolio/components/ tree. Here you can set a multiplier for leverage. This way you can for example use TLT with a multiplier of slightly less than 3 to replace TMF.
Trading cost should work, but you need to enable it with the check box in the “settings” window. Here you can set default trading costs, which then apply to all ETFs. If you enter trading costs in the symbol window for an individual ETF, then these will replace the default trading costs.I use Excel, but if you trade with Interactive Brokers, then you can also use the “Rebalancing Tool” which lets you enter allocations as a percentage of your account. This tool will also create all necessary sell and buy orders.
Hi Frank ,
you are talking about the multiplier ?
So if I take the existing NASDAQ strat with SRE of 5 ETF and add a multiplier of 2 , I should see an allocation of 40% for each stock instead of 20% ? ( that’s what I want). But if I change this value it throws an exception as soon as I try and save itregards
IvanHi Ivan,
this is already implemented. If you combine your strategies into a Portfolio you can see the strategy alloctions and their ETF constituent’s allocation in the box to the left. See here as example: https://logical-invest.com/wp-content/uploads/2017/02/Portfolio-Optimization-Version-QT2-1024×531.png
These are the signals you´d generate and trade – benefit to the online version is that you select when to generate and trade them, online we always cut signals on the last day of month.
HI Alexander ,
but can I export all the portfolio allocations into a spreadsheet ? I think I can only eyeball them in QT if I’m correct ? ( sorry I’m not in front of PC, just guessing)
regards
IvanYup, open the Performance log to see all historical allocations, can also export into csv. For a portfolio this report is on a consolidated strategy level, e.g. without the ETF details – which are available in the performance log of each strategy. See screenshot here: https://logical-invest.com/wp-content/uploads/2016/10/PerformanceLog.jpg
For further details on main functionalities also see our Online Help Documentation.
HI Alexander ,
yeah that’s what I thought, need to go into each indiv sub strat to get the actual symbol allocation.
Could you add this as a feature in the future whereby one could generate a csv with all the allocations within the sub strats in a portfolio ?
regards
IvanI prefer FolioFn for trading. You can set the percentages of each Stock, ETF you trade in a portfolio and they will make the necessary buy/sell transactions to accomplish same. They calculate the stock shares down to 4 decimal places….
ok I’ve uploaded the screenshot again, I’m not sure why this function doesn’t seem to always work
also the ‘Notify me of follow-up replies via email’ doesn’t seem to be working either
Hi Ivan, thaks for the screenshot, will look into it.
The “notify” button only works for direct replies to your posts, some are new comments to the topic.
Use the “Subscribe to topic” button on top, then you get all posts. Also can subscribe to whole QT forum, then you get everything: https://logical-invest.com/forums/forum/quanttrader-forum/
I could apply a 2x leverage to the original Nasdaq100 strategy how it is in our QuantTrader. It perhaps shows this error because it seems that your strategy parameters are incomplete. Top ETFs, allocations … is missing.
It should but it doesn’t. As said, I only get one row in csv file created.
Now, please do tell me how can I make you believe (what proof do you want) it happens like I said on my system? What should I export/attach/…
I mean let’s not waste the time whether I am able to see and click the “Save as CSV” button but rather, now, tell me what would make you to become convinced that what I am saying really happens – no history of ranking, only one row in created csv?
Here you go https://vid.me/o0EM (I used the first video sharing platform I found). Movie of trying to export 20 years of ranking history of GMRS which results only in last/current ranking/allocation in csv file…
I see what you mean. The ranking log just saves a table of all ranked ETFs for the current day. You can not save the full ranking of the previous months.
What I meant was that you click on the other button “Performance Log”. This one will allow you to save all monthly selected ETFs, but if its a Top3 strategy you will get for each month the Top 3 ETFs with performance and volatility.If you want to save more ETFs, the best is to select the SRE (Static Ranking Equal Weight) method and select the Top 10 ETFs.
It is not possible to save more than 10 ETFs
Hi Guys,
could I suggest an improvement to the QT UI. In the UI where it states “current allocation”, could this be changed to ” next rebal alloc ” ( or something similar)
Then underneath , have a ” current allocation” , which reflects the actual allocations for current open positions
I find the current setup a bit confusing, especially around the actual rebal day
thanks
IvanWhen using a “Portfolio of Portfolios”, the Current allocation displays allocation to the sub portfolios. How do I see the allocation down to the Stocks/ETFs and Funds that are actually traded?
Link to Screen Shot – https://www.dropbox.com/s/b3add3znqng3c0m/QT%20ISSUE.jpg?dl=0
Lane
Still having an issue on the Return Charts. Check the link below to the files in question. Image A shows the Return of #NASDAQ100 is flatlined. Image B shows no data for #NASDAQ100. However the performance in the Return charts appears correct and the Summary is correct. I have included the ini files in the link below also.
I used to be able to close the Backtester and reopen it and the problem went away. Won’t work now.
Lane
https://www.dropbox.com/sh/6d1daqumag26muf/AAC2dxf96afEf8BTFJTH9FL9a?dl=0
When I create a duplicate of a portfolio, I get different results on the duplicate and the original portfolio.
https://www.dropbox.com/sh/fbcekulllssmw7c/AAAKFe4ruciHOmYNXJuMeqLZa?dl=0
In this link, you can see the NASDAQ 100 Hedged portfolio and the Duplicate Portfolio performance. Both screen shots were within a few minutes of each other.
Update: This occurred several times today as I was trying to understand what’s happening. I just ran it again and the problem went away. Rather confusing. any ideas? Possible interday data may have caused a problem?
I just tried to do the same duplicate, but there is no difference between the two. Something seems to be different in your setup. The performance curve looks strange with all this steps. Can you send me the QuantTrader.ini file so that I can check what went wrong? Pls send it to [email protected]
The ini file is in the same location as the images. You should be able to download it from there. I tried to attach it but got “Error! File type not allowed.”
Lane
In Symbol Manager, I suggest adding an “effective start date” and “effective end date”, so listing and delisting can be tracked accurately. The strategies would employ symbols only during their effective interval. This would be useful for maintaining a stock list like Nasdaq 100.
It would also be extremely slick if there were a way to automatically update a stock list with current membership and effective dates.
HOW TO UPDATE QT TO NEW VERSION
What is the best way to update user personalized QT folders to the latest version while maintaining our custom strategies and symbol lists?
At the moment (18/5/2017) we are not able to get pricing data from Yahoo servers. The Yahoo server gives back the message “Will be right back” since Monday.
https://forums.yahoo.net/t5/Yahoo-Finance-help/bd-p/finhelp
We are working on this problem and will probably add a second data provider in the future for the case Yahoo does not work.
We apologize for the inconvenience!
Update 20/5/2017: Yahoo has changed their data service. This has affected a lot of software that retrieve data from their servers, including QUANTtrader. We are working on a solution.
Incredible but Yahoo has retired its widely used ichart service.
See here: https://yahoo.uservoice.com/forums/382977-finance/suggestions/19310356-https-ichart-finance-yahoo-com-table-csv-s-spy-a?page=1&per_page=20.
and here:https://forums.yahoo.net/t5/Yahoo-Finance-help/ichart-stopped-working-2-days-ago/td-p/251515For a long time there were three ways to get EOD data out of Yahoo:
1. Scrape from the a stocks’ HistoricalData HTML page which is still possible
2. Press the download button on a stocks’ HistoricalData page which is still possible
3. Use the ichart API, which has been stopped.These three methods resulted in different data sets. The first used to be great a long time ago but gradually contained more and more artifacts (non-corrected splits and no dividends added in the adjusted close column. You would assume that 2 and 3 would give identical csv files but that was not the case, neither were 1 and 2 identical.
In fact, only the third method was top-class. I used this to download hundreds of stock, ETF and mutual fund symbols each day and only seldom found discrepancies with other reliable data sources (like those on seekingalpha). I checked on a regular basis that this API method gave total returns, so dividends were injected in the curve and that was the case until they closed it down three days ago.
To see how bad the first two methods are, just got to symbol SPXL, that had a split on 1 May 2017 and see on the screen and in the downloaded file that the data has not been corrected.
Yahoo/Verizon have no intention to re-institute the service, unlike the message they are now displaying. This is the end of a highly respected and heavily used Yahoo service that cannot be replaced easily by any free source that I know of.
I think that Yahoo have now lost their reliability. Anyway we can have some others alternative with API service for free EOD data:
https://www.cityfalcon.com/
and
https://api.tiingo.com/docs/tiingo/dailyHi Alberto,
Just got the Tiingo API integrated with my code. This is a very young company so we have to see if it is stable enough as yet and if they have the server capacity to cope when millions will join. But their data quality is excellent. The JSON is more informative than the former Yahoo CSV and is in correspondence with data from SeekingAlpha for about 100 random US stock and ETF symbols that I have checked so far. The number of decimals in their corrected prices is much higher than the usual 2 from other sources. One limitation is a smaller coverage than Yahoo ichart. In particular I am missing European exchanges, stocks and ETFs. But I’ve got everything going again thanks to your link.
PeterWe are working towards an updated version of QT with an alternative data source by end of the week (Friday 5/26/2017).
Thank you for your patience.Are we going to be able to use intra-day data for QT? I’ve been running QT 90 minutes before the close on the last day of the month.
Could Google Finance data be used instead of icharts api?
http://investexcel.net/multiple-stock-quote-downloader-for-excel/Frank tried Goodle finance first. The data is unreliable even for liquid ETFs like “TLT”. You get horizontal lines because of no data updates for days. Quandl is another obvious choice but their premium service is @50/month.
Yahoo continues its service so you can get data. The problem is that Yahoo, without notice, changed the API AND transitioned to unadjusted data. We need to take dividends into account so unadjusted data will not work for either reporting or ranking. We are now looking into Tiingo.com which is a fairly new service.
This has been a big problem for a lot of people and self directed investors:
https://forums.yahoo.net/t5/Yahoo-Finance-help/Is-Yahoo-Finance-API-broken/m-p/251312#M3123Reading the forum you can see there is a wide open space for a data provider to enter get data from the exchanges and adjust it for a small fee ($5-$7/month). I hope someone jumps in. We would support them :)
Eventually you should be able to do intraday as well. Once we get the daily working we should have an ETA for that as well.
We have updated Quanttrader to version 3.16S. Please go to the update forum or download from the link below:
Version 316S changes:
– This version switches to a new financial data provider after the Yahoo finance servers stopped to work for over a week.
The download time for all symbols is still quite slow (about 10 min), but we will make it faster next week.
Make sure you delete all old csv files if you install this version in a existing folder.
When you start QT with one of your QuantTrader.ini files, then a popup window will tell you that some symbols have not been found.
Pls. check then all symbold and then delete them.
These symbols are non US symbols and are not used for our strategies. At the moment we can only download US symbols.– New feature: QuantTrader now does an automatic version update if QT finds a newer version on our server.
I appreciate your efforts to find a FREE data service to replace yahoo.
However,for those of us with paid data subscriptions, it would be VERY nice to have a plugin for our feeds.
I personally subscribe to Norgate (https://www.premiumdata.net), but would be open to paying for another reasonable data provider.
DATA is the LIFEBLOOD of the program and I am becoming very concerned with the reliability of FREE data sources.
I’d rather have the option to pay for reliable inputs.
Hello Eli,
Thanks for the feedback. As a former (and current) Amiboker user I am aware of Norgate. Actually it was the first option we tried when Yahoo dropped the ball. The problem is that the data is not adjusted for dividends, which makes things a bit more complicated for us. Nevertheless, I do believe we need a option where a subscriber can import their own data (whether it’s from Norgate or another csv source) to QT so I will fwd the request to the team.Hi Guys-
Any timeframe on getting mutual fund data to update?
Also, should Interactive Brokers and Barchart.com be considered as potential data suppliers?
Gordon
From what I remember for Google data a few years ago, it was not split adjusted data.
Guys,
Wondering if you have ever considered building a system to maximise the amount of stock held for 12 months in a portfolio? This would be to minimise tax impacts in my country stock held for more than 12 months generally allows for a 50% reduction in capital gains tax paid.
1) Is it possible to request that an annual re-balance option be considered for addition to quantrader?
2) Any ideas how to weight the current platform to maximise long term stock holds ?
3) Any thoughts on what might work for this type of strategy. Due to the minimised tax implication the CAGR target can be much lower.Thanks for your sharing your approaches, I’ve greatly enjoyed working with and exploring the ideas the team and community have developed.
Thanks,
MikeOne full year between rebalancings seems to be too long, however it could be done. At the moment you have a quarterly option and depending on the settings you normally rebalance only a part of each holding per year. Many countries accept that you rebalance several small parts of the portfolio as long as the total amount rebalanced is less than your portfolio value.
Hi All,
Thank you for the wonderful shout-out and blog post.
WRT to Mutual Funds, I’m on it. Got contracts with 2 vendors and negotiating with a 3rd. Once that happens, expect a whole nother level of service and data integrity (a blog post will come out with launch). Alongside this, expect the entire US market to be covered. By the end of the new upcoming data release, expect coverage of about 41,000 tickers in the US alone. Once that stabilizes, I will expand globally.
Just bear with me as I’m getting all the contracts in gear and scaling this operation up. There’s been a flood of new users. Thank you again!
Rishi
Hello Rishi,
Welcome, thanks for posting and for providing a solution in troubled times :)
We look forward to the new release!
Best,
Vangelis[quote quote=42116]As a former (and current) Amiboker user I am aware of Norgate. Actually it was the first option we tried when Yahoo dropped the ball. The problem is that the data is not adjusted for dividends[/quote]
Hi Vangelis,
I forgot to mention Norgate provides dividend adjusted data in their “beta testing program” for a new platform called Norgate Data Updater (NDU) they plan on releasing commercially “somewhere around the middle of the year.”Obviously we’re getting much closer to that time frame.
Here’s part of an email they sent subscribers at the beginning of 2017….
The commercial release of our new data updating platform is planned for mid-2017, and as such we are now ending the alpha testing program for PDU and moving into the beta testing phase with the next version of the platform, “NDU”.
An overview of the beta testing program, along with instructions on how to formally request participation (should you wish to be involved), can be found here: http://www.norgatedata.com/beta-testing-program
You may wish to check it out.
Thanks again for everything you’re doing!
Thank you Vangelis, right now I’m loading in an additional 20k+ OTC stocks and am gearing up for the Mutual Fund release.
Could we talk offline about collaborating? I’m looking to launch a massive data release for a marginal cost of $7/mo – to help maintain the data, bandwidth, and add additional sources. Let me know! [email protected]
Getting back to it!
RishiThanks for the update Eli. The bad news is the beta is closed for new users, the good news is Norgate is getting closer to a commercial release. We will follow their progress.
HI,
I’m a bit out of the loop as recently as I havent been using QT, but I just installed V3.22S and tried to enter non USA tickers, QT seems to go off to Google finance for these but doesn’t return any data even though I’m using the google ticker format ASX:xxx ( Australia).
Can somebody advise where are we at as far as non USA tickers since the Yahoo service was changed ?
thanks
IvanHi Gordon, please see this thread: https://logical-invest.com/forums/topic/setting-up-assets-and-asset-lists/#post-42780
Hi,
I wanted to make sure I’m not doing something wrong with these settings, since I’m new to QT and still in the 30 day trial period. I’m running version 323S and when I set trading delay = 1, none of the meta strategies seem to work. Although, even non-meta strategies do some weird things.For instance, set trading delay=1, restart QT, then select Nasdaq 100 hedged. My Summary window does not calculate a portfolio CAGR, Sharpe, or volatility. They show NaN. If I select GLD-USD strategy, then my summary shows a CAGR, but Sharpe and Volatility show NaN.
Any more info I can provide to help troubleshoot?
Yes, this is a bug. I will work on this for the next version. You can set the trading delay also in the “advanced” parameter tab of the single strategies. This one works. Here you can also set a different ranking day if you want.
Thank you for reporting this error!Hi,
I was trying to use the Intraday prices option but I can’t seem to see the prices updating. I was wondering if it has to do with the data provider. I have selected Use End Of Day Data and Intraday Prices, with Tiingo as the Historical Data Provider.With these 2 selections, I Show Stock Data for SPY. I was expecting to see intraday prices show up here.
Am I using this correctly?
You only get intraday prices 15 minutes after the US stock market opened. This because of the 15 min delayed data. You will see that you use intraday data if the last date on your chart is the actual date.
OK, I must be doing something wrong if you are seeing updated prices. It is now 1pm ET on 7/14/2017 and I have waited 20 min since starting and I only see prices for 7/13/2017. As before, here are the steps I go through:
1. Login
2. Select ‘Use End of Day Data and Intraday Prices’, Tiingo as the Historical Data Provider, click Start.
3. Because this was the first time today starting QT, there was historical data to update from the FTP server. I selected to update the historical data.
4. Once QT starts, I wait 15 min.
5. In the backtest window, I select BRS strategy.
6. Set Show Stock Data to SPY.
7. Click Show.The window that pops up only has data up to 7/13/2017, which shows as the first line.
I am running version 4.01S. Let me know if there is more info I can provide. Thanks for your help.
Apologies for reposting, but I thought this might deserve it’s own topic instead of being buried within another topic. I originally thought this might be related to Yahoo data issue. But perhaps not.
OK, I must be doing something wrong if others are seeing updated prices. It is now 1pm ET on 7/14/2017 and I have waited 20 min since starting and I only see prices for 7/13/2017. Here are the steps I go through:
1. Login
2. Select ‘Use End of Day Data and Intraday Prices’, Tiingo as the Historical Data Provider, click Start.
3. Because this was the first time today starting QT, there was historical data to update from the FTP server. I selected to update the historical data.
4. Once QT starts, I wait 15 min.
5. In the backtest window, I select BRS strategy.
6. Set Show Stock Data to SPY.
7. Click Show.The window that pops up only has data up to 7/13/2017, which shows as the first line.
I am running version 4.01S. Let me know if there is more info I can provide. Thanks for your help.
You are right. This is a bug which came with the implementation of the new Tiingo stock price feed. I will fix this with the next version. Thank you for reporting this.
Regards Frank
Hi Charlie,
please try version 500, which has further options. A fresh data download for the standard portfolio takes no more than 5 minutes.
Charlie, here version 500: https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader500S.zip
The new QT version 500 now includes the signal consolidation, e.g. calculation of shares to rebalance: https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader500S.zip
Hi,
I have 2 separate folders of QuantTrader running at the same time so that I can play with ideas and compare the effects between the 2 running instances. Many times I will start with the exact same portfolio in both instances so that I am sure to have a good baseline before I make changes.I was doing exactly this, setting my baseline in 2 running instances, and using the Nasdaq 100 hedged portfolio in each instance. I noticed something that I can’t explain and would appreciate others ideas on how to correct this. As you may know, Nasdaq 100 hedged is a meta strategy using Nasdaq 100 and TMF. The underlying Nasdaq 100 and TMF in both instances appear to be exactly the same when I look in the Summary area. The strategy parameters are the same between both instances and Advanced parameters are completely blank in both instances. However, the allocation between Nasdaq 100 and TMF are different in each running instance. You can see this by looking at the historical allocation and very noticeable in the Allocations as of today. Instance A shows 70/30 split Nasdaq 100/TMF and instance B shows 0/100 Nasdaq 100/TMF.
I am assuming the data is the same since the historical summaries are the same. I deleted all of the portfolio calculations (#xxxxx.csv files) before starting each instance so that QT would recalculate returns. Again, since the historical summaries are the same I’m assuming the returns are the same. I have also looked at the ranking log between both and they look to be exactly the same.
Any ideas on what I should look at to fix this discrepancy? Thanks.
It is difficult to say why there is this discrepancy. Are you sure that the QuantTrader.ini files are the same? I would need to check this. If you want, then please send me the two QuantTrader.ini files by email to [email protected]
Problem solved. Thanks Frank.
I had inadvertently set the max allocation for one component of the strategy. There is a feature in the portfolio manager that lets you set various values for components of your portfolio, ie max allocation.
Hello,
As a new QuantTrader user, I have several questions:
- Is “LI Strategy of strategies” (the top-most item in the “Portofolio” drop-down) recommended for actual investment? I could not find any references to it on Logical Invest site.
- I would like to try using California Muni Bonds closed-end mutual funds in my portfolio as a hedge (instead or together with BRS), as I do not pay taxes on their distributions, effectively almost doubling their rate of return. It seems there is no way to configure this advantage into QuantTrader optimization algorithms, is this correct? Using volatility multiplier will be probably grossly incorrect? Any workarounds you can propose?
Sorry for the late answer!
You can use it, but I would manually look that you are well diversified if you want to be globally invested. QuantTrader does not know about this and it can well be that you end up invested near 100% for example in the US market.You can add such a bond (for example CMF or PCQ) without problems to any strategy using QuantTrader. Mainly PCQ looks like a good ETF.
LI,
In Portfolio Builder the data on the the Relative Performance Chart stops at August 2016. In the Online and the XLS version.
Cheers! Cal
Hi Cal, yes, still both tools are in maintenance. The online chart is fixed now, the Excel still needs some days.
Dear members of the QuantTrader community,
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I am learning the interface and the potentials of QuantTrader.
Is there a tutorial on how to setup to replicate the consolidated portfolio of say MaxDD 15% or Max Volatility? Thought that would be a good starting point to get me going in learning how to use QuantTrader. If anyone has that setup and can post the screenshot, that would be much appreciated. Thanks.
Hi Jason,
you can put all necessary strategies into one meta-strategy and fix the min and max allocation of each strategies to the desired % allocation. See here: https://logical-invest.com/forums/topic/showing-off-the-best-strategies-and-portfolios/#post-38652
And the winner is this logo! We´ll announce the winning participant by email.
Hi
I am a trial user. I enjoy very much my experiences so far. Thank you. I have a couple of questions:
(1) it possible to export any report from QuantTrader to see annual returns over every calendar year (like 20 years) an drawdown in each calendar year?
(2) Can the three charts (component performance, allocation, and cumulative performance of the strategies) be exported to an excel file?
I do see performance log but the records show monthly returns in the rebalance period. It will be great to be able to generate reports to cover the above (1) and (2).
thanks
Hi
I am a trial user. I enjoy very much my experiences so far. Thank you. I have a couple of questions:
(1) it possible to export any report from QuantTrader to see annual returns over every calendar year (like 20 years) an drawdown in each calendar year?
(2) Can the three charts (component performance, allocation, and cumulative performance of the strategies) be exported to an excel file?
I do see performance log but the records show monthly returns in the rebalance period. It will be great to be able to generate reports to cover the above (1) and (2).
thanks
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