Portfolio Builder

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Portfolio Builder 2017-09-30T15:56:17+00:00
  • Author
    Posts
  • Alexander Horn
    Keymaster
    Post count: 374

    To enhance the visibility, here a new thread. Please see former discussion here.

  • daniel morton
    Participant
    Post count: 27

    Hi Alex,

    The VIX is very low bottom 1% since 1990 as I understand it. I have read Frank’s post about the difficulty in going long VIX. How will MYRS respond to an increase in the VIX and in what situations does MYRS not perform? thanks.

  • Mark Faust
    Participant
    Post count: 36

    Hi Alex,
    I was trying to run portfolio builder on the website and noticed that it is not picking up the February trading days???

    thx
    Mark

    • Alexander Horn
      Keymaster
      Post count: 374

      Yes, the data in the return table of the online builder is based on weekly data, so Feb will start showing up mid next week. For daily data look at QT, the strategy pages or the excel offline tool.

  • trr
    Participant
    Post count: 11

    Can I bring this comment from last August back to your attention –

    “[The Portfolio-Builder web site] is very useful and a pleasure to use, but I’d like to echo Greg’s comment from a year ago: it would be even more useful if there were a way of excluding some strategies from the calculations. Perhaps a column of toggle-buttons added to the strategy table at the top of the page would do this neatly? I know this functionality exists in the Excel spreadsheet, and you are trying to keep this page simple, but it is far preferable to use this page than mess around with Excel.”

    Thanks.

    • Patrick
      Participant
      Post count: 10

      … and max allocation per strategy. For example, you have recommended not allocating more than 15% to MYRS. The same may be true for UISx3. Or I many not want to allocate more than 25% to any one strategy.

    • Alexander Horn
      Keymaster
      Post count: 374

      The Online Portfolio Builder is limited in functionality compared to the Excel tool. In the Online tool you can:
      – Visualize the pre-optimized portfolios and their statistics,
      – Change allocations using the “Custom Portfolio” tab and calculate statistics on the fly

      BUT: You cannot run an optimization using target variables and constraints as in the Excel Portfolio Builder.

      This is simply impossible due to the computation power required. It takes the Microsoft Solver around 4 minutes to compute on optimized portfolio offline on a fast computer, or 30 minutes for all pre-configured portfolios, and the MS Solver is quite a clever and speedy guy :-). This cannot be done in an online tool, or at least not with the means we have available.

      We might be able to implement a brute-force optimization algorithm in QT in the future using a step-size mechanism as we do in our strategies, but this is not in the Top10 items on our prio list.

      So for the time being please use the pre-configured portfolios in the Online Builder as starting point for adapting them towards your own custom portfolio like shown here: https://logical-invest.com/wp-content/uploads/2018/03/Custom-Portfolio.png.

      To run optimizations excluding certain strategies or setting custom constraints please use the Excel Tool: https://logical-invest.com/?gfid=15

      Also let me highlight another point I have on my mind since we updated the hedges in the strategies, and this has been point of discussion in the past. The Portfolio Builder uses HISTORICAL (aka “frozen”) allocations and performance statistics as a subscriber would have been invested. This means changes to the strategies like in the new hedge mechanism are only reflected going forward – not for the past. This makes sense as our long term subscribers can see the past as they have been invested in – but might be confusing when looking for a new portfolio going forward – with changes in the strategies.

      In contrast, QuantTrader uses the most recent strategy configuration for its backtests, e.g. each time you change a parameter the historical data changes. This is useful for setting up a new strategy, but prone to permanent over-fitting if not used properly – and does not reflect the reality of a subscriber having been invested in a strategy or portfolio.

      So now that you can use both tools, it´s a good practice to compare the performance statistics from the Online Builder with the backtested performance in QuantTrader. Simply put your strategy allocations into the Consolidated Signals tool in QuantTrader to see how the new hedges would have worked in the past, here a tutorial: https://logical-invest.com/consolidated-signals-interactive-brokers-portfolio-rebalance-tool/

      2 users thanked author for this post.
  • daniel morton
    Participant
    Post count: 27

    Thanks Alex. I don’t see consolidated signals available anymore under portfolio builder. Is it still available without using QT? in QT, is it easy to build a max sortino ratio rather than max sharpe?

  • Alexander Horn
    Keymaster
    Post count: 374

    Hi Daniel, the consolidated signals are available from the “members area” menu, just deleted the direct link from the portfolio builder to avoid non-subscribers getting an empty page.

    Also QuantTrader uses our “modified sharpe ratio” approach, e.g. considers up- and downside volatility.

  • daniel morton
    Participant
    Post count: 27

    thanks Alex. Modified is that sortino out of the box? I can just max downside volatility?

    • Alexander Horn
      Keymaster
      Post count: 374

      Our “modified sharpe” considers also upside volatility, see here for math. We could do variations of that in future, but honestly would not even be on Top100 list right now – list get’s longer each day.

      I´ve done some backtests using Sortino Ratio before and there are circumstances where it absolutely makes sense and delivers better results, especially when using single and “bumpy” stocks, but generally do not feel it would be much of a boost in the mostly ETF based strategies. That’s out of the hips, honestly have not backtested our strategies using Sortino for a while now.

    • reuptake
      Participant
      Post count: 89

      Alex, have you ever tried using other performance measures? Ulcer performance index would be a great candidate…

  • daniel morton
    Participant
    Post count: 27

    ok thanks Alex

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