QuantTrader LATEST UPDATES – Updates Only

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This topic contains 64 replies, has 17 voices, and was last updated by  Mark Faust 1 year, 7 months ago.

Viewing 15 posts - 1 through 15 (of 65 total)
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  • #37023

    Vangelis
    Keymaster

    Update November 2017:

    We’ve created a new download page for QuantTrader updates, please see here.

    #37024

    Vangelis
    Keymaster

    This is the latest QuantTrader Version 306S with the updated ini file of our strategies.
    For most strategies there are 3 versions. Example:
    GMRS (is the equity only strategy)
    GMRS hedged (is the hedged strategy composed of the GMRS equity strategy and the hedging strategy (BRS Top1))
    GMRS table output (is only used to produce the ranking tables with all ETF symbols)

    306S Changes:
    – New Parameter in the advanced tab to delay trading up to 21 days (one month). Also the Analysis day can be individually set. Before it was always the last day of the month. Now it can be set to any day of the month with this additional delay until the trade is made.
    – Several bug fixes concerning the duplication and renaming of strategies.
    – Bug fix with trading costs

    https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader306S.zip

    #37129

    Frank Grossmann
    Participant

    This is the latest QuantTrader Version 307S with the updated ini file of our strategies.
    For most strategies there are 3 versions. Example:
    GMRS (is the equity only strategy)
    GMRS hedged (is the hedged strategy composed of the GMRS equity strategy and the hedging strategy (BRS Top1))
    GMRS table output (is only used to produce the ranking tables with all ETF symbols)

    307S Changes:
    – Quarterly rebalancing is now possible (Q symbol). Normally you also have to change (make longer) the lookback periods to obtain good results with quarterly rebalancing. You have to do this in all sub-strategies. For example you have to change the GMRS strategy itself to quarterly with a good lookback period and then also switch the GMRS hedged strategy to quarterly. Also this strategy will probably need a longer lookback period. Be aware that with quarterly rebalancing the hedge is only increased with a very long delay. Therefore you should run the strategy with high volatility attenuation values. This means that you always allocate about to risk parity.
    – Bug fix with ETF multipiers. For every ETF you can set a multiplier which multiplies or divides the daily performance. This is for example necessary if you work with inverse ETF. Many of them only exist in a -2x or -3x leveraged version. If you multiply them by 0.5 or 0.333, then they behave like a 1x leveraged ETF in the strategy. But be aware that you have to buy 2 or 3 times less of these ETFs. The allocation is the one for the unleveraged ETF.

    https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader307S.zip

    #37653

    Frank Grossmann
    Participant

    This is the latest QuantTrader Version 308S with the updated ini file of our strategies.
    For most strategies there are 3 versions. Example:
    GMRS (is the equity only strategy)
    GMRS hedged (is the hedged strategy composed of the GMRS equity strategy and the hedging strategy (BRS Top1))
    GMRS table output (is only used to produce the ranking tables with all ETF symbols)

    308S Changes:
    – Bug fix when exporting meta-strategies
    – New “go to cash” function.
    Go to the “Strategy Parameters” and open the “Advanced” tab. You will see an input field for the “Cash Sharp Limit”. You can give cash a sharpe value and then cash is ranked together with the ETFs. Good values are Sharpe values of about 0.85. All top ranked ETFs are compared to this cash Sharpe and if the ETFs have a lower Sharpe than cash, the strategy will replace them with cash. QuantTrader calculates sharpe slightly different to allow a ranking of ETFs with negative performance. The percentages are normalized to 1. 0% performance=1. 2% performance=1.02, -5% performance=0.5. Same is done for volatility. If we have for example a performance of 12% and a volatility of 17%, then the normal Sharpe would be 12/17=0.7. The sharpe how we calculate it is 1.12/1.17= 0.95.
    So, if you use for example 0.85 as cash limit, then ETFs can also have slightly negative performance and they are still not replaced by cash. You will have to do some backtests to find out which is a good cash sharpe value. Giving cash a sharpe value is the much better method than just going to cash when the lookback performance of an ETF was negative.

    Download link: https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader308S.zip

    #37711

    Frank Grossmann
    Participant

    This is the latest QuantTrader Version 309S with the updated ini file of our strategies.

    309S Changes:
    – Bug fix when exporting and importing strategies

    Download link: https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader309S.zip

    #38264

    Frank Grossmann
    Participant

    With the newest Version 310S of QuantTrader, I have added a “Strategy of Strategies” which allocates between 9 Logical Invest strategies. Maximum investment per strategy is set to 30% and the strategy shows the top 6 strategies.
    Unfortunately the strategy will not give you an allocation down to every ETF because the LI strategies itself are already metastrategies and this “Strategy of Strategies” is a metastrategy of metastrategies. You will still need to multiply the % Strategy investment by the strategies ETF allocation to get the final allocation.

    This is the latest 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.zip

    #38406

    Frank Grossmann
    Participant

    This is the latest QuantTrader Version 311S with the updated QuantTradre.ini file of our strategies.

    311S Changes:
    – Now QT will ask you if you want to download current 15 min delayed prices. This will only happen when the US market is open (beginning from 3.45pm). Downloading current 15 min delayed prices is slower than downloading the last days closing price.
    – Several input checks now prevent the user to input forbidden special characters into different text fields. This was corrupting the QuantTrader.ini file in the past.
    – It is now also not longer possible to input 5% limits when the QT was in the 10% step mode.

    Download link: https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader311S.zip

    #38650

    Frank Grossmann
    Participant

    Here is a zip file containing some ETF lists in csv format. There is Nasdaq100, Dow30, US sectors, 240 SP500 stocks with highest market cap. …..
    You can use these ETF lists to load all ETFs automatically into QuantTrader

    https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/ETF%20csv%20lists.zip

    #39162

    Frank Grossmann
    Participant

    This is the latest QuantTrader Version 312S with the updated QuantTrader.ini file of our strategies.

    312S Changes:
    – Bug fixes of the current prices download management

    Download link: https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader312S.zip

    #39240

    Frank Grossmann
    Participant

    This is the latest QuantTrader Version 313S with the updated QuantTrader.ini file of our strategies.

    Changes:
    – Bug fix of ETF download when adding new ETFs
    – Bug fix of optimization error when ETFs had 0.0 values in the adjusted closing prices

    https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader313S.zip

    #40464

    Frank Grossmann
    Participant

    This is the latest QuantTrader Version 314S with the updated QuantTrader.ini file of our strategies.

    Changes:
    – changed some labels for better readability
    – Top n ETFs limited to available ETFs
    – small bug fixes
    – bug fix: Max allocation must be bigger than 0%
    – Removed “no ranking” algorithm

    https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader314S.zip

    215S planed changes
    – detection and correction of pricing errors (splits ..) in Yahoo data feed
    – signal consolidation tool (similar to the online version)

    #40493

    Tom Gnade
    Participant

    314S the min/max allocation logic is not working correctly.

    #40864

    Frank Grossmann
    Participant

    Here is the latest version of QuantTrader with the US Sector strategy. The setup contains several strategies of which the strategy “0 US sectors multi momentum with inverse ETFs” is the strategy we will run at Logical Invest.
    The other strategies are just other possible combinations. You can use them or modify them as you wish.

    ATTENTION!!!! The strategy used at Logical Invest will use inverse sector ETFs instead of shorting sector ETFs. These ETFs are all leveraged 2x or 3x. In the strategy we have normalized this leverage o 1 by using the ETF multiplier. If QuantTrader will now select one of these inverse ETFs with for example 20%, then you need only to buy 10% if it is a 2x leveraged ETF. For the 3x leveraged it would be 6.66%

    Here is the download link:
    https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrade314S%20with%20US%20Sector%20strategyr.zip

    #40985

    Caleb Mock
    Participant

    How do we update our QuantTrader.ini file without losing all of our custom portfolios?

    #41457

    Frank Grossmann
    Participant

    just replace the old QuantTrader314S version with QuantTrader315S and keep your QuantTrader.ini file.

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