Trading on last day of the month questions

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  • #78806
    iantest1
    Participant

    Greetings, first off thanks for answering my recent questions here on the forum. I will reply to them all soon.

    I have question about trading on the last trading day of the month, ahead of when the allocations change on the website.

    Let’s use the the portfolio “Volatility less than 15%” as an example. As of 5/1, this is currently composed of:
    27% MYRS
    51% NAS100
    22% UISx3

    If I want to trade this portfolio in the final hours of the last trading day of the month, instead of on the 1st trading day of the month, I understand that I can use QuantTrader. I’ve tested QuantTrader a lot so I’m fairly familiar with it at this point.

    I understand that I can use QuantTrader to trade Strategies before the turn of the month. But, is it possible to do the same with Portfolios?

    The reason I see difficulty with this is I am not sure if the percentage allocation (ie 27%, 51%, 22% above) remain static in this portfolio or if, they too, change month to month. If that is the case, then I don’t see how I can re-create the portfolio in QuantTrader unless you share with me all of the QuantTrader parameter settings for this portfolio.

    Is this a fair assessment? Or am I missing something?

    #78809
    iantest1
    Participant

    In the description of the portfolio, it says “This portfolio is constructed by our proprietary optimization algorithm” so I suspect this is not possible and I just need to wait until June 1.

    #78810
    Alexander Horn
    Keymaster

    Hi Ian,

    yes, you can run the portfolio usig the “Cons. Signal” tab, that stands for consolidated signals. Just input the %s by strategy, amount, and select the period you want to be considered:

    Either the second, which would be based on last close prices or the
    Third, which would use intraday prices (sometimes data is not available, or recent dividend not considered)

    See here:

    portfolio-backtest-consolidated-signals

    #78812
    ikoskela
    Participant

    OK, does the “Volatility less than 15%” portfolio always adhere to the same percentages of the underlying strategies?

    #78813
    ikoskela
    Participant

    (This is my newly paid account btw)

    #78814
    Patrick
    Keymaster

    The Portfolio allocations remain static for the most part. They were optimized using the online Portfolio Optimizer rather than QuantTrader and use a long lookback period so they would not be impacted by market fluctuations. We will consider re-optimizing them periodically after Strategy changes or major markets shifts, but will be sure to give our subscribers advanced notice when we do.

    #78816
    iantest1
    Participant

    OK final question. On the website, the “Volatility less than 15%” portfolio is composed of:
    27% MYRS
    51% NAS100
    22% UISx3

    But NAS100 has 4 options in QT:
    Balanced with hedge
    Hedged
    Leaders
    Volatility

    Which do I use for the NAS100 component?

    #78818
    Alexander Horn
    Keymaster

    Use the main strategy, which is “Balanced with hedge”, the others are the sub-strategies – maybe also of interest if you want to play more aggressive.

    To above questions: Yes, the 5s by strategy remain the same during the year. We do the “markowitz” optimization once a year to reflect recent market data into the optimization. This optimization is the same you can do with the “Portfolio Builder” or “Portfolio Optimizer”, so you can create your own custom portfolio and re-optimize whenever you prefer.

    #78819
    Patrick
    Keymaster

    “Nasdaq100 hedged”. The core strategies are the bold ones in the strategy list.

    #78820
    iantest1
    Participant

    Great. thanks guys. I’m in the “Volatility less than 15%” portfolio now.

    #78887
    ikoskela
    Participant

    OK, next question here. I followed this procedure and entered the “Volatility less than 15%” portfolio within 1 hour of the close on Friday. Over the weekend, I received the official allocation and its different that what QuantTrader indicated it would be. Any explanation other than that’s the risk you take when you try to get ahead of the official signal?

    #78889
    ikoskela
    Participant

    What historical data provider was I supposed to use for this? I obviously chose “Use End of Day Data and Intraday Prices” but I’m not sure what I chose for Historical Data Provider. BTW — when you choose EOD on the Historical Data Provider option, what exactly are you choosing? Thanks

    #78890
    ikoskela
    Participant

    Also, why aren’t all the portfolios on the website simply replicated in QuantTrader out of the box? It seems like it would make this process a whole lot easier…

    #78891
    Alexander Horn
    Keymaster

    It works the other way around. We design and create our strategies in QuantTrader, then display them on the web-app. We changed the naming on the web-app slighly to make it easier to understand, with some years of experience you’ll get use to the LI slang :-)

    #78892
    Alexander Horn
    Keymaster

    We use EODhistoricalData (EOD) for everything displayed on the web, Tiingo is a fallback solution, Yahoo sadly does not provide dividend adjusted data. If you select the intraday option it is also EOD.

    #78896
    ikoskela
    Participant

    Yeah, I understand that portfolios are derived from strategies in QT. But, if I am pointed back to QT in order to get intra-day allocations for my portfolio, then I’m already being asked to use QT for ‘portfolio purposes’, not for strategy generation, and it would make life a little easier if the portfolios were already there. It’s not like that would be hard to do at all – the data is there. (FD: I run a software dev team)

    If indeed QT should function solely for strategy generation, then the more appropriate avenue for accessing intra-day portfolio allocations is the website itself. It’s not clear to me how the website is updated so I can’t comment on the potential difficulty with that.

    Setting that topic aside, any thoughts on why the official allocation ended up being so different that the allocation QT produced in the last hour of trading? I wonder if I should give up on trying to trade on the last trading day of the month and just go with the crowd on the 1st day.

    #78898
    ikoskela
    Participant

    I finally got QT working again today by rolling back to 520S (and accepting the strategy updates). In an effort to find out why QT gave me a different allocation for the “Volatility less than 15%” portfolio than the website is indicating, I again used the consolidated allocations feature in QT to set my portfolio to:
    27% MYRS-ZIV Hedged (to map to MYRS on the website)
    51% Nasdaq 100 Hedged (to map to NAS100 on the website)
    22% UIS SPXL-hedged 3x leveraged (to map to UISx3 on the website)

    The result is:
    TMF 15.40%
    UGLD 13.50%
    ZIV 13.50%
    GLD 12.24%
    TLT 8.16%
    CHTR 7.65%
    EBAY 7.65%
    KHC 7.65%
    PCAR 7.65%
    SPXL 6.60%
    TOTAL 100.00%

    However, the website indicates the allocation for this portfolio is:
    AAPL 5.1%
    COST 5.1%
    EBAY 5.1%
    GLD 18.4%
    MSFT 5.1%
    SPXL 8.8%
    TIP 12.2%
    TMF 13.2%
    UGLD 10.8%
    ZIV 16.2%
    Total 100.0%

    Which is right? And what is accounting for the difference between the two?

    Thanks!

    #78899
    ikoskela
    Participant

    Guys, I figured it out. I needed to click “Actual Allocations based on Intraday Price”. They are now producing the same results. THANKS!

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