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Thanks for the tip on Tiingo, they appear to have the correct adjusted close values. And thanks for passing along the issue to EOD. I wasn’t sure how the value was calculated in the _XLG file since the adjusted close is not available via the free EOD download.
Hi,
I’m just following up on this to make sure there is not a problem with the way the split is handled for historical data. I have a copy of the data file that I can send along if that helps. Thanks.I was afraid it was a change due to user requests. So, now you have users requesting opposite features. That’s the problem with us users.
How about a slightly different compromise? Keep everything as is, but add a menu item that brings up a table, in a separate window, of the daily results displayed in the bottom pane. This could be 7 columns and the rows limited to the timeframe displayed. The columns would be date, portfolio daily performance, portfolio daily return, benchmark 1 daily performance, benchmark 1 daily return, benchmark 2 daily performance, benchmark 2 daily return.
Yes, a new feature request and I’m sure you have plenty already. But as I mentioned, I find this information very valuable for researching how my test portfolio’s would have responded on particular days. Another challenge is that the current performance graph is relative to the extremes of the displayed portfolio. When comparing across portfolios this can fool your eye, unless you pay attention to the high/low values.
In the meantime, I discovered the #{portfolio}.csv file which has the portfolio performance and return. The added feature request is to row limit it and add in the benchmark values.
Thanks for considering.
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.
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.
Thanks for such a quick turn-around on fixes.
When I select the option for End of Day Data and Intraday Prices I get an unhandled exception error on startup. It gives the general message of index was outside the bounds of the array. However, when I select just End of Day Data, it startups just fine.
Let me know if there is more info I can provide.
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.
I liked this strategy idea, especially as part of a larger strategy of strategies. But I also feel it has issues with implementation, at least for me at Interactive Brokers in an IRA account.
During opening of a position in YCS I got an error stating this security is not allowed in IRA accounts. I was able to open a position in YCS in my regular brokerage account. Apparently, IB has removed about 200 securities from IRA accounts.
Here is what they said to me: We have implemented a restriction whereby IRA accounts will be prohibited from opening positions in a list of approx. 200 Limited Partnership securities these type of securities introduce reporting considerations and costs that we’ve concluded are not justified given the overall low level of client interest in them.
As a result of this decision, IB is no longer accepting opening orders for such securities and we ask that you either close or transfer these positions to an IRA account maintained with another broker at your earliest convenience.On this list are YCS, EUO, CROC, and UUP. I have the full list if anyone is interested.
Would it make sense to buy puts on FXY?
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.
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?
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?
