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thought this might be of interest.
Thanks. Do you have any backtesting done on the futures short VIX 3-4 months and long 5-7 months? Does this perform better than the ETF b/c of liquidity or something else?
Other than limiting ones allocation to MYRS is there a way to reduce DD in a single month? Any simulations on a stop loss? thanks.
ok thanks Alex
thanks Alex. Modified is that sortino out of the box? I can just max downside volatility?
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?
Do users of the quantrader have this same issue? I have multiple versions of Max Sharpe over the course of the day. They have different instruments, different weightings all for the same strategy. You can see my log under my email.
Separately, I believe if you use the copy function (as opposed to CSV) it is error prone (or my error) since it is not parsing correctly in excel eg. DLTR probably b/c of the , or .
Thanks Alex. Yes, I understand it might be quick to do manually but my experience with excel/trading is that I prefer to spend the time on checking/reviewing rather than doing any manual changes, that is where we (I) make mistakes. If you have IRAs, different accounts etc… you could have 3+ places to rebalance. Again my preference would be a 3rd party but 0.8% is too high as I mentioned before for just execution. Numbers work on $100K investment but not on $1M.
Sorry I didn’t understand the tail risk, what security are you referring to?
Happy New Year. Is there any way to make the export tool from consolidated signals in the format for IB import? so similar to you offering CSV, Excel, PDF, offer IB? separately, have you considered adding any stop losses on the strategies? It seems there should always be some downside mitigation the only issue is how much downside. Thanks.
Great thanks, that is the tool I need.
Thanks Alex. Is there anyone else offering managed account services than EPG? I pay 0.8% on pretty active bond managed funds where there is daily credit/leverage analysis. The managed account LI is essentially an automated order execution platform. I would prefer to pay you guys. If there isn’t another investment advisor, anyway to automate it with IB? Thanks.
Are the CROC purchase signals in Max Sharpe/Min volatility correct? I don’t recall seeing CROC purchases. I am not sure how I would check. I would need to look at each strategy and then each security in each strategy unless there is another way. thanks.
Thanks Alex. hmmm, that doesn’t seem to explain it. So assume I made a mistake and selected max sharpe 2 issues 1) it would not be allocated 70/30 to just 2 stocks? also, it is labelled custom portfolio whereas Max Sharpe I believe would be labelled as such on the excel output file. My guess (again a guess) is this is similar to the previous time it is saying calculated but it isn’t. Maybe a log file isn’t recording everything. I used a screen copy otherwise I can download going forward. Perhaps in any file downloaded you can include some info about the search query/timestamp etc… to be able to debug.
Yes, tool easier. if there are funds to not be invested then I would suggest having a ticker for cash (perhaps there is one).
Thanks, ok understood re. timing.
ACWV – Agreed, I didn’t think it was part of MYRS either. I ran consolidated signals yesterday under Maximum Yield (unless I made a mistake) and it allocated to 70% to ACWV and 30% CWB. If possible I would suggest in the export that it includes the Total it shows what the custom portfolio is in some abbreviated version. Or you can see my log file if I or system made a mistake. Should be easy to find under my name search was for $500K USD.
I don’t see the mid-month signals for MYRS?
Also, something I don’t understand is MYRS has ACWV and Max Sharpe includes a 7% allocation to MYRS, yet Max Sharpe doesn’t include any ACWV? did I miss something? Thanks.
Hi Vangelis, have you found any indicator for timing buy/sell signal for the crypto currencies? Price appreciation is so much recently that I am not sure if it is possible to extract any correlations. Thanks
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.
ok cool got thanks.
I am getting unusual stock prices. See attached Oct 2, 2017 Max Sharpe strategy. ISRG shows a symbol price of >$1000 yet the it trades at $360.. when i redownload today it gives the current share price.
Thanks LI. If you could please include the Sortino ratio, max drawdown and duration (i.e. drawdown + recovery). I think the portfolio builder should take desired returns/metrics as inputs and display the weighting of strategies as outputs. Separately, it is difficult to appreciate the impact of the metrics regardless if they are inputs or outputs. CAGR is clear but at what volatility do people panic and abandon strategies even if the volatility is within the bounds of the strategy but not acceptable psychologically.
Are you able to backtest the bond rotation further back? either with its current holdings or similar proxy which has prices before that period. thanks.