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I have uploaded a new QT version 532S. If you start the old one this one should download automatically. The version has updated server settings for EOD so that this downloads again now. I don’t see the Tiingo problem. Just 1 hour ago I was able to redownload the stocks from Tiingo.
I tried this with some strategies, but I could not replicate an error. Which strategy produces this error? Can you send me your zipped QT folder at [email protected] so that I can test with your files?
Yes, you can go to the data folder and you will find csv files with a # in front. These are the daily price data lists of the strategies. In fact, strategies are saved here the same way as stocks and ETFs.
If you want to add a symbol to a list, then you can open the list manager and add it to the list.I agree. The ETF choice for the leveraged strategies is rather small. I would rather use the US market strategy as this one can invest in TIPs Inflation protected Treasuries which makes much more sense seen the incredible amount of money flooding the markets. Better leverage this strategy on a margin account if you can.
I would not buy futures with less than one month expiry. I roll about a week before expiry and as these are extremely liquid with small spreads, rolling is really not a problem. Rolling options is far more difficult as these have bigger spreads and you need to be patient to get a mid price between ask and bid.
QuantTrader downloads only closing prices, so „actual“ is still the closing price of Friday 29. If you download intraday prices, then „actual“ will show February 1.
The actual tab just tells you which data has been used for the displayed allocation. You will never see Saturdays and Sundays as QT will not get any new price data these two daysI checked yesterday and today and at least this time it seems to show the correct allocation as invested for „Jan 18-20 2020“ and also on the actual tab. Please report when there is an error so that I can then work with the same data to find the bug. Regards Frank
Bi-weekly always changes every second Friday close and semimonthly at month end (like monthly) and about the 15th of the month. If you combine such strategies with monthly strategies, then semimonthly is the better choice.
Just copy the two updated “Nasdaq 100 low volatility.ini” and “Nasdaq 100 leaders.ini” into the ini folder of your project
The Nasdaq100 components have been updated and 2 delisted ETFs (Gulf and Soil) have been removed.
I only made a small change to the treasury hedge strategy. I removed the mean reversion parameter because it was responsible that we switched to cash after the first treasury spike and missed most of the strong TLT rise during the Covid crash. This mean reversion is good in sideways going markets but bad during a market correction when Treasuries perform well and as long as TLT performs well we should stay invested in it.TAIL is buying OTM put options and invests the remaining capital in Treasuries. If you check the chart then you see that it performed very bad 2017 and 2018 when Treasuries did not perform as good as the last 2 years. Buying put options is like buying VXX a very bad strategy to protect your portfolio
I looked at this problem and found that somehow the csv files begin at 200 instead of 100 (percent). So to get the same result as displaied you have to substract 100 from each price value and then do the division as you did it. We already did a new test version of QT with csv files beginning at 100 and will fix this error with the next version. The good thing is that the backtests do not change between the versions as we calculate only with daily percentual changes
You would have to put TMF and UGLD in the “hedge” section. This way QT will rank in “DR=dynamic ranking” mode all TMF-Nasdaq pairs and all UGLD-Nasdaq pairs and pick the best ones.
If you switch to SR=static ranking, then it just ranks all stocks and ETFs without creating pairs. The DR pairs ranking has the advantage that also the negative correlations between hedge and stock have an effect on the result.In November CA was bought by Broadcom and in December ESRX was bought by Cigna. Once these takovers have been done we had to update the N100 company list and recalculate the ranking. This ranking is then obviously different and somebody who starts the strategy mid month would have had to buy other companies than at the beginning of the month.
This is ok and does not mean that the 4 stocks at the beginning of the month are wrong. Anyway if you use QuantTrader you will see that intra-month there can be quite some changes in the ranking especially when we have such high volatile markets.
Normally when there is no takeover, you don’t see these changes on the website.It is correct. One problem is that many very good performing companies we have been invested are disappearing because they are bought by other companies. I would say that you can not look back more than 5 years.
The other cause is that the balanced strategy which now is slightly more conservative, selecting more the low volatility strategy. This obviously propagates back to the past when we had a low volatility market and the leader strategy was selected much more. In a high volatility market environment going forward, the leader strategy however is quite dangerous.
Reason number 3 is that the new hedge is not using 3x leveraged Treasuries and Gold anymore, so the strategy itself is less leveraged.Regards Frank
It may help in case of a black Swan event for the whole market or for a single company. But you should set the stop loss limit quite far away from the actual price. I would recommend at least 10% as many of the stocks selected by the “leader” sub-strategy have been very volatile and even a 10% stop loss would have sold many stocks which would have recovered only days later.
Can you email me ([email protected]) the whole ini subfolder as a zip file so that I can reconstruct this error using your strategies?
I downloaded XT without problems using the newest QT version. I used the default data provider (Tiingo). I did not use the $symbol in front. Make sure you do not write something in the field just below the symbol. This is reserved for the stock market symbol and must be empty for US ETFs and stocks.
Can you email me your QuantTrader.ini file to [email protected] so that I can try to replicate the error.
Can you email me your QuantTrader.ini file to [email protected] so that I can try to replicate the error. Alternatively you can try to select Yahoo finance on startup as data provider. Perhaps this works.
Regards FrankIt is quite simple to test forex strategies in Quanttrader. You just need to use Yahoo to download the historical data and then you can use all forex pairs like EURUSD=X. You can see all pairs in Yahoo finance.
It is however not simple to get good results with forex pairs as these pairs are heavily influenced by national bank politics which makes their moves a lot of times quite unpredictable.You are right, GLD has a very strong inverse relation to the strength of the US$. The problem however is that the US$ is mainly driven by unforeseeable political events like this time the Turkish Lira crisis. This makes it very difficult to do any successful Forex strategy based on momentum. Unfortunately we have the same problem with Treasuries. These can react very strong and unforeseeable on any smallest Fed comment.
In the “Consolidated Allocations” window of QuantTrader you can click for example on the “Symbol” row header which will sort the allocation table by symbol and select the whole table. Now you press ctrl-c to copy the table and then you can paste the table in Excel or other documents.
You can however not paste directly in the IB rebalancing tool. Here you have for example also to set the allocation of existing positions to 0% if you want to close them.The Gold strategy is thought to be a “Gold” strategy not a currency strategy, so the currencies should only be used to reduce Gold price losses due to a strong US$. At the moment we are invested 20% in YCS which means that we hedge 40% of the currency risk. It would be very dangerous to invest too much in these 2x leveraged currency ETFs, because they can do wild unpredictable moves if a national bank changes money politics.
Another reason that the YCS hedge allocation is still quite low at the moment is, that the Gold was still flat for the year until May, so most of the 6% down this year happened in June.You are right, the Range Sharpe field is not really necessary, and I think it would be quite simple to replace it by a “Range Draw-down” field. Perhaps even a switchable Sharpe/DD distribution graph would be possible.
I will put it on my To-Do list.Hello Richard. Here some more answers:
1) Yes all changes we do on QT will also be in the subscription signals.
2) I think it was communicated also in the email signals. Reason was that we did not want to depend on Treasuries only for a longer period of raising rates.
3) Yes, I published an update. QT software updates are published here. https://logical-invest.com/quanttrader-download-old/
and in the download zip folder there is also a history of the strategy updates because many times software and strategies are updated.
4) If shorting inverse stock to replace a long position, then this makes only sense with 3x leveraged ETFs as these have the biggest rebalancing losses. SPXU or SPXS are basically the same. You should short the one with the lower borrow rate.
5) We are always learning and working on the strategies and on the software. We will always optimize strategies so that they would have delivered the best possible results during all recent market corrections. If something new appears then we will include it in our optimization. With the new hedge we included the possibility that Treasuries could stop to be a safe haven asset. Problems could be raising rates or also China dumping Treasuries on the market. Gold and inverse sectors are two additional safe haven assets for the worst case. We think that this way we have the highest chance to survive a future market correction. Markets change and strategies have to adapt to these changes.2nd part
1) Yes
2) The changes have been communicated in the emails and in the QT version history but you are right we need to make it easier to find these things on the web site.
3) I published an article for the February updates: https://logical-invest.com/logical-invest-strategy-update-for-an-inflation-environment/
It can be that one strategy was slightly better with only Treasuries because Treasuries performed really well before 2018. Looking back this is clear because Gold did not perform well. In general is dangerous to rely on one single ETF as a hedge. I prefer a strategy with more hedging possibilities. Year to date the Hedge strategy did quite well compared to Treasuries. A diversified strategy is always better than a strategy limited to a few well performing stocks. The more broad is your investment universe the smaller is the chance that you only did good results by pre-selecting ETFs from which you know they did well in the past.
On the equity side we have always been well diversified. The problem was the hedging side of the strategies.I will discuss with my partners how to publish strategy changes better, so that you can see a sort of strategy version history with each strategy.
We made some changes for the hedging strategy end January. Also the stocks can change because the stock list is updated from time to time for companies leaving the Nasdaq and new ones coming in.
The web site shows the real performance of every month. At the beginning this was with much simpler algorithms. Your QuantTrader in fact shows how the backtest would have been with the latest algorithms and settings.We will try to make this better. We just go through the color wheel and also change saturation, but sometimes it is difficult to see these color differences on the monitor.
“Data has changed” means that you have changed some parameters of a strategy – for example the look-back period. To save the changed parameters you have to click the “Update” button. The “Revert” button will always go back to the saved parameters. For example you can optimize or change manually a parameter and look at the result using the “Apply” button. Now if you don’t like the result you click on “Revert” to go back to the saved version.
If you have changed some parameters and did not save them with the “Update” button, then you will get the “Data has changed and will be lost if you continue” message if you change to another strategy because your changes will not be saved.An easy way to backtest this strategy is to replace SPY and TLT by the Vanguard mutual funds VFINX and VUSTX. They are practically identical to SPY/TLT. To simulate the leverage you can add a daily multiplication factor to each of the mutual funds. The factor will be slightly less than 3 because of the rebalancing losses of these leveraged ETFs. 2.9 is a good value.
If you add VFINX and VUSTX using the symbol manager, you have to select Yahoo as data source.https://seekingalpha.com/article/2823336-spy-tlt-universal-investment-strategy-20-year-backtest
Can you please send me your QuabtTrader.ini file, so I can check what could be the problem. By the way there are always backups of this file created every time you do changes. The backups have date and time in front. To go back just remove the date-time string and replace this way the QuantTrader.ini file which makes problems.
First thing to do is to choose Yahoo as data provider if you use foreign stocks and ETFs. In symbol manager you have to insert the full Yahoo symbol name which is for example ISF.L (L for London stock exchange). You can also select Yahoo as the historical data provider here. This will overwrite the selection if from startup you would for example use Tiingo.
Now you have to do a separate strategy for the UK stocks. If you want to use this UK strategy alone, then there is no need to currency convert it to USD, however if you want to use it within a USD meta-strategy then you should currency convert the strategy. For this add the Yahoo symbol GBP=X (USD/GBP) to QuantTrader using the symbol manager. Now open your strategy within the portfolio manager and select GBP=X as the “Currency conversion ETF”. This will multiply the portfolio chart by the GBP/USD chart. Make sure visually looking at the chart that you use the good currency conversion ETF because there are always 2 of them for GBP/USD or USD/GBP.Can you please send me your QuantTrader.ini file to [email protected] so I can replicate what happens.
I just tried to load these symbols and it worked. I click “new symbol” then the name field gets blue and l write the symbol name. Then l click “save”
If it still not works, then please send me your QuantTrader.ini file so that I can replicate the error.You are right. I need to do a similar version history for the QuantTrader.ini file to write down all changes which have been made to the strategies. I will add this to the next QuantTrader version.
I will publish a strategy update later today which will add the possibility to go short a US industry sector to our Hedge sub-strategy. Together with Treasuries and Gold there should always be something which works more or less.
Gold did not work so well as a hedge during the last correction, but this is quite normal in the first moment of a correction because there have been many leveraged investors in urgent need of liquidity. In such a moment they normally sell whatever they can to increase their margins and this includes also Gold and Treasuries.Most of the time it is easier to to recreate your strategy using the newest LI strategy file (QuantTrader.ini).
With the newest version you can perhaps also just use the new “consolidated Allocations” window to allocate your mix of strategies. You can now instantly see the backtest and performance parameters. This may be a good replacement for any self made meta strategy.
Most of the time it is easier to just update a changed strategy manually, because if these strategies are used in other strategies as sub-strategies, then you can not just delete and replace them. I normally put two QT windos side by side and open both strategies. Then I change the parameters so that they show exactly the same performance over 5 or 10 years.Pls download the Zip file which contains also the latest QuantTrader.ini file
https://logical-invest.com/quanttrader/QuantTrader510S.zipIf you have a margin account, then you can do leverage just by buying 3x the amount of the unleveraged ETFs. There are also many leveraged products in Europe as a replacement of these ETFs. Look for example for the “Faktor Zertifikate” of the German Commerzbank. Always compare the charts to be sure that you replace our ETFs with a matching European ETF
Yes 138 shares are correct. The backtest is correct. Inside QuantTrader we divided the daily performance of these leveraged ETFs by the leverage factor so that we have now all ETFs inside QT like unleveraged ETFs.
The problem is that you will not get good resulty when you mix unleveraged and leveraged ETFs in a strategy. This is why we normalize these ETFs to leverage=1The signals are the same, but the historical performance charted on our website may be different from the one shown in QuantTrader, because QT calculates the historical performance from scratch with the latest version of the strategies. Our website however shows the real performance we got with the strategies as they have been at previous times.
If we make updates to the strategies, then QuantTrader will notify you automatically to download the new strategy file (QuantTrader.ini).I checked this and I see that at least in the last QuantTrader.ini strategy file it is defined as a “short” strategy. In any case you have to go short these ETFs to run the strategy. This is at least with Interactive Brokers no problem. They are very liquid.
We had two major draw-downs of the S&P500 end 2015 beginning 2016. Both recovered quite quickly, but not only for the MYRS strategy this type of quick ups and downs of the markets is not good for strategies with monthly rebalancing. The strategies changed the allocation to safe treasuries only to miss the recovery a month later.
If one of these draw-downs would have been the begin of a bigger market correction, then however we would have been on the safe side.
Personally I think that anyway draw-downs of the ZIV ETF much less severe than draw-downs of stocks or index ETFs as we know that volatility will always revert to its mean level after quite short time. Seen like this, any draw down is rather a good investment opportunity.At the moment we have a problem with QuantTrader not being able to download intraday prices from Yahoo. The problem is that Yahoo closed the access to 15min delayed prices since Nov 1. As you probably know Yahoo is in a restructuring phase after being sold.
Now we have to find a replacement. We are just now trying if we can use the Google price feed instead of Yahoo.
I am sorry for the trouble and hope we will have a fix shortly.This is the latest QuantTrader Version with the updated QuantTrader.ini file of all our strategies.
ATTENTION – You need to download this zip file manually using the below link. Due to a bug in the automatic update routine versions 503, 504 and 505 will not download version 506 automaticallyQuantTrader version 506S changes:
– Fixes a bug which prevented the automatic update of the portfolio files.
Pls download the Zip file which contains also the latest QuantTrader.ini file
https://logical-invest.com/quanttrader/QuantTrader506S.zipI don’t think this will change anything. The step to define an index based on the fund is just marketing. Index data can be sold and others can build products based on this index. It shows however, that CWB is a very popular and liquid ETF which is in fact good for the Bond Rotation Strategy
This is the latest QuantTrader Version with the updated QuantTrader.ini file of all our strategies.
QuantTrader version 502S changes:
– New download repository (changed from Dropbox to Logical-Invest)
– MTD bug fixATTENTION!!!!!!!! ATTENTION!!!!!!!! ATTENTION!!!!!!!! ATTENTION!!!!!!!!
The 502S version which downloads automatically will be an empty 0kb file which gives you an error when you try to start it on your PC. Please use the below link to download the 502S version. From this version on, the automatic download will work again.Pls download the Zip file which contains also the latest QuantTrader.ini file
https://logical-invest.com/quanttrader/QuantTrader502S.zipSorry for the late answer!
You can use it, but I would manually look that you are well diversified if you want to be globally invested. QuantTrader does not know about this and it can well be that you end up invested near 100% for example in the US market.You can add such a bond (for example CMF or PCQ) without problems to any strategy using QuantTrader. Mainly PCQ looks like a good ETF.
Attention!!!!! – New download links
We had to move the repository away from Dropbox, since they do not allow public links anymore. The new download links are as below:
https://logical-invest.com/quanttrader/QuantTrader323S.zip
https://logical-invest.com/quanttrader/QuantTrader400S.zip
https://logical-invest.com/quanttrader/QuantTrader401S.zip
https://logical-invest.com/quanttrader/QuantTrader500S.zip
https://logical-invest.com/quanttrader/QuantTrader501S.zipThe last link is the latest QT version. All other links can be easily constructed just by changing the QuantTrader version number
Regards Frank
It is difficult to say why there is this discrepancy. Are you sure that the QuantTrader.ini files are the same? I would need to check this. If you want, then please send me the two QuantTrader.ini files by email to [email protected]
This is the latest QuantTrader Version with the updated QuantTrader.ini file of all our strategies.
QuantTrader version 501S changes:
– Bug fixes of ETF price data download.
– New MTD (month to date) time range available for the charts
– Variable, manually set time range is now available for the chartsPls download the Zip file which contains also the latest QuantTrader.ini file
https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader501S.zipBest is to set leverage only in the Cons. Allocation Tool. Here you can add strategies for example to a total of 200%
This is the latest QuantTrader Version with the updated QuantTrader.ini file of all our strategies.
QuantTrader version 500S changes:
– New program layout. Now all menus are accessible from the main form.
– Fixes an error when downloading intraday price data.Pls download the Zip file which contains also the latest QuantTrader.ini file
https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader500S.zipYou are right. This is a bug which came with the implementation of the new Tiingo stock price feed. I will fix this with the next version. Thank you for reporting this.
Regards Frank
It is normal that a virus scanner reacts if you start QuantTrader the first time because QT does not need to be installed. It should however at least ask you if you really want to execute it. This is at least how Microsoft Defender does it. You can probably tell Bitdefender to exclude QT from its virus scans.
No, This can really happen due to the fact that we use 5 uncorrelated strategies. But in such a case we would probably just go long the difference and go to cash with 30% or we would go long the second best sector.
No, I don’t think it makes sense to change the meta strategy allocation each month. The problem is that if you would for example change from the Nasdaq 100 strategy to a safer strategy like Bond Rotation, then you profit only half if there is a recovery. It’s like selling half of your Nasdaq100 allocation and go to cash. This means that you realize a loss with no chance to recovery. The Nasdaq 100 strategy had a lot of such one month draw downs but it had even more really big monthly gains with single stocks surging 20% or more.
However due to the high valuation of the Nasdaq100 and the normally underperforming summer period I would not invest too much in the Nasdaq100.You only get intraday prices 15 minutes after the US stock market opened. This because of the 15 min delayed data. You will see that you use intraday data if the last date on your chart is the actual date.
This is the latest QuantTrader Version with the updated QuantTrader.ini file of all our strategies.
QuantTrader version 401S changes:
– Main investment strategies are now listed in bold letters and sub strategies in gray letters to make the strategy
structure more clear.
Pls. download the Zip file which contains also the latest QuantTrader.ini file with grayed sub strategiesTiingo is quite slow, but 3 hours seems much slower than normal. Only the very first user has to download directly from Tiingo. Once a symbol has been downloaded it will be mirrored on our ftp server and then the download is very fast. However as you are living in Australia you are probably most of the time the first one to download the symbols.
A faster way would be to use Yahoo again, but the data quality is not so good as Tiingo. Tiingo consolidates from several sources and removes errors manually.This is the latest QuantTrader Version with the updated QuantTrader.ini file of all our strategies.
QuantTrader version 400S changes:
– Quantrader now calculates consolidated allocations across strategies!!!!!
You can access the ETF/stock consolidation page with the “Show cons. allocations” in the lower right corner of the backtester window or directly from the main window.
The consolidation window allows you to enter a dollar amount to invest, and the per strategy allocation in percent. It will then download the current prices of each ETF and calculate the number of ETFs or stocks to buy across all selected strategies.
Please check the results before investing!!!– Bug fix: Trading delay in system settings
– Bug fix: prevention of sub strategy loopsYes, this is a bug. I will work on this for the next version. You can set the trading delay also in the “advanced” parameter tab of the single strategies. This one works. Here you can also set a different ranking day if you want.
Thank you for reporting this error!This is the latest QuantTrader Version with the updated QuantTrader.ini file of all our strategies.
QuantTrader version 323S changes:
In the startup menu you can now choose between 3 different financial data provider:
1) Tiingo is our new default data source. Tiingo uses itself financial data of different sources and checks it for errors. I think Tiingo has the best data quality. Tiingo however only provides US ETFs, Stocks and Mutual Funds. For foreign ETFs, you have to use Yahoo or Google data. Tiingo downloasd quite slowly, this is why we mirror the data on an ftp server. Once the first QuantTrader user has downloaded the data, the folowing users get it very fast directly from the ftp server.
2) Yahoo data download works again. We had to simulate the protection password for download. Yahoo is probably the second best provider of historical data. It has however quite a lot of errors in the data. Best is to check the charts. Normally Yahoo forgets to adjust for splits which results in big price jumps in the charts.
3) Google finance data is adjusted for splits but not for dividends. If you compare the performance of a dividend ETF strategy like for example BRS (Bond rotation) then this makes quite a difference compared to Tiingo or Yahoo data. For stock strategies like Nasdaq 100 the difference is quite small. The rebalancing results are most of the time the same as calculated with dividends. So Google is here as a security backup or to get financial data of foreign stocks.If you want to use foreign ETFs then you should do the following:
If you only run foreign ETFs, then you can directly download from Yahoo. If you have use also many US ETFs, then I would download from Tiingo and just set Yahoo as download source in the Sympol manager. If you want to load for example a German Eurostoxx 600 ETF from Commerzbank (Symbol C060), then go to Yahoo finance and search for this symbol name. Now you can write “symbol name”=C060, “full symbol name”=C060.DE with DE indicating that I get the data from the German stock exchange. Under “Historical Data Provider” you choose Yahoo. From now on QT will download this symbol from Yahoo even if you select Tiingo as the data provider.
With this 3 providers we should be safe to download always the data necessary to calculate the rebalancing allocations.
This version also contains an updated QuantTrader.ini file. I have updated the Nasdaq 100 components
Download link:
https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader323S.zipThis is the latest QuantTrader Version with the updated QuantTrader.ini file of all our strategies.
Version 322S changes:
– fixes data download errors due to incomplete data
– when you start QuantTrader you will have a selection which allows you to:
– start with local data (very fast)
– start with end of last day data (fast when the data is already on our ftp server)
– start using intraday data for the current day. This will use the 15min delayed intrady prices for the current day. It works only when the markets are open.Download link:
https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader322S.zipThis is the latest QuantTrader Version with the updated QuantTrader.ini file of all our strategies.
Version 319S changes:
– This version fixes an error which made QuantTrader crash due to international differences of the financial data uploads
Download link:
https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader319S.zipOne full year between rebalancings seems to be too long, however it could be done. At the moment you have a quarterly option and depending on the settings you normally rebalance only a part of each holding per year. Many countries accept that you rebalance several small parts of the portfolio as long as the total amount rebalanced is less than your portfolio value.
We are working on a work around to get data from international ETFs using Google finance as a data provider. This should be ready within one or two weeks.
This is the latest QuantTrader Version with the updated QuantTrader.ini file of all our strategies.
Version 318S changes:
– This version fixes an error which produced corrupt ETF data due to international differences having a . or a , as the number separator
– Please delete all old csv ETF data files in the folder as they may be corrupted.
– Please report errors directly to: [email protected]Download link:
https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader318S.zipThis is the latest QuantTrader Version with the updated QuantTrader.ini file of all our strategies.
Version 317S changes:
– This version speeds up the download of financial data by a factor of 10x. Please don’t use the old 316S version anymore because it uses too much bandwidth of our new data provider.
– We still can no work with international ETFs, but we are working on a fix using Google finance data for the next version.- – Please report errors directly to: [email protected]Download link:
https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader317S.zipThis is the latest QuantTrader Version 316S with the updated QuantTrader.ini file of all our strategies.
Version 316S changes:
– This version switches to a new financial data provider after the Yahoo finance servers stopped to work for over a week.
The download time for all symbols is still quite slow (about 10 min), but we will make it faster next week.
Make sure you delete all old csv files if you install this version in a existing folder.
When you start QT with one of your QuantTrader.ini files, then a popup window will tell you that some symbols have not been found.
Pls. check then all symbold and then delete them.
These symbols are non US symbols and are not used for our strategies. At the moment we can only download US symbols.– New feature: QuantTrader now does an automatic version update if QT finds a newer version on our server.
This is the latest QuantTrader Version 315S with the updated QuantTrader.ini file of all our strategies.
Changes:
– major bug fix: disabled strategies resulted in corrupted QuantTrader.ini files. This was a very bad error in the past.
– bug fix: alocation limitsATTENTION!!!! The Logical Invest US Sectors Multi Momentum Long/Short Strategy is now included. The allocation of the inverse ETFs if selected has to be divided by the leverage of these sectors.
just replace the old QuantTrader314S version with QuantTrader315S and keep your QuantTrader.ini file.
Grüezi KR
1)Rebalancing “when needed” is used mainly for old style investing. You wait for example until some asset crosses the 200day moving average and then you sell the whole asset. This way to invest is not really good because you always wait until something gets bad and then you realize loss. Our strategies will rebalance even if the owned ETF is still doing quite well if there is another ETF which is doing better. Also we change allocations gradually when the market changes and this has to be done in regular intervals.
2)The main reason is the up and down of the market 2015/2016. Each time the strategies go to risk off mode and then have to go back if the market recovers. This is in general bad for such strategies. If however once you are not lucky and don’t have an immediate recovery, then you are safe with a strategy which switched in risk off mode.
3)Unfortunately you lose 1/3 of dividends due to the US witholding tax which adds up to 1-2% per year.
4)No, we need special Excel formulas and macrosHere 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.zipI just tried to do the same duplicate, but there is no difference between the two. Something seems to be different in your setup. The performance curve looks strange with all this steps. Can you send me the QuantTrader.ini file so that I can check what went wrong? Pls send it to [email protected]
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” algorithm215S planed changes
– detection and correction of pricing errors (splits ..) in Yahoo data feed
– signal consolidation tool (similar to the online version)I studied all possible ways of stop loss limits, and the conclusion is, that whatever you do, it lowers the return of the strategies. The simple reason is, that you have a lot of up and down spikes during each month. Most of them can be considered as pure noise. They have nothing to do with the general trend of these ETFs, however they are strong enough to trigger the stop loss limits.
But once you sold, what can you do then? Reinvest in the ETF which is best at this moment?
If you do this, most of the time you realize a loss by selling low and you buy back high. This is the typical “sell low, buy high” strategy which many inexperienced investors are using.
The use of stop loss limits may be good for trading highly volatile single stocks, but it is the worst thing to use, if you trade ETFs which follow longer lasting economic cycles.I see what you mean. The ranking log just saves a table of all ranked ETFs for the current day. You can not save the full ranking of the previous months.
What I meant was that you click on the other button “Performance Log”. This one will allow you to save all monthly selected ETFs, but if its a Top3 strategy you will get for each month the Top 3 ETFs with performance and volatility.If you want to save more ETFs, the best is to select the SRE (Static Ranking Equal Weight) method and select the Top 10 ETFs.
It is not possible to save more than 10 ETFs
Here is the QuantTrader.ini file and the DAX and SMI stock lists for the above strategies
(You need to rename QuantTrader.txt in QuantTrader.ini)
Here is a QuantTrader.ini file which includes a Top3 Dax and a Top3 SMI strategy. Both strategies seem to work quite well and they do much better than the two indexes.
A problem is that the adjusted Yahoo data for these companies is not very reliable. Specially after stock splits we have sometimes 1/3 or 1/10 dips for some days until they correct for the split. We will include a logic in QuantTrader which can find and correct such errors.
The strategies are not really finished, especially i did not work a lot on looking for good German and Swiss T-bonds as a hedge.There is a ; after each stock name.
It must be only a list of stocks or a list of stock + stock name separated y a comma (like: stock.de,stockname)
I could apply a 2x leverage to the original Nasdaq100 strategy how it is in our QuantTrader. It perhaps shows this error because it seems that your strategy parameters are incomplete. Top ETFs, allocations … is missing.
If you download QuantTrader, then you will have a Eurostoxx 600 sector rotation strategy included, which is based on Comstage (Commerzbank) ETFs. You can play with it. If you want to do your own European strategies, then just look for the ETFs on Yahoo Finance and import them into QuantTrader.
You can always search for main country indexes (like DAX) and then there is a “components” link which lists you all stocks of this index. Then you just copy paste the list into Excel and save it as a CSV text file. This way you can import all stocks utomatically using the QuantTrader Stock List Manager.
A problem is that for many European ETFs, Yahoo data is not very accurate. A lot of times Yahoo will not adjust for splits and yo will see huge 90% drops in the charts.[attachment file=39728]
This is true, however also long lookback periods can be dangerous because the strategy performance may result of only a few ETF changes. A result which is based of many ETF changes is much less prone to such hazards. You can also see if a system is stable in the graphical optimizer window. If there are big performance jumps with only slightly different lookback periods, then the system is not really stable.
I think you reference to the “current allocation” window. This is in fact the allocation as calculated for the last available close. The one we publish is the allocation calculated with the last months close. The calculated allocations can change within the month, but it does not make sense to follow these changes in your portfolio. Rebalancing once per month gives better results.
I use Excel, but if you trade with Interactive Brokers, then you can also use the “Rebalancing Tool” which lets you enter allocations as a percentage of your account. This tool will also create all necessary sell and buy orders.
In the portfolio manager you can open under “Graphs” the portfolio/components/ tree. Here you can set a multiplier for leverage. This way you can for example use TLT with a multiplier of slightly less than 3 to replace TMF.
Trading cost should work, but you need to enable it with the check box in the “settings” window. Here you can set default trading costs, which then apply to all ETFs. If you enter trading costs in the symbol window for an individual ETF, then these will replace the default trading costs.Just click on the “Ranking Log” button and then save the table with the “Save as CSV” button in the upper right corner.
The idea of the trader window was an order interface to Interactive Brokers and a fully automatic calculation of number of shares and price to simplify trading. We stopped this project for the moment because it was rather complicated and we rather had to concentrate on more important items like enhancing the backtester and removing bugs.
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 pricesI don’t think that we will change the ini file format in the future. We will keep these upward compatible. What concerns the optimization errors, please send me your QuantTrader.ini file. Perhaps it has something to do with the Yahoo finance ASX symbol data. We already had some ETFs with missing data.
Once I have the QuantTrader.ini file we can see instantly what causes this error and we can also fix errors in the ini file, so that you can continue your work.
Please send the ini file to my email [email protected]
It seem strange to me that downloading Yahoo data is so slow for you. Perhaps try only to download data of the last close and not the 15min delayed prices available when the market is open. This one takes much longer to download.Please try with the latest Version 312S of QuantTrader available in the forum or below. These errors came from previous versions which had a bug with renaming/duplicating/deleting strategies. This should work now. You probably will need to begin with a clean QuantTrader.ini file as errors will not be fixed automatically. However I can do it by hand if your ini file contains valuable work.
Regards Frank—————————————–
This is the latest QuantTrader Version 312S with the updated QuantTrader.ini file of our strategies.
311S Changes:
– Bug fixes of the current prices download managementDownload link: https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader312S.zip
