[Gordon Cooper]

Mark-

Thanks for your suggestion of using QT’s 0 LI Strategy of strategies. Good thought.

I’ll try setting up my four separate inflation sensitive asset classes each with a list of ETFs using duplicates of both the WorldTop4 and 0 LI Strategy of strategies and see how the results of each look.

Best,

Gordon

[Gordon Cooper]

INFLATION STRATEGY
In the context of the current inflationary environment, I’d like build a strategy that invests some (roughly 5-40%) amount into each of four potentially asset sensitive asset classes. For example the four asset classes might be Energy, Real Estate, Metals and Agricultural Commodities.

Similar to the way World Top4 is setup, the strategy would select from a separate lists of ETFs for each asset class. Each asset class ETF list be limited to a handful (roughly 3-10) of ETFs.

To create such a strategy, would you suggest I simply duplicate WorldTop4 Balanced and create four new #Stock Lists for each of the four asset classes and keep all the settings as they are in QT, or would you suggest I start by duplicating a different strategy?
Thanks,
Gordon

[Gordon Cooper]

Hi Alexander-

I too am interested in Thierry’s question about the differences between QT’s “Strategy of Strategies” and the LI website dashboard’s “Top 3 Strategies”.

I know you’ve touched on it before, but perhaps you could provide a simple refresher.

Drilling down a bit, the website’s dashboard lists the following description for Top 3 Strategies-
“This strategy selects the top three performers from our core strategies, based on the most recent 3 month performance, and allocates one third to each of them”.
https://logical-invest.com/app/strategy/mst3/top-3-strategies

For Oct 1 (as Thierry mentioned) the dashboard’s allocation was- Gold II, MYRS and BRS. But using the dashboard yesterday morning (Oct 1) to rank strategies by 3-mo returns it showed the top three for Oct were- GSRS, MYRS and Enhanced PP. And when I looked today (Oct 2) trailing 3-month returns were as follows-BRS n/a, NDX 100 n/a, MYRS =7%, Gold II +5%, Enh PP +5%). Could you also elaborate a bit on this discrepancy within the dashboard’s rankings as well?
https://logical-invest.com/app/dashboard

It would be nice to be able to rank all strategies by any trailing period like we used to be able to do on the rank page which has been disabled for many months, any suggested work around?
https://logical-invest.com/app/rank

Thanks,

[Gordon Cooper]

[quote quote=50356]

1) we´re just doing some video tutorials and will cover the optimizer in detail. Same to 2) not yet, in progress.

[/quote]

Hi Alex-

Regarding your Feb 23, 2018 post above….can you provide a link to any video tutorials covering optimization?

Thanks,

Gordon

[Gordon Cooper]

I agree with reuptake-

LI strategy backtests do not account for market impact from users entering and exiting the market, and they should not as this would be impossible to model accurately. But clearly with an ETF like HEWC which is a major LI website published strategy, there are likely many subscribers invested. LI subscribers alone will certainly impact pricing in a security as thin as HEWC as we all exit at once.

Perhaps Frank, Alex or Vangelis might want to consider a filter, dropping ETF’s from strategy universes that trade below a certain average daily volume of about 50-100,00 shares or below an average currency threshold of about $1,000,000 per day.

[Gordon Cooper]

Hi Reuptake-

HEWC only trades on average 5,500 shares per day. It appears that there have simply been no trades since the 23rd, as strange as this may seem. Pull up a 1-year chart on IB and you will see this has happened several times in the past year. Yellow bars indicate days with no trades.

[Gordon Cooper]

I have found (for stocks anyway) that optimizing using a Mean Reversion Weight of -200 and a Mean Reversion Period of 15 often improves performance over leaving the Reversion fields blank.

[Gordon Cooper]

OPTIMIZING MEAN REVERSION VALUES FOR EQUITIES

Hi All-

I haven’t seen much forum discussion on the QuantTrader settings MEAN REVERSION WEIGHT and MEAN REVERSION PERIOD.

These two items have a huge impact on strategy performance. I have tried optimizing strategies using several different combinations of reversion weight and period. Some of the reversion combinations I have used are: 0.00 & 0.00, -50 & 3, -100 & 7, -200 & 15, -300 & 20 and -400 & 20, where the first number is Weight and the second is Period.

1) is there any way to have QT optimize the Mead Reversion factors?
2) if not, what setting combos do you suggest I try for equity strategies?

Regards,

Gordon

[Gordon Cooper]

Hi Guys-

Any timeframe on getting mutual fund data to update?

Also, should Interactive Brokers and Barchart.com be considered as potential data suppliers?

Gordon

[Gordon Cooper]

Could Google Finance data be used instead of icharts api?
http://investexcel.net/multiple-stock-quote-downloader-for-excel/

[Gordon Cooper]

Can we rank from BOTTOM up rather than from TOP down?

Frank alluded to this in post #16408.

For example, the Strategy Backtester or Portfolio Manager screens have the strategy parameter of: “Use the Top n ETFs”. How can we rank and backtest in reverse order? That is “Use the Bottom n ETFs”?

[Gordon Cooper]

Hi Ritter-
Just out of curiosity, what does the “E” signify in your #MYERS ZIV TMF strategy (ZIV PLUS screenshot)? How does it differ from the canned #MYRS ZIV TMF in Frank’s downloads?
Gordon

[Gordon Cooper]

HOW TO UPDATE QT TO NEW VERSION

What is the best way to update user personalized QT folders to the latest version while maintaining our custom strategies and symbol lists?

[Gordon Cooper]

Hi Alex-

I have a 401k at Vanguard which limits investment choices to a fixed list of 53 mutual funds. I have some general questions on setting up a strategy for this account.

1) Of all the canned strategies included in QT 311S, would you point to one of them as being particularly suitable to trading Mutual Funds?

2) Would you suggest importing all 53 mutual fund tickers into QT and into the strategy backtester? I ask because my experience with ETFReplay (another ranking algo) shows that the composition and quantity of tickers in the list is critical to decent performance. It seems that performance deteriorates markedly if lists become too long or contain too many tickers with similar characteristics. I can email you the list of 53 mutual funds as I do not see a forum upload link. Of the 53 tickers I am limited to, there are about 40 US equity funds (sm cap, large cap, growth, value index etc) about 5 international equity, about 10 bond funds and four US equity sector funds (precious metals, energy, healthcare and a REIT fund).

3) For mutual funds what look-back period would you suggest generally? 3-months, 6 months? 4.5 months?

4) Please provide any other insights you may have regarding setting up a Mutual Fund only strategy.

Thanks,

Gordon

[Gordon Cooper]

PROBLEM SOLVED

I figured out the problem- When I extracted the .zip files, I changed the default location and extracted them to a folder within “program files”. But when I extracted to the default “downloads” folder, all is good.

[Gordon Cooper]

Hi Alex-

I just subscribed to a QT trial a few minutes ago and downloaded QuantTrader311S.zip from the Updates page on the QT forum. When unzipped I ended up with two files: QuantTrader311S.exe and QuantTrader.ini.

So I downloaded a small group of symbols and started the Strategy Backtester. It works fine, but none of the LI strategies are populated into the Portfolio pull down window of the Strategy Backtester or listed in the Portfolio Manager tool. Also there were no pre-loaded symbols.

I’m guessing I’m missing a file or two.

Thanks,

Gordon

[Gordon Cooper]

Disregard, posted to wrong strategy…..

[Gordon Cooper]

I’d like to follow up on IVANF’s very valid suggestions. I agree that either your performance tables need to track results on an open-to-open basis, or strategy signals need to be published at least an hour prior to the 4pm NY close. Most brokers require MOC (market on close) orders to be entered by 3:40pm EST. In my opinion it is probably easier for most users to trade on the open, but then most users should reasonably expect your performance tables calculated on that basis.

To consider the open / close difference over time is a wash, or to suggest any advantage will be arbed away, is doing a disservice to your subscribers.

Rolling the reporting date forward is an imperfect solution ss I believe it would detract from system performance. I believe it would be better overall to roll reporting BACK one day, so the subscribers are establishing new positions on the close of the last day of the month. My research shows that (because of new month inflows) establishing positions on the close of the last day of the month generates slightly better preformance than trading on the open of a new month and significantly better than trading on the close of the first day.

[Gordon Cooper]

Hi Vangelis-

Congratulations on how well your NDX 100 META strategy has been working!

Have a question on the rolling returns chart at the top of this page in the strategy’s summary section. Are the historical return charts buggy? I ask because on a total return basis the benchmark (SPY) is up 7.26 YTD (01-04-2016 thru 07-11-2016) based on data from both Thomson/Reuters and Bloomberg. As of today (07-15-2016) your chart shows the strategy’s benchmark YTD return as up 13.78 over those exact same dates.

I have not checked other strategies, but perhaps you could shed some light on this discrepancy.

Thanks,

Gordon

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