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Its 06:00am EST on 1st December but I don’t see any refreshed allocations on the web and I haven’t received an email either ( this also happened last month with email ) , so given the market opens in a few hours when can we expect to see the new allocations published ?
thanks
not sure I would totally agree with Derrick, from memory , you are borrowing the stock to sell short, which means you will pay interest on that, but when when you sell short you will see the cash injection from the sale , then when you buy it back cash will be used to settle that trade . So overall when selling short, the cash component in your account will increase until you buy it back. Happy to stand corrected as I usually use CFD’s to short stocks , not physical
Ivan
[quote quote=44022]It seems that my antivirus software (Bitdefender 2017) now identifies the QuantTrader 401S version as infected with a generic trojan and deletes it immediately. Am I the only user with this problem or is this more common, and is there a solution?
J
[/quote]AVG nails ver 500S as well , moves it into the vault straight away after trying to execute it
Hi Gents,
this Tingo data service is killing me . Over 3 hours to download approx 300 symbols .
(I’m sitting on the end of 100mb/s internet link so its not a local issue here)
Any reason why it should be taking so long ? What are other’s experience ?thanks
IvanHI Frank,
this is good news for the cons allocations, but seems we cant export the result ? would be good to drop out a csv or xls file
regards
IvanHI gents,
not sure I fully understand the US sector rotation as I was looking through the historical signals and I saw this
11/30/2016 12/30/2016 XLI 30 0.31 0.47
11/30/2016 12/30/2016 XLF 40 3.76 0.47
11/30/2016 12/30/2016 XLF -30 3.76 0.47is XLF a typo ? Seems to have both a long and short position open concurrently ?
regards
IvanHI Frank ,
a while back you were working on some code for QT that would detect and correct unadjusted splits from Yahoo ( mostly for non USA stocks) , did that ever get implemented ?
regards
IvanHI,
I’m a bit out of the loop as recently as I havent been using QT, but I just installed V3.22S and tried to enter non USA tickers, QT seems to go off to Google finance for these but doesn’t return any data even though I’m using the google ticker format ASX:xxx ( Australia).
Can somebody advise where are we at as far as non USA tickers since the Yahoo service was changed ?
thanks
IvanHi Guys,
could I suggest an improvement to the QT UI. In the UI where it states “current allocation”, could this be changed to ” next rebal alloc ” ( or something similar)
Then underneath , have a ” current allocation” , which reflects the actual allocations for current open positions
I find the current setup a bit confusing, especially around the actual rebal day
thanks
Ivanok , thanks for the info, I thought I had done this but maybe it wasn’t 100% . Not in front of my PC, but I suspect I had a column named ‘close’ instead of ‘adjusted close’, so maybe QT is looking for the exact header string.
Will give it another crack tonight when I get homeyeah I have the same problem , I’m trying to correct yahoo data with my own data in a csv, ( aligned to same csv format) but so far I cannot get QT to read it . It either overwrites it, or doesn’t read it . It kinda looks like QT ingests all symbols on start as I see the mem going over 1G, but whatever , I cannot correct bad data at the moment . Would love QT to be able to point to a local dir of csv data and use that instead of yahoo , but today it cant
ok I’ve uploaded the screenshot again, I’m not sure why this function doesn’t seem to always work
also the ‘Notify me of follow-up replies via email’ doesn’t seem to be working either
HI Alexander ,
yeah that’s what I thought, need to go into each indiv sub strat to get the actual symbol allocation.
Could you add this as a feature in the future whereby one could generate a csv with all the allocations within the sub strats in a portfolio ?
regards
IvanHI Alexander ,
but can I export all the portfolio allocations into a spreadsheet ? I think I can only eyeball them in QT if I’m correct ? ( sorry I’m not in front of PC, just guessing)
regards
IvanHi Frank ,
you are talking about the multiplier ?
So if I take the existing NASDAQ strat with SRE of 5 ETF and add a multiplier of 2 , I should see an allocation of 40% for each stock instead of 20% ? ( that’s what I want). But if I change this value it throws an exception as soon as I try and save itregards
IvanHi All,
can somebody tell me how to apply leverage to a strat ? I’ve played with allocations, weights and multipliers but I can’t seem to find the magic button
Also it seems the trading cost param doesnt seem to work in the symbol manager ? If I change the value it doesnt seem to have an effect
regards
IvanHi All,
just wondering what others are using to perform their rebalancing duties . Since there’s no signals consolidation tool, are people just transcribing the allocations to a spreadsheet and managing from there ? If anyone would like to share their techniques / tools that would be greatly appreciated
regards
Ivanok thanks Frank, BTW is there any work being done on a signals consolidation feature within QT ( to perform similar function as the online version) ?
regards
IvanHI All,
in version 313S it seems the trader function has gone ? I v312 its there , although its broken for me ( throws an exception if I try and add another account)
Please advise
thanks
IvanHi All,
just need some clarification on the 2 params ranking day and trading delay.
If I take a strategy in QT which has default values for these 2 params ( blank) , what day is the ranking performed ? It seems to be 31 as when I enter this value the performance doesn’t change. So is that the ranking after the market close on day 31 or actually before the market opens for the last day ? Because if its after , then in my mind trade delay should be set to 1, because you are trading the next day after close of market ranking day. However , if I put trade delay =1 then the performance changes, so this suggests to me that the default values are ranking and trading on same day which is impossible unless you are doing the ranking prior to market open.
Just want to clarify this , because to me every QT strat should have trade delay =1 no matter what the ranking day is to reflect the fact you can’t trade until the open on the next day
regards
IvanHi Frank,
I installed the update but I still get this error when running an optimisation
https://www.dropbox.com/s/hh7yis1cyt7y3yq/2017-03-08_12-20-58.png?dl=0But this leads me to a question I was going to ask anyway about how future updates are handled.
If I have built my own strategies, data, symbols, optimizations etc , I don’t want to lose those . In this instance I have errors, so I have started out with a fresh ini which is a bit of a pain. But what happens in the future if for example you make a new release which uses a new structure in the ini file ? Will you build a conversion tool, or will you be expecting your users to just start afresh ? ( not good)Maybe given the problems I’m having, you could write a doc which explains how the ini file is structured and what can be edited by a user to remove problematic entries such as what I am experiencing ?
Another problem I’m a having is re downloading historic data is painfully slow ( like > 1hr). I’m not sure how the download is requested, but could you look at speeding it up ? Seems to be 1 symbol at a time ? Could you do a parallel thread ?
regards
IvanHi LI,
still trialing QT and I’m getting quite a few errors (how do I upload screenshots directly ?) .
https://www.dropbox.com/s/jjdjgen1cd6ek7j/2017-03-07_9-44-02.png?dl=0
https://www.dropbox.com/s/ytm9uef73blheqr/2017-03-07_9-44-59.png?dl=0These exceptions pop up when doing various things, the end result is I’m getting multiple entries of portfolios in the backtester and when I try to remove them it throws another exception. If I quit QT and restart sometimes the rouge entries are gone sometimes they are still there . When I boot QT I usually get warnings and errors about missing bits of portfolios , but I’m having trouble trying to clean things up because of the exceptions getting thrown. Even got to the stage QT would not start, just died after initial boot. Only way to recover was to roll back the ini file until it would start.
How do you want to handle the troubleshooting of these problems ? Do you want me to email the ini files or is there logs ?
regards
IvanThanks for the reply Frank, yeah I thought it would be a bit strange you guys suggesting people check out that blog when it was quite critical !
And thanks for the explanationHI Alexander
I went over to quantstrattrader.wordpress.com to have a sniff around and I came across this post
For someone not the sharpest in maths I found the post to be very troubling . Would you like to respond to their comments regarding the results of GMR and how it tanked, curve fitting etc ?
especially this comment
********************************
GeraldM says:
April 25, 2016 at 1:09 pm
Tarantino, I have never used LI. It’s an obvious curve fit. It has been entertaining to monitor though. They publish charts that show when they went live which is commendable because it shows that the systems are actually not working. That makes me think that they don’t really appreciate the problems of over optimization. Just an opinion of course.
*********************************I’m spending considerable time investigating whether QT can be used as the basis for my trading going forward across multiple markets . Today I use different tools and strategies across USA , ASX , stocks and ETF’s , I’m hoping to use just one platform to pull it all together in a strategy of strategies type environment. Comments such as what was written on that blog can quickly erode confidence as I’m trusting your code and don’t have the time or IQ to quickly prove / disprove the validity ( other than paper trade for the next 5 years )
regards
IvanHI LI,
I sent you an email regarding this but I also wanted to share with the forum. Copy of the email below for others info
I have commenced my trial of QT after watching a recent webinar and I was wanting to see if it could also handle local Australian stocks on the ASX. I created a new portfolio but the results were not good, I then found that the stock data hasn’t been adjusted for splits. How best to address this problem? I think Yahoo only adjusts USA stocks . Are you intending to add a feature whereby QT could use a local data source such as existing Metastock or ascii data ? Also, would you be able to add the currency AUD into the system ?
thanks
IvanThanks Alexander ,
is there any way I can run the strategy back tests and exclude the returns from a given symbol ? ( eg TMF or TLT)
I’m just wondering what things would look like if I followed the stock allocations but when it comes to things like TLT or TMF to actually leave that allocation vacant
My rational is that since I use CFD’s , which entails paying interest on the full position size, maybe it isnt that smart for me to effectively be paying interest on a bond position ( also given the discussion around bond pricing in the future). In theory as long as the bond is paying more that the interest expense then I’m ahead , but in some cases the difference may be quite a small positive net return and if interest rates were to increase , then my borrowing costs increase and the bond return would likely decrease so its a net drag on my overall portfolio return. If that’s the case then I’m probably better off not taking the allocation, but I would like to see what the key metrics look like under this scenarioDo you think my logic is reasonable ?
regards
IvanHi LI Team,
can you tell me where I can find the individual contribution for each symbol in a given strategy ?
eg if I want to see the returns that can be attributed to say TLT in any given strategy , can I find that somewhere ?
thanks
IvanHI Vangelis,
given my lack of knowledge about how bond pricing works ( I know there are many inputs into the various bond ETF pricing), is it fair to say that once interest rates start rising ( and they will at some point ) then “in general” bond ETF’s will start declining in price ? I’m hearing so many conflicting statements , seems nobody can agree on what they expect will happen
thanks
IvanI would also like to echo this concern, however I come it it from a slightly different angle.
Here in Australia, our equities market is tiny compared to the USA and for the retail investor the workings of the bond market is largely not understood.
At best I think the average person here might know the rule of thumb which states that when yields drop, prices go up… that’s about it.I don’t mind so much investing in instruments which I don’t entirely understand , as long as the backtesting looks plausible, which of course there is a long history of bond prices for the USA so this is no problem.
However , with the global interest rate environment at record low yields or even negative , in my mind we are in largely uncharted waters , so I also share concerns about the historic correlations between stock and bonds given the copious amounts of central bank activity in many countries.
Given this , would be nice to also see some strategies based upon different hedging mechanisms , such as inverse stock ETF’s and the like. I realise one problem with this is that many ETF’s haven’t been around sufficiently long to enable backtesting with confidence , unless some synthetic ones can be used. Or maybe strategies with some other market neutral abilities. I will leave it to the smarter ones to figure that out !
regards
IvanThanks guys !
Yes we realise you are a small team , but its also a nice problem to have right ? Many customers who like your product
Looking forward to your new feature releases
thanks
IvanSorry I forgot to add a feature request
Would it be possible to add the ability for users to select “Top N” number of symbols and see the back test results ?
ie instead of being restricted to 4 symbols , users can select the number of stocks they wish to trade
I think for larger portfolios especially ( I don’t have that problem yet…) the concentration on only 4 stocks could be problematic from a risk perspective ?
Your thoughts ?
thanks
IvanThanks for the replies, I didn’t really think of the rolling back of 1 day like Gordon suggested , maybe that’s an easier implementation , but I guess that also runs the risk that the rankings could get changed depending upon price action on that last day of month between signal day and month end.
Whatever is the outcome of this discussion , I would like to highlight that not all subscribers are USA based , so if you were to publish signals say 1 hr before market close that wouldn’t really work well for people based here in Australia. Plus one needs time to put together the orders and rebalances , which can take some time, especially when one has multiple broker accounts. I also use CFD’s , and the platform doesn’t support MOC , so for those trades I put in limit orders the night before the USA market opens
So please keep this mind for any future changes to the timing of signal releases
thanks
IvanThanks for the reply.
I can understand the simplicity of using the calendar month for benchmarking returns, but from my perspective ( especially as a new user) , when I see significant gaps ( in this case >5%) being included in the performance data then it’s a bit unsettling as that return cannot be achieved . Ideally I want to be able to login, say hit the YTD or a date range button and see that the result is pretty close to what I am experiencing
Could you not just roll the reporting data forward to the close of the signal day ? In this way, every subscriber can theoretically attain the signal day close price, but its impossible for anyone to trade at the close of the previous day
Just my thoughts , but overall I’m happy with teh service you provide
Hi,
I’m a new subscriber and I noticed that today 6th September 2016 you are showing a 5% gain in the stock CHTR , however , that stock gapped up on the open of 1st September the day of your signals publication, so I’m puzzled how you could have got into that trade at the pre-gap price on 31 August ?
Also, do you publish you entry and exit prices for each trade ? Are you basing your returns on the open or close of the entry/exit days ?
thanks
IvanHi,
I came across your website recently and I have been taking the time to watch your videos and read about your strategies.
I have a question on how best to manage leverage when combining multiple strategies.
I live in Australia , and I have different broker accounts that can offer different instruments. With respect to ETF’s , I have access to RegT margin via IB, but also CFD’s via SAXO. Consequently I can dial up and down my leverage from 2:1 ( RegT) all the way to approx 10:1 (CFD).Would you suggest its best to manage the leverage from “my side” as opposed to using your Lev 2 settings in the portfolio builder ? For example, assuming I want to target 2:1 leverage , should I run the portfolio builder using unleveraged settings , then just multiply the position size x 2 ? Or is it best to run the portfolio builder using the lev 2 settings ?
From my perspective , if I were to manage the leverage from my side it would make things a bit easier . Say if I wanted to run the portfolio at x3 then I just multiply any allocations x3 . What I’m not sure about is what happens inside your tools when one selects the Lev 2 settings ? I know its not just a straight multiplication of the standard allocations x 2 , there’s a bit more to it , so I’m after some advice given I have access to CFD’s which I believe most USA based investors don’t have access to.
The other question I would like to ask is regarding the use of CFD’s for the ETF’s such as TLT and EDV. At current interest rates , it would cost me approx 4% PA for the financing ( and with CFD’s you pay interest on the full position size). Would that deter you from using CFD’s for those ETF’s ? I can also use CFD’s for SPXL and TMF and because they have 3X lev, it would mean my I could actually cut my position size by 2/3 which means I’m financing a smaller position. My initial thoughts are to try and carve up the broker accounts so ETF’s such as TLT and EDV are placed in a cash account or low margin account, whereas the other ETF’s used in the strategy could be done using CFD’s at higher margin and once all positions are combined, an overall margin target could be attained.
Since you are in Europe, I imagine you are also familiar with CFD’s , so I would be very interested in your views and if you currently use them yourselves to trade the strategies .
I would like to also say I’m very impressed with what you have put together ( although I struggle with the maths…)
regards
Ivan
