Forum Replies Created
- Posts
Hello Frank,
Some advice with Symbol Manager, please.
I tried to do some testing with the Vanguard mutual funds VFINX and VUSTX, attempting to add them through the Symbol Manager, selecting Yahoo as the data provider, as suggested. The download failed – prompting “Downloading Historical Data Failed!”. Same result with Tiingo, same result with every new symbol I attempted to add to the symbol list. Checking the .ini file, the new symbols were present. Then, attempting to delete the unpopulated new symbols after failed data downloads, the “Unhandled exception…” error occurs.
Advice would be welcome.
Regards, Richard
reuptake — Your performance insights have been very helpful over recent months, many thank for sharing your experience.
Good luck with your future portfolio.
reuptake — Your performance insights have been very helpful over recent months, many thank for sharing your experience.
Good luck with your future portfolio.
Hello Alex,
Ok, thanks for the updated PB version and explanation on USSECT in the Consolidated Signals spreadsheet.
Which of the several USSECT strats from QT is represented in PB?
Very much looking forward to seeing the new approach to “brute force” optimization!
BTW, as I’ve noted elsewhere, your Excel monster is pretty impressive and has been a big help.Regards, Richard
Hello Alex,
A couple of further observations –
I worked a little with the latest PB (version ID would be helpful).
Note that the solver solution includes AGG, TLT, SHY weightings even though they are excluded from the optimization on the Solver tab. Other excluded symbols also are allocated but at smaller amounts rounding to 0.Checking out the Consolidated Signals Excel workbook, the USSECT allocations don’t add to 100% so overall allocations may sum to less than 100% as well.
That’s all for now.
Regards, Richard M.
I downloaded your latest version and will take a look later on today.
I did notice that the initial data date gets later with each version.
Of course performance during the GFC is important to include in the analysis of our portfolios.Regards, Richard
Hello Alex and Stefan,
I ran the Excel Portfolio Builder to try and replicate the effect Stefan reported and produced a similar if not precisely identical result. (MAX CAGR Vol<20%, CAGR = 36%) See the attachment for details.
This problem arises from the observation about inconsistent dates I offered last week – on the Equitylines and ReturnWeighted sheets data is included only to 9/16/2016, while data on ReturnData runs out to the current date. CAGR is based on the duration from the EquityLines sheet.
Stefan used a 10 year duration in his calculation and thus produced a lower CAGR result than basing it on the roughly 8 years shown on the EquityLines data sheet, and used in the PB CAGR calculation, producing the error in PB results.
There must be some anomaly introduced recently in PB since these were all consistent not long ago.
Looking forward to the updated version!
Regards, Richard M.
Hello Alex,
While you’re looking over Excel PB, I think it would be helpful to provide a clear correspondence of the pre-configured portfolio list in QT with the PB portfolios, and how similarly labeled portfolios may be different in each tool.
Regards, Richard M.
Hello Alex,
I visited the Excel Portfolio Builder for the first time in some months and note some issues:
On the solver tab – return data is represented as ending on 9/16/2016.
USSECT is included for Solver optimization if we set the flag to include it, but doesn’t appear on the input tab summary of results. When viewing solver solution weights on the input tab, they don’t add to 100% – they are low by the solver’s allocation to USSECT.
On the portfolio templates tab, DataDate values are shown as back to 8/12/2016, but the updated ReturnData date is current (04/30/2018).
On the portfolio templates tab, the optimization date is shown as 01/02/2017. I tested an optimization for MAXCAGR vol<15%, expecting the optimization date to change to today, but the date did not update.
QuantTrader includes 6 US Sector strategies. Which one is represented in Excel PB and On-line PB?
As always, I appreciate your response and insights.
Regards, Richard M
Hello Mark,
Did you run this allocation through the custom portfolio with the online Portfolio Builder?
Regards, Richard
Hello Reuptake,
I had been quite satisfied with the fixed allocations we derived from Portfolio Builder for the last couple of years. It seems QT is invented to implement an adaptive strategy and since its been available I’ve been working to squeeze out the extra performance I would expect by actively adapting the fixed strategy components I had settled on from PB.
The result I reported may be a little better on MaxDD, and lower but close on the others, and it applied some of QT’s unique optimization and hedging capabilities, so I thought it was useful to share. I certainly don’t mean to claim its the best and your comments point the way for more work. I like your fixed strategy components and will try some variations of it tomorrow.
Many thanks for sharing. My hope is that by learning from the LI user community, I/we can improve our results.
Regards, Richard
Hello Folks,
Iv’e been working with QT 511 today. It appears to have been release on Friday, 2/23. I’ve been experimenting with the strategy of strategies.
So far my best result has been CAGR(25.%), Vol(-10.5), Sharpe(2.4) and MaxDD(-8.7%) over the last five years based on closing data on Feb 27.
This was an optimization result with algo = DR, look back = 94 days, hedging with BRS, top 3 strats, max alloc(30%) and vol att = 0.0. Resulting allocations: GSRS_h(30), UIS-SPY_h(30), NASDAQ100_h(30), BRS(10). (no MYRS!).This result delivers twice the Sharpe of SPY alone and 2/3 MaxDD while increasing CAGR by 50%. Allocations include much GLD and UGLD.
Its nearly re-balancing time and my confidence in the new strategies, hedges and resulting allocations is not fully there yet, given all that’s taken place over the last month. Experiments and tweekings continue..
(I also look forward to inclusion of the “pre-configured” portfolios (e.g., Max CAGR Vol<10%) and an easy way to migrate an old custom portfolio to the new .ini file
Hello Mark,
I had modified the Consolidated Signals workbook to auto look-up the symbols for the next rebalancing and calculate the changes in the portfolio. It was a little messy but helped provide specifics for executing my trades by hand to achieve rebalancing. Since I’ve simplified the holdings recently – only 11 – I’ve reverted to a pencil! I’m looking forward to automating much of the process though IBK when I get the chance to better understand how it works.
Regards, Richard
Thanks for this thread – its been very informative already.
I think it would be helpful to include LI’s Portfolio Builder (PB) meta-strategies in QT. An attractive aspect of PB is that we can arrive at a portfolio of strategies starting from an investing objective, e.g., Max CAGR, Vol < 10%, or Max Sharpe, etc., or even a custom objective. Of course PB delivers fixed allocations among the constituent strategies over the period of the back test.
QT improves on this result. It allows strategy allocations within the portfolio of strategies to change each rebalancing period by picking the top N strategies for the period and optimizing allocations among them, which in turn helps to improve overall performance. But QT does not start with the pre-configured meta-strategies expressed as an investing objective as in PB, rather the strategy constituents must be defined at the outset in QT.
So I have used a 2 step process – First, I relied on PB to arrive at the meta-strategy constituents (at fixed allocations) and then I built my meta-strategy in the QT portfolio manager with those strategy constituents. Each rebalancing period I update the pricing data to produce the rebalance allocations and note the overall portfolio performance as well as that of the constituents on the main QT summary page. Allocation fractions are then transcribed by hand from the current allocations box on the first QT summary page (where the meta –strategy results are presented) to the Consolidated Signals page where the level of specific holdings for the period is calculated. (It would be helpful if the Consolidated Signals page was populated with the allocation from the summary QT page by default).
I think it would be helpful to include the PB meta-strategies in QT and to produce the risk return graph for various portfolios of strategies as shown in PB. For now PB does a satisfactory job on this feature.
Alex had indicated that PB would likely be phased out in favor of QT lite, but I hope it remains in play until the interesting features of PB are also captured in QT.
Hello Alex,
Before the on-line Consolidated signals tool is retired in favor of the QT version, the QT tool should present the crosswalk between the symbols and the strategies, as the on-line tool currently does, as well as the symbol consolidation across strategies.
Thanks for all the recent innovation!
Richard
Thanks for starting this thread.
I think this portfolio works well; its good to keep both ZIV and TMF out for now. In QT, how did you set the history range to 5.5 years? the drop down shows only 5, then 10 years.I’ve been doing some tweaking as well and hope to share an updated portfolio soon.
Thanks for articulating your (and our) frustration with that piece of the system. I’ve been thoroughly frustrated with the kludgy manual methods I find I need to use to migrate my work from QT(n) to QT(n+1). I’ll look forward to a “best practices” process.
The new version 508 of QT was released today. I discovered it when launching 507S. The new version was introduced with information detailing the changes and improvements in 508 vs 507S. I’d like to offer some observations:
Wishing to review those noted changes before diving in, and looking back now at the forum, I can find no reference to that introductory info here. It would be helpful to log change information as part of the forum.
Going to the QT download page from the forum, I’m presented with the option to download the “current” version, but the current version to be downloaded is not identified, presumably 508 is there, but I’m not sure.
It might also be helpful to retain the QT version identifier on the working screens.
Regards, Richard M
Hello Alex,
Using the on line Signals Consolidation tool for monthly re-balancing today, I find that the allocation table columns are no longer sortable. Of course, the CSV download file can be sorted, but previously I found the ability to sort columns in the tool itself helpful and would like to see that feature enabled once again.
Regards, Richard
Hello Frank,
Dropbox reports that the QT zip file is not available: “Failed – No File”
I tried both 501S and 500S which I had downloaded earlier.
Regards, Richard
I’d like to merge my past portfolio work saved in an earlier .ini file with the most recent .ini file so my work and the latest LI portfolio updates can exist together. Placing the latest QT exe in a folder with my old .ini lets me run my old work with the then-current LI portfolios, but the newest LI portfolios are of course not there.
Thoughts on merging legacy work with the latest .ini file would be appreciated.
Thanks for the comments Deshan. Recognizing this is not a get rich program but a discipline that produces superior results over the longer run is central to the strategy, as you point out. I’ve experienced my personal weaknesses in times of market stress so I try to keep volatility and draw down low to reduce anxiety and my emotional reaction to overall market movement. Best wishes on your continuing success.
Hello,
There seems to be something amiss with the “Bug – Leveraged” signal since current allocation is 0.
RIchard
Hello Alex,
Its been some time since I visited with the Excel Portfolio Builder and had been anticipating updates toward the Gold Version. The version I downloaded today was created on 6/27/15 – are there any new updates expected in the near term?
Thanks.
Hello,
Once again excellent work and a most helpful tool.
Another suggestion: Include a date slider on the plot for the “built” portfolio like is provided on the individual strategies, and also present the stats for the date period selected.
Thanks.
I switched to Excel 2010 to run the portfolio builder off line. I seemed to understand that among the outputs of the program is the allocation among the underlying ETF’S – is that the case? I seem unable to find that result. Also, is there a white paper that reviews the Portfolio builder approach and expected results and provides some guidance in its useage?
Thanks.
Hello ALex,
I will update my Excel program to be compatible with your spreadsheet. While your spreadsheet is in Excel 2010, Office 2013 has overtaken 2010. Will Excel 2013 run your spreadsheet without extra tweaking?
Regards, Richard
Hello Alex,
Thanks for the quick reply.
I’m running Windows 7 and Office 2007. I’m getting errors (#NAME?) on the bottom line for Volatility, and for Shapre Ratio. Also the “refresh quotes” macro “can not run”
As suggested elsewhere in the blog, I adjusted Excel Trust settings: “Enable all macros”, and “Trust Access to VBA project object mode” but without effect.
Is there a way I can include a screen shot into the blog response?
Thanks, Richard
Hello Alex,
I began my subscription just yesterday. I’ve experimented with the Google sheets tool, accessing it through the blog, but I would like to use the Excel version off line on my own computer. I am not fully oriented to the LI web site so can you provide a pointer to the Excel tool that I can download?
