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Hi Frank,
Thanks for the reply.
I managed to get everything working with Tiingo as well, so that got me around the problem, however maybe there needs to be some further checks in place so that if you do get into QT it doesn’t just throw up unhandled exceptions all over the place. An alternative would be to give the option to go straight back into the download selection to select another provider, with a suitable message.
RichardHi LI team,
I’d be grateful if you could respond to the problems I encountered with the List function in QT 3 weeks ago.Hi Frank,
I have an update to my problems with the Stock List Manager function in QT.
Firstly it is not possible to delete a list. When you select the delete function nothing happens.
Secondly it is not possible to remove a list from a strategy and add another one. I tested this by creating a test strategy in Strategy Manager and adding the Nasdaq100 list, saved it and viewed it correctly in the strategy performance window.
I then went back into the Strategy Manager, removed the Nasdaq100 list from the Equity panel and added the Dow30 list and saved it with no error messages. However it was not available to be displayed in the Strategy Performance window. I went back to the Strategy Manager and it showed an error message “Portfolio is disabled due to Undefined sub-strategies or unresolved symbols or strategy execution problems”.
I then removed the Dow30 list and added the Nasdaq100 back again – this resulted in the same portfolio disabled problem. I removed the nasdaq100 list from the strategy and just added a couple of stocks and got the same problem. So this test strategy is broken. How would I fix this if it were a “real” strategy rather than a test one?I have been able to create a new csv file of Nasdaq symbols and import this into a new QT list. However, because of the above problems the only way to use this new list is by creating a new strategy with a new name, which I do not want to do because of the ripple effect on all the other higher level strategies that use this Nasdaq sub strategy that would also have to be changed.
So how do I get the updated list of symbols into my Nasdaq strategies?
I assume I could go into Stock List Manager and delete and add symbols one by one to my old list, but that is a bit laborious. I don’t want to risk damaging my existing strategies, but what would happen if I just imported the new csv file into the existing Nasdaq QT list?There is one other spurious and somewhat disconcerting event that took place with all my testing and that is at some point, (I know not when), my new Nasdaq csv file was DELETED from my QT folder!!
I’d be grateful for any help you can give.
Thanks for your feedback, Cory.
I have never used the volatility parameter in QT, but based on your results it is something that I will definitely start experimenting with as your results are very impressive.Thanks.
I have done some further work on the Precious Metals. When I reviewed the optimization window I noticed that my selected parameters (SR/1/100/0/-200/35/40/1.5) were not that stable. By that I mean that some of the values in the 8 surrounding squares had much bigger drawdowns. I looked at various lookback/Vol att combinations and took an average of the CAGR and MaxDD of each block of 9 squares (target square plus the surrounding 8) and found that the following parameters (SR/1/100/0/-250/30/62/2.0) were much more stable and actually had similar CAGR for a smaller MaxDD of -15.74.
I also did more work trying to incorporate copper, platinum and uranium in various combinations, but could not get any improvement over the GLD/SLV/PALL strategy. If you find a way to add these in for comparable or better returns please let me know.
RichardHi youneverknow,
I thought I had replied to this but for some reason it didn’t post. The best strategy I have come up with is the Modified Permanent Portfolio that you can read about in the blog.
I think QT is well worth getting as it more than pays for itself and it allows you to do detailed tests like we have discussed above where it would seem clear that adding IWM would have improved the performance, but in fact it did not.
RichardHi Mark.
I had real trouble doing this. Eventually I sent everything to Alex and he posted it for me!Hi Mark,
If you read the Modified Permanent Portfolio article that I wrote you will see my thought process on this topic. My objective was to find a way to improve the Permanent Portfolio by increasing the CAGR and reducing the MaxDD and I was able to achieve this. In the process I was able to create two additional new strategies; Precious Metals and a stock version of the US markets strategy.When I developed these strategies and wrote the article I too was hoping to get some feedback but so far have received very little. I would be grateful if you could give me your comments on it.
I chose to use a 5 year optimization period purely based upon gut feel. The key, I believe, is to make sure you have a period covering as many market conditions as possible (rising, falling, flat, crash etc for all of the ETFs in your strategy) but over a reasonably tight period of time. 3 years felt too short and 10 years felt too long so I settled on 5, but would welcome everyone’s thoughts on this, especially LI. The recent crash in March and subsequent recovery has helped enormously with providing good data to use in strategy development.
When I optimize I look at all the light squares in the optimization window and try to find the “best” one. The way I do this is to look at the performance (primarily CAGR and MaxDD) of the 8 squares around the selected square so I have the best block of 9, if that makes sense. Ideally there will not be significant deviations in the performance of the surrounding squares. I will then feel I have a stable set of parameters (look back and vol att) to use.
I usually start with using SR and 1 to get a baseline position in a new strategy and will then look to increase the number of ETFs and different combinations of max and min % to see if this improves the results. In the case of my Precious Metals it did not. I also looked at adding CPER, JJC and PPLT to the strategy but these all gave worse performance.
When I have selected my look back and vol att parameters I will tinker with various combinations of the mean rev weight and % values to see if that improves the results. If it does then I will select these and rerun the optimization to see if this changes anything. This feels a bit like curve fitting to me, what are your thoughts?
The big unknown is how well the strategy will perform in the future. I have tried fixing the look back period to be 6 years back and optimize over 5 years and then see how it worked for the next year, but this part of QT is very unstable and it often crashes with exception errors.
The other major question I have is when should you reoptimize your strategy? Every year or just when there is a major new event?
Hope this helps.
RichardLooking at the last 12 months the results from the two systems are almost identical, however, over the last 6 months the version that includes IWM does have a better CAGR for the same MaxDD. But this is entirely due the new strategy being in IWM for November instead of DIA. So there is very recent benefit of using IWM, but how long will that last. Also you may be pushing for short term improvements over long term gains when using the IWM aversion.
I have tried this in the past as I also thought it would improve the returns, but I did not get the results I was hoping for.
I took the US Markets unhedged strategy and added IWM to it. I kept the Quantrader parameters exactly the same as the original with SR/1/100/0/-200(mean rev weight)/30 (Mean rev %) and ran the optimization over 5 years and settled on a stable lookback of 22 days and 0.5 volatility Attenuator.
I also reoptimized the original to see if its lookback and vol att had changed and they were the same at 20/1.0 – so very similar to the new model.
The results are as follows;
Original: CAGR = 28.199, SR = 1.504, Vol = 18.75, MaxDD = -28.56
New: CAGR = 23.660, SR = 1.222, Vol = 19.36, MaxDD = -28.56So the new version has worse CAGR, Sharpe Ratio and Volatilty than the original! Not what I was expecting.
I also tried optimizing the new version by selecting two of the ETFs using a 50/50 split and also variable splits with different min and max settings and none of them could improve on the single ETF version.
I have not tried this exercise using the x2 ETFs, but based on the results above I do not expect to see an improvement here either.
I am not entirely sure of the answer to that. I think that is a good question for the LI team. It is down to how quanttrader does the allocations. It is based on the ranking log that you can view from the strategy screen, but not sure exactly how the allocations are calculated from there. I suspect that if there is a lot of volatility during the month then the rankings can completely change, but there maybe other factors that I am unaware of.
I would always try to do the end of period allocations as all the performance calculations and the graphs in quanttrader are based on this.
Nelson, there are two final strategies; an ETF only version called Permanent Portfolio (US Market ETF Prec Metals version) and a version that can also use individual stocks called Permanent Portfolio (US Market Stock Prec Metals version).
In consolidated allocations you should just select 100% of one of these (and NOT their sub strategies). Remember, as the name indicates this is a modification of the Logical Invest Permanent Portfolio which only allocates into SPY, GLD and TLT and can have a maximum of 60% allocated to one of these. If you feel that this is too small a set of ETFs or stocks to allocate into then you should only allocate a portion of your funds to this strategy and the rest to another strategy.
Most of the LI strategies invest in 1-5 stocks or ETFs, so spreading your funds across multiple strategies will limit your exposure to any one ETF.
Allocate based on NOV 2020 end of period close uses the data for the end of OCT 2020 to generate the signals for November. Note that for the allocations it uses the latest price in the system (based on your last reload) to calculate the number of shares.
Allocation Nov 2020 based on intraday price will uses the most current data (you will see the system download intraday prices when you select this option) to calculate the allocations and sometimes this can be very different to the end of period allocations.
Hope this helps.
The ini files all loaded ok for me.
Tom, Can you tell me over what period of time you ran the optimizations for all the substrategies – was it 20 years or shorter?
I see that you have generated a new release of QT – 525SJUNE2020 – that contains new versions of MYRS and UISx3 and UISx2. There are several of the portfolios in the Core and Library that used MYRS and UISx3. Are there any modifications that you plan to make to the strategy allocations in these portfolios or should we just do a straight substitute? For example Max drawdown less than 15% has an allocation of 24% to the old MYRS and 27% to UISx3. Should we just keep those % the same for the new strategies?
I have looked into what you describe as your GLD/UUP version as an alternative to the GLD leveraged. However this strategy only invests in either GLD or GSY (which only appears to have a 30% exposure to the USD) and UUP is not included as an option at all. Can you please explain the reason for this?
Hi Mark,
I tried your approach and I still get the Unhandled exception. When you change the dates do you key in the dates or use the drop down date menu?
Regards,
RichardHi Frank,
I set the dates from 12/31/2015 to 12/31/16 by using the drop down date menu to select the date rather than keying in the dates. I then select Apply Range using the mouse and I get the “Unhandled Exception” error message. Hope this helps,
RichardIf you search for PHAU on the link you posted, it is not found. Is that the correct symbol. Also what would you use as an equivalent for TLT and SPY?
I agree. The most important part of these strategies is to stay invested. As soon as emotions get involved you will exit at the worst time and then procrastinate about when to get back in. Usually this is much later than you should have.
The approach that I take, to protect my emotions and my account, when the market is dropping, is to partially hedge my portfolio by buying SPY or even SPX puts or selling emini futures. Even though this does not fully hedge my accounts it does preserve my sanity and nerve and most importantly keeps me fully invested in the LI strategies.
I then just try to close the puts or futures for a profit somewhere down the line so that I know that I am “ahead of the game”.
However, even if I have just broken even or have a slight loss on these hedges they have done their job by stopping me from worrying about my portfolio (and exiting at the wrong time), and staying fully invested.
