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Rivian (RIVN) was dropped from the NASDAQ 100 effective June 20. Yet, it was one of the stocks selected under the NASDAQ 100 strategy in August and in September. Does this have to do with the 70-day lookback period you mentioned in the earlier post? I’d like to better understand why this happens. Thanks.
Alexander,
Thank you for your detail response. The thoroughness of you and other staff in responding to questions from individual users is something I appreciate about Logical Invest.
My earlier questions came from a desire to reproduce the allocations and performance of public strategies and metastrategies. Admittedly, QT is not needed to do that since the offical allocations are published online, and QT is designed to solve bigger problems than that. As you mentioned, some unavoidable changes in the data used by QT can cause changes in its outputs. When two strategies are a virtual tie in the rankings, they can be considered equally good to use in a statistical sense. However, their performance over the short term can be rather different. If that’s not acceptable, one can always increase the number of strategies that the metastrategy allocates to.
I understand that the allocation shown under the Current tab in QT can vary during the month. But is it correct that the allocation shown under the Invested tab should not change after it is updated with the offical rebalancing at the beginning of the month?I am glad that rikder also noticed the change in allocation of the Strategy of Strategies after its initial allocation at the beginning of August. I also brought this up in my post on 9/2/19 on this thread. I used the strategies listed under the ACTUAL tab to allocate my portfolio on Aug. 1st during the day. In late August I noticed that the strategies listed under the INVESTED tab were different from my portfolio allocation. As I understand it, the INVESTED tab reflects the allocation that should have been held since the beginning of the current month.
Something similar happened this month. When I rebalanced my portfolio on Oct. 1st, QT allocated the Strategy of Strategies to GLD-USD, MYRS ZIV Hedged, and GMRS Hedged under the ACTUAL tab. I have documented this in a screenshot that I took on Oct. 1st during the market session (I’d include the screenshot in this post but it doesn’t let me). Today, Oct. 4 after the close, QT shows a different allocation for the Strategy of Strategies under the INVESTED tab, in which GMRS Hedged has been replaced with BRS. This is also the allocation shown in the QT Historical Allocations Graph as being in effect since Oct. 1st! I also have a screenshot of this.
So for me there are two questions, if I am not mistaken: the stability of QT’s Strategy of Strategies allocation within a given month, and understanding the difference between QT’s Strategy of Strategies and the Top 3 Strategies listed online.
This being said, I did make a judgment call to use the Top 3 Strategies rather than the Strategy of Strategies on Oct. 1st, because I wasn’t comfortable having 56% of my portfolio in one asset (GLD) if I used the Strategy of Strategies. That was the result of GLD being used as a strategy of its own and also a hedge in GMRS. Just a matter of comfort level from my part.Hello Alexander, I’d like to understand the difference between two meta-strategies: the Strategy of Strategies under QT and the Top 3 Strategies on the Website. I noticed that on Oct. 1st the Strategy of Strategies used GLD-USD, MYRS ZIV Hedged, and GMRS Hedged, while the Top 3 Strategies used GLD-USD, MYRS ZIV Hedged, and BRS. So one of their constituent strategies was different this month. I also noticed that the Top 3 Strategies uses the best three strategies based on the most recent 3 month performance, while QT looks back longer (126 days) to calculate the Strategy of Strategies.
However I noticed some similarities between the meta-strategies. The statistics of the two meta-strategies (return, volatility, MDD) over a variety of time periods (3 mon to 10 yrs) are the same, except for their Sharpe ratios (using data for Strategies of Strategies coming from QT backtester vs data for Best 3 Strategies coming from its Website). If the two meta-strategies were different, I’d expect more differences in their statistics. And as I recall it, their selections in past months were consistent with each other when I compared them.
Could you comment on the differences between these meta-strategies, and if you’d recommend using one over the other?
Thanks.Hello,
I have been following the Strategy of Strategies under QuantTrader. In early August, I invested in the combination of the strategies MYRS ZIV-Hedged, BRS, and Treasury Hedged according to the “Actual” allocation in QT. I am positive that BRS was part of the “Actual” Strategy of Strategies. During a later QT session in August I noticed that the BRS strategy had been replaced by World Country Top Hedged. In fact now on Sept. 1st the historical allocations graph in QT shows an allocation to World Country Top Hedged rather than BRS through all of August.
Do you know what may have caused that change in the Strategy of Strategies during August? Thanks.Well, I spent the best of two days trying to find my way around Amazon AWS. I was able to create an EC2 instance but I could not download QuantTrader from your Website to that instance. I was not able to figure out a way to upload a file to the instance either. Not sure how QuantTrader would be able to store updated quotes downloaded from the Web. I guess I’ll just have to carry my 15-inch laptop with me on vacation to rebalance on 6/1.
Hi,
I will soon go on a 3-week vacation in Europe and the June 1st rebalancing date will fall during that vacation.
I’d like to avoid carrying my laptop through this trip but I depend on QuantTrader. Is there a way for me to access a copy of QuantTrader running in the cloud? I’d make a very light usage of it.
In any case, I’ll have an Android-based tablet with me.
At a minimum, I am interested in knowing the strategies recommended by the Strategy of Strategies.
I am looking for a solution that is very reliable, for a stress-free rebalancing.
Thanks.Hi,
The historical data for the Global Sector Rotation – Low Volatility strategy shows that three positions were taken each month after 9/30/2014, and two positions each month before that date. The description of the strategy states that “The strategy invests on a monthly basis in the top two performing global sectors.” Could you explain why the strategy has been taking three positions more recently? Do the historical returns consistently reflect a single strategy?
Thanks.
