New QuantTrader version 515S available for download

We have prepared a new version of QuantTrader which will be used to generate the Logical-Invest signals for the month of March. So please make sure you will use the new version from now on. If you are using the new version with your own strategies, you will need to re-optimize the strategies to get the same performance as with the old QuantTrader 514S version. When you do this you will probably to try out the new mean reversion parameters (see below).

The new QuantTrader version 515S includes the following changes:

New EODhistoricaldata.com financial data source added.
This new data source allows fast data download and offers not only US stock data but also data of all major stock exchanges. All non US stocks or ETFs have an extension. So German stocks will have for example the extension .XETRA. Please check yourself on the “https://eodhistoricaldata.com/” website for the correct extension.
You can change and also save the data source in the pop-up window just after you start QuantTrader.

New logical-invest sftp server.
Stock- and ETF data is now downloaded directly from the logical-invest sftp server. This accelerates the download a lot.

New mean reversion data fields.
In the past you could add or substract the performance of a mean reversion period which was counted from the end of the lookback period. So if you had a lookback period of 60 days you could substract for example the performance of the last 15 days using a 100% mean reversion weight. The period was defined in days which did not work well together with our optimizer. Now this period is a percentage of the lookback period. If you define for example a mean reversion weight of -150% and a period of 25% then with a lookback period of 60 days it would substract 1.5x the performance of the last 15 days from the total lookback period performance.
The mean reversion is a very important parameter, as it is normally not good to buy ETFs or stocks which had a strong upside move just recently, as normally prices tend to revert to the mean.
We had to recalculate all strategies using the new mean reversion parameters. Most strategies did profit quite a bit from these new parameters. A good example is the US markets sub-strategy with ETFs like SPY, DIA, SPLV and QQQ. SPY and DIA for example had more or less the same performance over the last 10 years, but their monthly performance could be quite different. This means that if one ETF under-performed, sooner or later it over-performed. So investing in the under-performer for the next month was quite beneficial over longer periods.
If you do your own strategies, then a good start for this new parameters is a mean reversion weight of -150% and a period of 25%.

Attention!!!! 
When you start a new version of QuantTrader the first time, Windows will display a blue warning windows saying: “Windows protected your PC”-“Don’t run”
Here you have to click on the “more info” link and then click on “run anyway” to start QuantTrader.
This behavior is normal, as we do not use an installer to run the QuantTrader software. The reason is flexibility. Like this you can just copy the QuantTrader folder in different folders and copy/rename it without problems if you do your own tests.

You can download manually the Zip file which contains also the latest strategy files using this link:
https://logical-invest.com/quanttrader/QuantTrader515S.zip

Please report problems directly to frank@logical-invest.com

Logical-Invest, February 27
Frank Grossmann

1 thought on “New QuantTrader version 515S available for download”

  1. Hi Frank.

    I’m trying to analyze and understand QT and the mean reversion part of it.

    You stated:

    “If you define for example a mean reversion weight of -150% and a period of 25% then with a lookback period of 60 days it would substract 1.5x the performance of the last 15 days from the total lookback period performance.”

    So, for example, if the 60 day performance is negative 5% and the 15 day performance is negative 8% then the adjusted performance is positive 7%?

    (-5 – (-8 * 1.5)) = (-5 – (-12)) = (-5 + 12) = 7

    If this is indeed the case then a negative performing symbol could potentially be adjusted to a positive performing symbol for usage as the numerator in your modified sharpe formula and potentially rank high enough to be selected and traded?

    Please let me know if I’m on the right track with this.

    Thanks.

    Bill

Leave a Comment