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General OmniVest Feature Requests
Portfolios based on FUNDAMENTAL analysis
Last Activity 12/14/2017 8:41 PM
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SteveJ

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Subject : Portfolios based on FUNDAMENTAL analysis
Posted : 3/26/2014 1:52 AM
Post #29588

The strategies in Omnivest are, as we all know, entirely based on (optimised) technical analysis of various lists of stocks or ETFs. Soon the lists will be based on point in time data (dynamic lists) which will be a huge step forward. I hope the dynamic lists will also be available in Omnidata for OT.

Technical analysis is, however, only a part of the overall investing jig saw. The world's richest / most successful investors (Buffett, O'Neil, Zweig, Greenblatt, Lynch and so on) take little, if any, notice of squiggly lines on graphs relying almost exclusively on fundamental analysis.

Personally, I like to have regard to both. Until Omnivest came along my regular investing 'chore' was to find good companies at value prices based on fundamental analysis then check their technical position and manage the trades taken in OT. That is something I shall continue to do with the bulk of my capital but how I would love to do it in Omnivest!

At present I develop strategies using back testable point in time fundamental data. Attached is a graph of one of my portfolios based simply on 'raw' analysis before considering the technical position. Nothing startling but around 20% per annum with a maximum drawdown of less than 40% over the last 10 years. The portfolio is about 50% large cap and about 25% each mid and small. Most fund managers would 'kill' for such returns as, I dare say, would most Omnivest users?

Imagine being able to develop such portfolios in Omnivest then analyse them technically and also combine them with other technical and fundamentally based portfolios then trade them automatically through the trade processor. Mouth watering!

Nirvana already has fundamental data in Omnidata and now has the 'technology' to create dynamic, point in time lists.

How about it Ed? What do others think?

Best

Steve
Attached file : Balanced 10 Years.jpg (143KB - 242 downloads)
Attached file : Balanced Stats.jpg (70KB - 235 downloads)

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John W

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Subject : RE: Portfolios based on FUNDAMENTAL analysis
Posted : 3/26/2014 6:12 AM
Post #29590 - In reply to #29588

As a suggestion Zachs.com do a lot of fundamental research - I've used them for years, very professional outfit based on fundamental analysis.

They have 5 categories of stocks rated on fundamentals - if you select their category one (currently 208 symbols), or category one and two they would be ideal for bullish scenarios using OV V2.

Similarly, category 5 (currently 215 symbols), or category 4 and 5 for bearish scenarios using OV V2.

Below I've listed the claimed performance of their stock categories from their website over many years. Have a good look, its tremendously advantageous to use the Zachs fundamentals versus the S&P benchmarks.

If you combine your preference for fundamentals using Zachs with the technical brilliance of OV V2, I'm guessing you'd be on a winner!

John







[Edited by John W on 3/26/2014 6:16 AM]

Attached file : Zachs.png (76KB - 361 downloads)

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Jim Dean

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Subject : RE: Portfolios based on FUNDAMENTAL analysis
Posted : 3/26/2014 7:06 AM
Post #29591 - In reply to #29590

I have been a proponent of this for years, with the caveat that we need back testable fundamental data to work with, or it's all potentially smoke and mirrors. There are two issues:

1. N does not want to have to purchase a huge truckfull of historic fund data. However, as I understand it, they have daily data going back to around 2005-6 or so, whenever they first started doing OData/OScan. In my mind that's a decent basket to work with - about nine years. There are places they could "scrape" historical fundamentals back to 1990 or so if they chose - tiny cost but some considerable hassle.

2. The second issue has been that of bringing OScan and backtesting up to speed to dynamically handle the historic data. My guess is that the CPU overhead as well as the data storage involved (maybe 50 data items per symbol per day versus just five OHLCV) has been the sticking point.

Advantages and solutions:

A. Amelioration to massive data issue is to store the data once a week vs once a day.

B. Solution to massive CPU hit is to process the Fund Scan rules on the cloud OVest servers.

C. To make it work on local machines (for ET testing), upload the completed daily symbol lists created on the OV server to the local PC for use by OT. This method works equally as well for fund scans as it does for tech scans. Essentially eliminates both the local CPU speed and storage problems in one fell swoop.

D. Bluesky suggestion: Benefits are enormous if a hybrid techno-fundamental engine is created - ie being able to apply formulae (like MA crossovers, std deviation, etc) to the raw fund dataseries, rather than just working with discrete data items. There are a couple of other vendors that do this - it's cool! It would however call for the ability to "plot" the hybrid fund "indicator" so the person can visualize their logic. If all the discrete data stays on the server, that means OV would need a "Filter Lab" with data and charts, to "paint" the OScript formulae results on those charts. That probably would be too much to add to the pot near term, but it's worth keeping in mind for when OV is a moneymaking engine for Nirvana.

Summary - I think implementation of ABC above would be sensible, helpful, and might attract some "motif" investors. I suppose it could be done fairly near term, especially in light if the current work being done on dynamic lists - this would be a natural adjunct. However, compared to many other things currently on the table, I'd rate the relative value of this to be "moderate".
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