KRB Member Posts: 12 Joined: 10/11/2012 Location: New Hope, PA  User Profile | In trying to come up with a way to design über portfolios, I was running into a problem being able to differentiate the different strategies, why they were included, what their strengths were, and what the best way to utilize them. I played around on the web-site like I know all of you have--making combinations and testing them out, but because of the enormous amount of choices and permutations, and then NOT having the ability to selectively sort on the Portfolios page in order to compare portfolios side by side against the different fields left me a bit hobbled on being able to see the Big picture. So I decided on Friday(2/22) after the OV evening update to try and create select dedicated portfolios to help clarify my understanding of how this all works. My idea was to create "like" portfolios in order to compare the separate components as apples vs. apples instead of apples, oranges and the rest of the fruit basket. So I studied all of the separate strategies (there's actually only 20!) and decided to organize them into the following groups: Direction, Lists, and Strategies. Then I went about making portfolios for each permutation possible in those groups. So for example, there would be 3 different portfolios for Direction: all strategies that were Long only would be one, all that were Short only, and all that were Both. This allows us to compare them against each other and find the top performers in each direction. Then I made portfolios based on all the lists. So for example, all strategies that traded the SP would be one portfolio in order to see who the top performers trading each lists were etc. And finally, I made a separate portfolio for each Strategy (R1, R2 etc.) which would show what lists were the top performers for each strategy. Yes, that means I made 36 dedicated portfolios! Now I was ready to see these bad boys side by side and start building my trading portfolios. BUT, that is when I found out that you can't sort by the different fields on the Portfolios page like you can on the Strategies page--Aaaarggg! And with 36 new portfolios, you have to keep scrolling back and forth between them. (By the way, it would be infinitely easier to compare on these pages if the top header listing all the different fields was frozen and would stay in frame as one scrolled down like you do in excel!) Since I had already spent 5 hours building the portfolios, I couldn't abandon my original idea due to this. So, I took the rest of the evening copying and pasting all of the portfolios and their statistics, components etc. into an Excel book. Yes, it took me forever, but now I can sort and compare anything I want to look at. The first page is a summary of all portfolios sorted into the 3 groups mentioned earlier. Then I tabbed (and color coded) a separate page for EACH portfolio in order to compare the individual components as well. After two days of doing this, I decided to share all this with my fellow NC members so that if anyone is interested in examining this approach, they don't have to do what I did. I realize that everyone has their own ideas and processes but since we're a club, we can save time by building on the work of each other rather than redundant research and thus speed up our evolution together! A few things to note when looking at this: I built a default account to run this in with NO filters selected so that results couldn't be attributed to one or more of those selections. Starting balance $100K, 200% buying power (margin), starting date 1/1/2000,NO boxes checked, No rounding, commissions .004, and trading balance $28244.31. I made a portfolio for All ETFs, but all other portfolios are equities only. Also, as I said earlier, All of these numbers are from the OV of 2/22/2013. I know they will change tomorrow probably, but the relationships and percentages should remain fairly consistent for analysis and comparison. BTW, I already set "print area" for each page, so if you just happen to have 37 pages lying around, you can just print the book. Ed posted that they were getting ready to add 15 trend-following strategies this week, so I will probably add them to this at some point. Have a good weekend. All the best, -Keith  Attached file : Portfolio Analysis.xlsx (102KB - 572 downloads) |
