OmniVest Forum OmniVest Forum
forums calendars search
today this week
 
register logon control panel Forum Rules
You are currently browsing as a guest.
You should logon to access more features
A Self-Moderated Community - ALL MEMBERS, PLEASE READ!
Vote for Members who contribute the most to your trading, and help us moderate content within the Forums.


[Random Quote] -


This message cannot be deleted. It is the first message of the thread.
Administrators or moderators may choose to delete the entire thread


 
Steve2

Elite
5001001002525
Posts: 750

Joined: 10/11/2012
Location: Annapolis, MD

User Profile
 
Subject : OV Account Analysis Tool
Posted : 1/24/2014 7:40 AM
Post #28940

Attached is an Excel workbook that Rokfreek (aka Ian) and I have been using to help us try and optimize OV account configurations. It analyzes position data that is copied/pasted from either the "Simulated Historical Positions" or "Historical Positions" grid and produces a variety of statistics about the account. The workbook contains four worksheets.

The "Positions" worksheet contains instructions for using the workbook and is where your positions data is pasted.

The "Strat Analysis" worksheet breaks down realized performance by calendar quarter for the overall account as well as for each individual strategy. We thought the strategy break out would be useful for tailoring strategy composition but we found that without visibility into how OV constructs its sorted list of trade candidates each day, strategy refinement is really more like playing whack-a-mole. It's pretty fascinating to see how the strategies interact. Hopefully in the future, Nirvana will provide more visibility and perhaps more user control over how their sorting algorithm works. If so, then we expect the strategy break out will be quite useful.

Also on this worksheet are a number of account statistics designed to capture account volatility (e.g., counts of positions by P/L ranges, largest consecutive winning/losing streaks, P/L % volatility, etc)

The "Sym Analysis" worksheet breaks out each unique symbol traded along with how frequently it was traded and it's contribution to P/L. This enables you to assess whether or not a significant percentage of your P/L is concentrated in a relatively small number of symbols which we view as risky. We also think this break out may be useful for refining focus lists once OV releases the user-defined focus list capability.

The "Key Metrics" worksheet summarizes our optimization approach and pulls some key metrics from other parts of the workbook that are used for performing this optimization.

Caveats: The workbook uses macros so you have to enable macros. It was developed in Excel 2007. I don't know if it will work in earlier (or for that matter later) versions of Excel. You need a big-boy PC to run it. For example, it takes about 2.5 minutes to calculate the stats for a 14 year simulation with 26,000 positions using a 2.5 GHz Quad-Core PC. Other than that, it's pretty simple to use. Just paste in your data and click the "Prepare Data" button and out come the stats.

If you decide to play with this, please let us know:

1. If you find any errors
2. Have suggestions for additional useful statistics
3. Have any comments on the optimization methodology we're using (we have very thick skin :))

Enjoy!

Steve and Ian

[Update] The attachment has been removed since something in the upload/download process is corrupting the file. Please you this dropbox link to download a clean version of the file:

https://www.dropbox.com/s/wpld9rnfmsxtduh/Ov%20Sim%20Analysis%20Tool%20v1.12.xlsm


[Edited by Steve2 on 1/25/2014 8:46 AM]

Deleting message 28940 : OV Account Analysis Tool


Nirvana Systems
For any problems or issues please contact our Webmaster at webmaster@nirvsys.com.