Jim Dean Elite   Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA  User Profile | Good thread topic. I've got some additional thots. 1. Steve's mechanism forced switching by closing all trades before switch. With OVest and TProc running the show, I believe that active trades in closing portfolio could/should be allowed to run their course controlled by their TPlans. Any new trades would come from the newly selected portfolio. 2. The gotcha of filtering/conditions of virtually any sort is that the filter is too sensitive and it whipsaws, or it's stable but lagging. Finding a balance is tricky. As I've presented elsewhere at length, I think that at least six and more likely nine market states are useful - bull flat bear trends, each with wild normal or quiet volatility. Hopefully the mechanism for condition switching can somehow work with this multistate blend. Maybe "blend" is an important concept to work with. Someone (Ed,maybe?) suggested using the OScript formula to determine a balance or weighting of portfolios, rather than a square wave shift between them. 3. So, here's an idea: allow an OScript formula to be assigned to each of several portfolios, to act as a weighting factor for the allocations in that portfolio. Example: three portfolios, one designed for clear bull trends, another for clear bear trends, and a third for transitional/flat/consolidation periods - each with its own OScript formula that creates a numeric weighting factor based on some (presumably) simple market-metric, geared to recognize conditions that "fit" it's related portfolio best. Any of the three formulae could create weightings from 0-100%. That weighting would be applied to the allocation percentages in the various strats in each portfolio, normalizing the results to the desired pct invested for that Account. OVest already does just that with strats combined into a portfolio. The result would be an Account that intelligently "glides" through trend changes, in a manner that permits simultaneous mixing of portfolios in situations where the transition is not cut and dried. In my belief, that is the norm and not the exception. One could take this further, with three additional portfolios for wild normal calm, and OScript weights for them. Or, some entirely different track - nine portfolios for nine Sectors with OScript weightings gliding the mix through group rotations. 4. How to do this in the interface to make it simple to understand without adding a gazillion more layers: I believe the natural solution is to allow the user to create a portfolio, then STORE it AS a strategy, so that it as a whole can be studied and manipulated using the same very cool SLab tools that now work with strategies. And since strategies already have allocation percentages and conditions and metrics and whatnot, this might allow the portfolio-blending mechanism to be implemented with relatively small impacts on the GUI. Maybe I should have said "system" not "strategy" - but as I understand it, in OVest, "System" = what OT calls a strategy, and OVest "Strategy" = OVest System plus List plus Direction plus Conditions - if that's true then Nirvana please write it down prominently somewhere. I hope I got it right ;-) [Edited by Jim Dean on 3/17/2014 11:44 PM] | |
