OmniVest Forum - User-Created Portfolios
List of Strategies

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Mark Holstius

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Subject : List of Strategies
Posted : 1/28/2013 2:43 PM
Post #23316

I’ve been experimenting with combinations of strategies and found it helpful to be able to keep track of those that added or subtracted to what I was doing. To make it simpler, I put together an excel sheet with a list of all the current strategies. It’s designed to print on 1 page, but can obviously be modified for your own use as you see fit (statistics, etc., in the columns…).

I hope someone at Nirvana will pick this up and keep it current as new strategies are added…???

Mark



Attached file : OV Strategies List 2013-01-28.xlsx (42KB - 422 downloads)
Attached file : OV Strategies List 2013-01-28.pdf (30KB - 408 downloads)
Attached file : OV Strategies List 2013-01-28.jpg (555KB - 1933 downloads)

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Mark Holstius

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Subject : RE: List of Strategies
Posted : 1/28/2013 4:07 PM
Post #23323 - In reply to #23316

Here's an improved excel sheet with more of the strategy details broken out in individual columns so that it's easier to sort by columns & see the details of the strategies you're using...

Just a tool to use until a true "export" to excel is available...???

Mark


Attached file : OV Strategies List with details 2013-01-28.xlsx (54KB - 442 downloads)
Attached file : OV Strategies List with details 2013-01-28.pdf (27KB - 413 downloads)
Attached file : 01_Sort.jpg (877KB - 1897 downloads)

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Pete Taylor

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Subject : RE: List of Strategies
Posted : 1/28/2013 5:26 PM
Post #23326 - In reply to #23323

Mark

Thanks for putting this spreadsheet together - I think this will very useful in tracking the markets & types of strategy that make up your account. Its not that easy to see from the lists on the web site this information & the method of labelling of the various strategies doesn't really help - but this does. Thanks will have a play with this as you suggest tommorrow.
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keith

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Subject : RE: List of Strategies
Posted : 1/28/2013 5:41 PM
Post #23328 - In reply to #23323

thanks, mark, great work.
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TomTwiford

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Subject : RE: List of Strategies
Posted : 1/28/2013 11:37 PM
Post #23331 - In reply to #23323

Thanks Mark, great work and will be very useful.


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phil345

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Subject : RE: List of Strategies
Posted : 1/29/2013 10:22 AM
Post #23335 - In reply to #23323

Thank you for your work. Will be very useful
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kmcintyre

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Subject : RE: List of Strategies
Posted : 1/29/2013 2:21 PM
Post #23349 - In reply to #23335

Mark,

I'm would like to see a group of Club members sign up for transcribing strategy results from OmniVest to a shared Excel spreadsheet (or folder of spreadsheets) so we can all perform our own data analysis without performing our own data collection.

I don't want to steal your thunder.

Are you interested in organizing such an effort? Are you cool with me starting a thread and posting my own Excel template for data collection?

I know Excel, but I am not an expert on pivot tables (which I think would give us a big bang for our buck in terms of analysis). I have Excel 20007 installed but have access to Excel 2010. I think Excel 2013 is out??? And some club members probably are still running XP and Excel 2003. So, what to do about that...

Thoughts?

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Ger

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Subject : RE: List of Strategies
Posted : 1/29/2013 3:03 PM
Post #23352 - In reply to #23349

Keith and Mark,
Great Idea, but until OV allows an Excel spreadsheet to access its strategy tables directly, it will be very labor intensive. You can now copy a strategy's monthly/yearly P/L% table into Excel. There are currently 94 strategies and let's just assume you want to change one or more account settings per strategy, you will quickly have many hundreds of copying/pasteing to do every week or month update cycle.
I have actually started this but have given up. I am waiting for OV to make the data more conveniently extractable into an Excel spreadsheet. I hope you have found a more clever way of importing the data into Excel?

Gerry
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Mark Holstius

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Subject : RE: List of Strategies
Posted : 1/29/2013 3:49 PM
Post #23355 - In reply to #23352

I agree - it's very labor intensive at this point.
The spreadsheet I posted was only meant as a "scratch pad" for me to keep track of strategies I'd added or subtracted from new portfolios. It seems to work well for me and I thought the list might be useful to others too...
I hope Nirvana will make the data more accessible since OV is definitely giving good testing results at this point...
Mark





Attached file : OV_2X_Margin_Long_and_Short.jpg (688KB - 1692 downloads)
Attached file : OV_IRA_No_Margin_Just_Long.jpg (703KB - 1660 downloads)

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kmcintyre

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Subject : RE: List of Strategies
Posted : 1/29/2013 4:17 PM
Post #23356 - In reply to #23352

Well, after spending an hour or so transcribing the monthly results table from one strategy to an Excel spreadsheet I tried something different.

I simply highlighted the table on the OV site, Ctrl-C copied it, opened Excel, and Ctrl-V pasted the table. Yea, there are nearly a hundred strategy/list combos. So that is a lot of work. (Hence my thought of sharing the workload...)

Guess I'll doink around a bit and decide just how I might use monthly results tables within Excel to better select complimentary strategies.

Cheers!
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Jim Dean

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Subject : RE: List of Strategies
Posted : 1/29/2013 4:22 PM
Post #23357 - In reply to #23356

Ok guys I might have a present for you

Buy SnagIt from www.techsmith.com

Capture the OVest info in Text mode using autoscroll if necessary

Load the resulting file into Excel

First time only - map the imported cells on one worksheet tab into the analysis worksheet.

From then on out as long as the OVest page does not change, that same map will work.

Ps I have not done this for that page but Ive done it many times for other things like this. SnagIt is the "bees knees".
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kmcintyre

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Subject : RE: List of Strategies
Posted : 1/29/2013 4:26 PM
Post #23358 - In reply to #23357

Thanks, Jim! I'll check it out...
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Ger

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Subject : RE: List of Strategies
Posted : 1/29/2013 5:24 PM
Post #23359 - In reply to #23358

Thanks, Jim. Will also look into this("SnagIt").

Gerry
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Ed Downs

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Subject : RE: List of Strategies
Posted : 2/3/2013 3:26 PM
Post #23442 - In reply to #23359

Great thread. Thanks.

Yes, we have several ideas coming together about how to isolate Strategies with favorable behavior. The BIGGEST one (I think) is step-wize performance. That is, rather than Strategy performance based on a 12 year run, you will be able to say, "Recent Month", "Recent 3 Months" etc. on monthly increments. Also, we are going to add an Inter-Strategy correlation measurement so you can say "Show me all Strategies that are the [most] or [least] correlated to the ones I have selected, sorted in correlation order."

I'm saying the instrumentation right now is fairly minimal. We know that. We need to add more statistics people can add to the grid and sort on, plus what I have described above. But it looks like, even with what is there, folks are making some pretty bodacious (a Texas term) Portfolios!

I've said several times today that all of these recent threads are GREAT. Once we get past Beta, we can hunker down (yep, another Texas term) on usability features like this. And we will add them because I want exactly the same thing - the easiest possible way to find and aggregate Stratgies for a superior return.

P.S. We have been using SnagIt for years. Best screen capture tool in the world.
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KRB

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Subject : RE: List of Strategies
Posted : 2/24/2013 1:30 PM
Post #24064 - In reply to #23349

Gentlemen,
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 - 576 downloads)

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Mark Holstius

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Subject : RE: List of Strategies
Posted : 2/24/2013 1:52 PM
Post #24065 - In reply to #24064

Very nice, Keith!!!

Lots of work there - and much appreciated.

Mark
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keith

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Subject : RE: List of Strategies
Posted : 2/24/2013 3:09 PM
Post #24067 - In reply to #24064

brilliant job keith. i was starting to putz with the strategies on friday because i wasn't getting any trades for a couple that i have-guess the market is waiting to see what happens with sequestration-but i gave up after seeing what a monumental effort it would be.
thanks for your work and effort. hope ed and the team will get some of this resolved soon.
keith
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gbarber

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Subject : RE: List of Strategies
Posted : 2/24/2013 3:51 PM
Post #24068 - In reply to #24067

very nice indeed. thanks Keith
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kmcintyre

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Subject : RE: List of Strategies
Posted : 2/24/2013 4:44 PM
Post #24071 - In reply to #24068

Very cool! Thanks for sharing...

Keith

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Randy McBeath

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Subject : RE: List of Strategies
Posted : 2/24/2013 6:06 PM
Post #24075 - In reply to #24064

Keith,

Thanks for sharing this very thorough and comprehensive analysis and for all the time you spent creating a very well formatted spreadsheet.

Randy
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TomTwiford

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Subject : RE: List of Strategies
Posted : 2/24/2013 11:26 PM
Post #24077 - In reply to #24064

Thanks Keith, Much appreciate your hard work.

My best regards,

Tom
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John W

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Subject : RE: List of Strategies
Posted : 2/25/2013 2:26 AM
Post #24078 - In reply to #24064

Keith, Thank you for your generosity, it would have been so easy to hoard all this to yourself, you are a gentleman and a role model! John
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Fred Gordon

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Subject : RE: List of Strategies
Posted : 2/25/2013 7:06 AM
Post #24081 - In reply to #24064

Thank you KRB.
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Leo Allison

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Subject : RE: List of Strategies
Posted : 2/25/2013 10:03 PM
Post #24111 - In reply to #24081

Keith, Nice work. Thanks
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Angela Duran

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Subject : RE: List of Strategies
Posted : 3/8/2013 12:49 PM
Post #24444 - In reply to #24111

I've attached an updated copy in XLS format with the strategies that were added today. The new strategies are long only, trending and applied to a subset of the industry group they belong to. Here's a bit more info until we get the site updated:

Strategy List
T1-L-IG01 IG01 Beverages
T1-L-IG02 IG02 Meat and Farm Prod
T1-L-IG03 IG03 OIL AND GAS Pipelines
T1-L-IG04 IG04 FOOD & PROCESSED Goods
T1-L-IG05 IG05 APPAREL - Clothing
T1-L-IG06 IG06 Property Insurance
T1-L-IG07 IG07 Minerals and Mining
T1-L-IG08 IG08 Consumer Durbales
T1-L-IG09 IG09 Chemicals
T1-L-IG10 IG010 Communications Equipment
T1-L-IG11 IG11 Metals
T1-L-IG12 IG12 Oil and Gas Equipment
T1-L-IG13 IG13 Steel and Iron
T1-L-IG14 IG14 Oil and Gas Drilling
T1-L-IG15 IG15 Independent Oil and Gas
T1-L-IG16 IG16 Packaging and Containers
T1-L-IG17 IG17 Apparel - Footwear
T1-L-IG18 IG18 Automotive
T1-L-IG19 IG19 Oil Refineries

Attached file : Strategies.xls (37KB - 477 downloads)

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Mark Holstius

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Subject : RE: List of Strategies
Posted : 3/8/2013 12:58 PM
Post #24445 - In reply to #24444

Thanks Angela...

Not sure why, but I had to let Excel repair that file...???

Should be fun to see what these do for performance.

Mark
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Marc B

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Subject : RE: List of Strategies
Posted : 3/8/2013 1:07 PM
Post #24447 - In reply to #24445

Same with me. I got the following message:
"Excel completed file level validation and repair. Some parts of this workbook may have been repaired or discarded."
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Jim Dean

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Subject : RE: List of Strategies
Posted : 3/8/2013 1:10 PM
Post #24448 - In reply to #24447

Hi Angela

Question re trending strats - is the same Strat logic used for each of the separate groups?

Have the Strat params been "tuned" separately for the separate groups?

How many symbols are used for each group? The whole MG list, or culled by liquidity, etc?

Thanks - this looks like a good addition to the mix.
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Angela Duran

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Subject : RE: List of Strategies
Posted : 3/8/2013 1:39 PM
Post #24450 - In reply to #24448

I've reposted the file as an XLS. It's working now.

The same strategy was applied to each list. Each list is a subset of the group. I'll compile the lists for each strategy to post to the site when I have a chance. It won't be today.
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keith

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Subject : RE: List of Strategies
Posted : 3/11/2013 7:36 PM
Post #24490 - In reply to #24444

Nice list. thanks for that. are you guys working on one for banks?
keith
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Bob123

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Subject : RE: List of Strategies
Posted : 3/12/2013 2:50 PM
Post #24520 - In reply to #24448

Jim - was just curious concerning your thoughts on how to use the new Trending strategies. I created a portfolio last night of 7 strategies which were profitable and had increasing yield curves for the last 2 months. I get the feeling because of the stock list breakdown that a sector rotation approach on relatively recent (< 3months) data is better than looking at data from more than 1-2 years ago. Since it is the same strategy used on just different sector lists, that seems to make sense to me. Some of the recent yield curves since Jan 1 look good and others look terrible. It could just be an issue of how well or poorly a sector has been performing since Jan 1. Any thoughts?
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Jim Dean

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Subject : RE: List of Strategies
Posted : 3/12/2013 3:06 PM
Post #24522 - In reply to #24520

Hi Bob-

It's sort of difficult to say much specifically re the strats since we know very few details.

For Trending strats of any sort, FILTERS are the key IMHO. Quite a while back I offered to share a nine-market-state indicator for Nirvana to incorporate for such purposes - never heard anything back about it though. I've requested that OVest allow us to define filters for each of the canned strats, but I sort of doubt that will happen.

Also, as for all types of strats, I believe that the sophistication of exit logic has a greater impact on Strat performance than the entry logic. That's why I've asked for lots of different exit options to be made avail. Again, I sort of doubt that will happen.

As I see it, OmniVest strategies are intended more or less to be "take it or leave it" - and that the users are to put portfolios together based on empirical fiddling around with equity curves rather than careful thought based in understanding the details of the strategies themselves.

And, although that's not my normal way of thinking, I am nonetheless drawn to the concept - rather than being like a chess game, it's sort of like one of those 2000-piece jigsaw puzzles.

In my opinion, the thing that will make OmniVest "work" along those lines is unrelated to the specifics of the strategies - it all hangs on the sophistication and versatility of the risk control and money management options provided. Still a long way to go in in that department, but I'm looking forward to when they have time to really concentrate more on it.

Hopefully, part of that MMgmt suite will include the ability for the user to draw on the nime Market State model, and direct which strategies can be applied as a function of market state.

I hope this long rambling story helps somehow.
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Bob123

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Subject : RE: List of Strategies
Posted : 3/12/2013 4:53 PM
Post #24534 - In reply to #24522

Thanks Jim for your insight. I do precisely remember your 9-market-state filter you offered to Nirvana and thought that was a key success factor and specifically for longer-term strategies like these new Trending. I wonder if DSS has been employed on these which may be sort of like your 9-market-state filter but of course not the same. Well, we'll all know more information soon. I'm just happy to see some new strategies other than RTM. Thanks again!
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Jim Dean

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Subject : RE: List of Strategies
Posted : 3/12/2013 4:55 PM
Post #24535 - In reply to #24534

Here's the thread where the nine market state description is given:

http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=4059
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Ger

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Subject : RE: List of Strategies
Posted : 3/12/2013 5:09 PM
Post #24536 - In reply to #24522

Does anyone else have concerns that 'emperically tweaking" a portfolio with multiple strategies for optimal ending equity is prone to "curve fitting"? As of now there is no way to "forward test" this portfolio and compare Backtest results to Forward test results.

I've said this in the past that OV really needs both a start date AND an end date capability in the simulation mode. I believe this would allow some capability to forward test the portfolio. Thoughts?

Gerry
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Bob V

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Subject : RE: List of Strategies
Posted : 3/12/2013 10:43 PM
Post #24545 - In reply to #24536

I absolutely agree that an ENDING date is necessary to make sense on the simulation. For instance considering 1/1/2007 to 3/1/2009, during a major down trend would say volumes regarding profitable versus non-profitable strategies.

This would help tremendously to select strategies during different phases of the market. I have been trying to do this for multiple strategies looking at the monthly returns, but it's very time consuming.
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Eric Severance

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Subject : RE: List of Strategies
Posted : 5/22/2015 5:38 PM
Post #35075 - In reply to #24444

Angela,Is there an updated version of this list you could supply (in Excel)?
Thanks
Eric Severance


https://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=4268&posts=37