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OV Tool suite: Q1 2015 performance experience
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BrianD

Posts: 302

Joined: 2/23/2013
Location: Grand Rapids, MI

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Subject : OV Tool suite: Q1 2015 performance experience
Posted : 4/2/2015 8:42 PM
Post #34987
I thought there may be interest in OV Tool suite performance in live, TP managed trading accounts.
My objective was to see how 5 different configured accounts (RTM vs Trend strategies, Dynamic vs Static lists, Port Wizard & Balanced versus Omni Portfolios versus Community, etc.) ran over a CY quarter.
Additionally, I wanted to let OV just run for a quarter. I’ve learned to trust OV, so I selected strategies, and just let OV/TP rip. I did make some mid-course corrections, but if anything those changes impacted performance (e.g Portfolio Balancer account's positions going ‘unmanaged’ when changed, etc.). My “controlled environment" would make any statistician cringe, but...
I have 5 Accounts, all run on TP in cloud. Account Settings are same for each (unless noted). Attached are settings. This also includes dividends, accounts for commissions, slippage, etc.
Account #1: Cash
• Portfolio Wizard and Portfolio Balancer managed
• >90% RTM, all dynamic lists
• 150% leveraged
• 16.24% cumulative return
Account #2 Cash
• Portfolio Wizard and Portfolio Balancer conditioned
• >90% RTM. Mixed dynamic and static lists
• 150% leveraged
• 12.44% cumulative return
Account #3 Cash
• Mixed RTM and Right Edge strategies (for the most part Trending)
• Mixed dynamic and static lists
• 150% leveraged
• 5.26% cumulative return
• Note this was a bit of a 'playground' Account in Q1, and I believe the results tell a tale. Personal experience over the last 24 months or so, fiddling with the 'knobs' generally reduces performance versus letting OV manage.
Account #4 Cash
• All Omni Portfolios
• Mixed ARM and sector portfolios
• 150% leveraged
• About 12%. Just now locked up my COR account trying to retrieve results. Will update tomorrow.
Account #5 IRA
• RTM and Right Edge strategies
• 2.48% cumulative return
• IB account, using 1 day Settlement Wait.

Closing thought: Based on Q1 market dynamics and volatility, RTMs rock, Trending took hits; Wizard and Balanced portfolios knocked it out of the ballpark. Overall though, all accounts/mixes beat S&P and Dow Industrials' Q1 performance.

Attached file : Settings.jpg (66KB - 355 downloads)

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kmcintyre

Posts: 890

Joined: 10/11/2012
Location: Portland, OR

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Subject : RE: OV Tool suite: Q1 2015 performance experience
Posted : 4/2/2015 9:28 PM
Post #34988 - In reply to #34987
I ran 2 accounts using TP/IBG. ARM4Margin 195% leverage.

6.69% gain in Q1, but boy was it a rocky road.

I too have found OV/TP fairly stable. Only a couple issues. I feel comfortable going a week without checking the TP instances (unless I get a unmanaged or no position warning).

Waiting to see how the rest of year goes. Still hoping the DC publishes a robust and stable configuration that outperforms ARM4Margin. (By that I mean holds up over 10 year simulations using 30 different start dates.)

Keith

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BrianD

Posts: 302

Joined: 2/23/2013
Location: Grand Rapids, MI

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Subject : RE: OV Tool suite: Q1 2015 performance experience
Posted : 4/3/2015 5:58 PM
Post #34989 - In reply to #34988
As far as stability, have too many Available Cash rejects on my IRA account. Seems I should not have any with Settlement Wait = 1 on IB, but...Otherwise I agree - solid.

Gotten better at sitting on my hands over the 'rocky roads' and let OV manage. Will be real interesting to see how mixtures perform in a hard, elongated down market. Suspect that market will happen sooner than later...


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Steve2

Posts: 750

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

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Subject : RE: OV Tool suite: Q1 2015 performance experience
Posted : 4/4/2015 5:38 AM
Post #34990 - In reply to #34989
Hi Brian,

Are you running the beta TP? It has a new trade setting that allows you to delay submission of opening orders. I run my IRA margin account with Settlement Wait = 0 and buying power equal 95%. I have TP configured to submit closing orders before market open and opening orders 5 minutes after market open. This allows closing orders to complete execution before the opening orders get submitted. I've been running this configuration for two months without a single rejected opening order.

While I haven't been tracking slippage impact, I suspect it shouldn't matter over the long run (I.e., sometimes you'll do better than the opening price and sometimes worse). In any case, it will be much better than letting funds sit on the sidelines for a day.

Steve
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BrianD

Posts: 302

Joined: 2/23/2013
Location: Grand Rapids, MI

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Subject : RE: OV Tool suite: Q1 2015 performance experience
Posted : 4/4/2015 8:46 AM
Post #34992 - In reply to #34990
Yes, have beta version.
My biggest concern was a new, possibly more extreme form of slippage. With that in mind, I said to myself "wonder if Steve has looked at that :-)

So, thanks for your thoughts. I believe you are correct, why tie up the funds.
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Steve2

Posts: 750

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

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Subject : RE: OV Tool suite: Q1 2015 performance experience
Posted : 4/4/2015 10:11 AM
Post #34993 - In reply to #34992
I just checked the 78 opening trades I've made so far and they show a positive slippage of $0.00018 per share against the OV opening price. Not a very big sample but so far it's consistent with the average slippage I see with MOO orders. I will say that the variance on individual trades is higher since they're executed 5 minutes after market open.

Steve

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