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Portfolio Balancer Results
9 replies, 931 viewings
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OmniVest User Forums
OmniVest Pro Tools Beta
Portfolio Balancer Results
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Last Activity 10/7/2016 12:00 PM 9 replies, 931 viewings |
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Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
Ed just posted the ‘Alpha’ version of the Portfolio Balancer & I’d like to go ahead and share a few observations & results of runs since I’ll be out of town the next few days. First – please read the Release Notes! As Ed said, there are a number of limitations on this version that will be resolved as soon as possible, but I’ve been working with it for a while and can attest to its capabilities. Note that at this point its just a ‘switching’ mechanism and doesn't have any Allocation % capabilities. In time, that should come – but even as a ‘switcher’ it’s pretty impressive. Like the Portfolio Wizard, the better the Portfolios that you ‘feed’ to it, the better your results will be. I’ll start by showing results with the same ‘baseline’ Portfolio Steve & I have used so often, Ed’s excellent ARM4 Margin – concentrating on 3 statistics: MDD 27.5% / CALMAR 2.2 / Avg % Invested 118% / Ending Equity $3.9M. In both of the following Portfolio Balancer runs, I’ve given it 3 of my Custom Portfolios and had Portfolio Balancer choose 1 each month walking forward from 1/1/07 to the present using the Evaluation Function of LNREG_SLOPE(5). The first example is a run that gave an ending equity similar to the ARM4 $3.9M. Portfolio Balancer Results: MDD 13.3% / CALMAR 4.6 / Avg % Invested 61% / Ending Equity $3.9M. The second example is a run with 3 different Custom Portfolios that gave a % Invested similar to the ARM4 118%. Portfolio Balancer Results: MDD 17.3% / CALMAR 6.1 / Avg % Invested 113% / Ending Equity $26M. (Also nice to see the increase from $15.8M to $26M in 2014: +63%) I’ve included the statistics of the 3 Custom Portfolios I used at the bottom to show that the Ending Equity using the PB is better than each of the 3 Portfolios fed to it. While these Portfolios and results might not be what you’ll get ‘right off the bat’ (Steve & I have been refining things for a long time) please don’t get discouraged. These are possible with what’s currently available. Steve & I don’t have anything ‘better’ than the released versions… Used in concert, I feel all these new tools will definitely improve the results for everyone. I’ll be out of town for a few days, but look forward to sharing some more info and specifics when I get back... Best of luck, Mark [Edited by Mark Holstius on 9/9/2014 11:04 AM]  Attached file : ARM4 Results.jpg (326KB - 675 downloads) Attached file : Equity Results.jpg (217KB - 676 downloads) Attached file : Percent Results.jpg (346KB - 660 downloads) | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
Thanks for posting this. Sounds fantastic. Were these custom portfolios dynamic? I really hope Elite Trader comes alone soon. (Before I lose all my nerve and capital.) Any idea what you and Steve will charge? Keith | ||
| Bruce Britt Regular Posts: 81 Joined: 10/11/2012 Location: Louisiana User Profile |
Keith's question makes me wonder if it is intended, or even possible to run a dynamic portfolio of "strategies" (created with Portfolio Wizard) within a dynamic portfolio of "portfolios" (created with Portfolio Balancer)? Seems like a lot of moving parts and a little difficult to imagine - for me anyway :)... Bruce | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
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| Juan Regular Posts: 74 Joined: 10/11/2012 Location: Round Rock, Tx User Profile |
I tried very hard to bring the Average Annual DD to as low as I could get it with significant returns. The best I could get was 18.5%. Your results are showing 13.7%, 13.4%, and 16% for Average Annual DD. This is very impressive and a great benefit to using PB. Thanks for putting this together for us. Juan | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
9/25/2007 - 7/25/2014 10/1/2007 - 8/1/2014 10/5/2007 - 8/5/2014 And I added a run with all the non-DC Omnivest portfolios... I'm posting the pngs. Make your own evaluation. Keith [Edited by kmcintyre on 9/10/2014 1:27 AM] Attached file : PB DC Trade Pools 070925-140725.png (114KB - 232 downloads) Attached file : PB DC Trade Pools 071001-140801.png (114KB - 223 downloads) Attached file : PB DC Trade {pp;s 071005-140805.png (114KB - 250 downloads) Attached file : PB Non DC Ports 071001-140801.png (106KB - 219 downloads) | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
I've attached the individual DP specs. (Sorry, I couldn't sort by Enabled so the DPs aren't consecutive in the table...) And I've attached the results for 5 different EFs. None of this is very scientific. Just throwing stuff at PB to see what it does. Keith Attached file : PB My ECA stats.png (136KB - 224 downloads) Attached file : PB My ECA Ports 071001-140801.png (114KB - 225 downloads) | ||
| gbarber Veteran Posts: 282 Joined: 12/30/2012 Location: Pearland, TX User Profile |
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| Geoff Veteran Posts: 180 Joined: 12/4/2012 Location: Byron Bay NSW Australia User Profile |
IMHO this phenomenon is to be expected because from my analysis of portfolio moving performance data, the day-to-day performance (CAR) can be very volatile meaning that if you start a simulation on a date when the port is trending down, the result will be very different to the result you get if you start the sim when the port is trending up. The compounding effect (CAR) can then produce a large difference in sim results. The other factor (IMHO) that can possibly skew results are 'freak' trades which are low probability (maybe 1:300 trades) but with very high %P/L, usually between 6 to 13 STD Deviations above the MEAN, meaning they are way above the average or expected individual trade performance results for that Port. Now, my point is that if one of these 'freak' trades happens to occur on or near your sim start date then the final CAR for this sim analysis run will be heavily skewed, compared to an identical simulation that has a start date that misses this trade. (I have an Excel spreadsheet that you can dump the PW 'Historical Data' into which will analyse the data for volatility and 'freak' trades, if anyone is interested let me know.)(Also, I have seen PW results effected by as much as ~10% by these trades) Lastly, it was Jim Dean who alluded to this phenomenon when he said in another thread (I hope that I get this right Jim) that possibly the only way to get a 'more' reliable sim result is to run multiple PW sims with similar settings (maybe moving the dates around) and then average the results to evaluate its true performance and avoid 'saving' a DP that has a performance result that may not be valid. [Edited by Geoff on 9/10/2014 7:39 PM] | ||
| gbarber Veteran Posts: 282 Joined: 12/30/2012 Location: Pearland, TX User Profile |
The last paragraph you wrote reminded me of a previous post by you. It got almost no notice but I believe deserves considerable attention. I insert the link below for those who have not read it. http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7354 What you propose in that thread seems to me to at least the beginning of a great method for determining the predictive reliability of a portfolio. One could define a boatload of statistics on the results from runs walking across a broad time period. The stats would include things like variance, standard deviation and the like. It seems to me that the lower those values are, the more predictive the portfolio is. That is the CAR and MDD should hold at a pretty flat value. If they do one can believe that the portfolio is predictive. The stats would be a measure of the confidence one can have of the predictability. For those who have not read Geoff's post, especially Nirvana folks, please do. It seems to me to be a great idea. |
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