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User-Created Portfolios
Simulating the updating of custom lists in V2
2 replies, 1493 viewings
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OmniVest User Forums
User-Created Portfolios
Simulating the updating of custom lists in V2
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Last Activity 7/22/2015 8:11 AM 2 replies, 1493 viewings |
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Steve Mayo Legend  Posts: 414 Joined: 10/11/2012 Location: Austin, TX  User Profile |
As these services change their recomendations, you can periodically update your list and OV will dutifully start using the new symbols while letting any delisted symbols that are currently in-trade continue to their normal conclusion. Sweet! But wait, doesn’t that invalidate my backtest. Absolutely! But, if you have a weekend to kill, you can get a reasonable approximation by stitching together snippets in a spreadsheet. With the strong encouragement and tremendous help of my friend Eric Severance, I set out to do just that. That three-letter daily paper updates the 50 stocks in its index every Friday night. Having only the ONE WHOLE weekend to kill, I decided to simulate monthly changes instead. So, first, I created separate monthly lists spanning 2013 using the paper’s index components as of the last Friday of the prior month (it’s a proper forward test!). The next step was to use the new Strategy Lab to mate the lists with strategies. Again in the interest of time and sanity, I decided to use only one strategy (and to not change that strategy over my simulation), but to give it a high allocation so it would get fully invested. Deciding on WHICH specific strategy was difficult. Attached are Strategy Lab reports for January through March. Before we get too excited over the astronomical CAR’s, let’s keep in mind that this an annualized extrapolation of very few actual trades As an example, for January 2013, OV had 10 closed trades and 17 more left in-trade with 200% invested at month-end for a one-month return of 7.89%. Somehow OV annualizes that to 145%, presumably by using daily returns and per-trade durations...but I digress. Notice that while the trending strategies rocketed in January, the RTM strategies were sucking exhaust fumes. That situation was completely reversed in February, and in March the Turtles were surfing the Waves while the RTMs and Trenders went on a beer run. Given that conundrum, I went with T1 as it was the only one to take the top spot twice (Jan & Jun). Maybe when I have 135 more rainy weekends to kill, I’ll get around to testing the other strategies – just don’t hold your breath that I’ll test all 4.15 billion possible combinations of 5 strategies x 12 months! After building the one-strategy monthly portfolios, I collected the forward-month’s mark-to-market data on each one and stitched it all together in a spreadsheet, using the necessary assumption that I would completely sell at the end of each month to start fresh with the forward month. I know the thought of closing out open trades sounds like a gnarly wipeout fer shure. But, Cowabunga Dude! You have to go where the wave wants to go. Mutual funds don’t let you pick which stocks to keep either; you can only surf or sit in the van, man. Surfer humor aside, the result shows an erratic equity curve that does not substantially beat Nirvana’s ARM4-Margin portfolio. Would it improve if you did not closeout the open trades each month? Very likely given the lag each month to get back to fully invested, but that will take more than a weekend to simulate. What IS easier to simulate is trading the lists for the entire year as shown in the next graph. Be aware that all lists EXCEPT for Jan-2013 have the benefit of foresight. (Don’t we all wish we could have known 14 months ago what stocks IBD would be putting in their index this month so we could get that 500% return!) Although the Jan-2013 list (heavy red line) was more volatile, it significantly beat ARM-4 (heavy blue line), showing the value, if nothing else, of having a good list. So, I think there is good potential here, using this or any other good frequently updating lists. But, spring has come in Texas and the beach beckons. So, unless one of you poor snowboarder dudes wants to step up now, we may have to wait for Nirvana to automate historic lists (or wait a year or two for some brave sole to try it with live trading) before we will know for sure. [Edited by Steve Mayo on 3/29/2014 11:13 PM]  Attached file : IBD1.png (76KB - 584 downloads) Attached file : ibd2.png (78KB - 543 downloads) Attached file : ibd3.png (80KB - 550 downloads) Attached file : IBDSim4.png (63KB - 527 downloads) Attached file : IBDSim5.png (205KB - 556 downloads) | ||
| SteveJ Veteran Posts: 105 Joined: 10/11/2012 Location: UK User Profile |
With point in time fundamentals available it isn't difficult to generate lists similar to those of the 3 initial paper or any other Guru. Just look for example Here or (the service I use) Here. That is what I was referring to in my ramblings Here Your wet weekend at the screen makes the point, doesn't it? Steve [Edited by SteveJ on 3/30/2014 5:52 AM] | ||
| kmcintyre Elite   Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
So about a decade ago, I watched the IBD lists closely and tried to trade based on their lead. I bought the books and did the courses too. It seemed that by the time the stock hit the IBD list, it was well known to all and often close to a big sell off. I had about as much success shorting stocks as going long. After a year or so I decided IBD wasn't the holy grail for me. YMMV. I'm excited about back-testable OmniScan lists. I think they will lead to much greater returns for all strategies since lists can be tailored for the strategy (or vice versa). It makes logical sense to me. Wrt your comments about trending and RTM each having their moments of glory, I think this market phenomena explains portfolio switching. I can't wait for back-testable portfolio switching too. And not to be feature greedy, I really hope we see some tools for generating portfolios tailored to specific market conditions. So one does their best to match lists and strategies, then strategies into portfolios, then portfolio switching based on recent market conditions... Love the surf humor, dude. Tubular... Cheers Keith |
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