OmniVest User Forums
User-Created Portfolios
Monster Returns
2 replies, 1229 viewings
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OmniVest User Forums
User-Created Portfolios
Monster Returns
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Last Activity 7/22/2015 8:11 AM 2 replies, 1229 viewings |
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Lain Regular  Posts: 77 Joined: 10/11/2012  User Profile |
There has obviously been a TONE of enhancements added since then and many new strategies. So I was kind of curious how big a portfolio I could build with the new strategies. To keep it simple I just used the prebuilt strategies and no trade filtering. So obviously not tradable once the account gets too big. And I didn't change any of the strategies allocations all the ones selected are 100%. I have 27 strategies selected and I hit..... over $28 billion in 14 years. What a ridiculous number!! of course you could never trade an account that big and it's all based on hindsight, but it's still pretty impressive to see those kind of numbers just by taking a lot of different strategies and trading them all together to be fully allocated. As with most of Nirvana's products and services they've made something every impressive! Lain [Edited by Lain on 4/8/2014 5:10 PM]  Attached file : OV.png (56KB - 664 downloads) | ||
| Ed Downs Elite   Posts: 645 Joined: 2/7/2007 Location: Austin, Texas User Profile |
Very cool! Of course, as you indicate, you can't trade this size. It also doesn't include the effect of taxes. But this kind of work is valuable because it demonstrates the INTERNAL capability of the Strategies you built. Notably, draw downs are a bit high, but this illustrates the fact that higher returns typically come with higher draw downs. I think it's a great test case. I think it would be interesting to understand the mix of Strategies. Are you using RTM, T1, or --? I wouldn't ask you to disclose precisely what the Portfolio is composed of, but perhaps you could disclose the basic mixture, and the kinds of lists you used. I think this demonstrates that the new features can lead to higher profitability. Thanks for sharing it! | ||
| Lain Regular Posts: 77 Joined: 10/11/2012 User Profile |
For this run I was focused on max profit, so that's why the draw downs are bigger. But with the MANY tools of OV. Those drawdowns could probably be reduced because I just started with a basic setup (these are all prebuilt Nirvana strategies, nothing from Strategy Lab), no trade filtering, no allocation adjustments for each strategy (all 100%), ect. Reducing DD is probably what I'll look into next. As for the mix. I selected the strategies the increased CAR in the overall portfolio. Anything that didn't increase CAR wasn't used. So looking at what ended up being selected. 27 strategies total 22 Long 4 Both 1 Short 26 R strategies (16 different R strategies) 1 T1 strategy 7 SP 5 NAS 5 ELS 5 ETF0 1 R1K1 2 R1K2 1 R1K5 1 IG13 So looking at what ended up being selected, majority is Reversion to Mean (but a mixture of 16 different versions), majority is long (which always seemed to work best with Reversion to Mean), majority are liquid stocks (SP, NAS & ELS). Lain |
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