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OmniVest Developments
OmniVest News
OmniVest News for 11-10-14
Last Activity 2/20/2018 9:38 AM
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Ed Downs

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Subject : OmniVest News for 11-10-14
Posted : 11/10/2014 10:01 AM
Post #34456

Greetings...

We have been working to complete several projects in OmniVest and the Pro Tools, and today are releasing a number of exciting new features.

Strategy Lab

Dynamic Entries and Exits are now out of Beta. This feature allows users to enter/exit trades in Strategies based on conditions run on individual market symbols (such as SPY) or the Strategy's equity curve.

OmniVest Pro Tools:

Dynamic Historical Lists

We have created and tested a new facility for creating dynamic lists that allows users to enter HISTORICAL lists and run test on them. Lists such as the Dow 30 change periodically. We just added a list called Dow 30h, which is a Historical list (thank you, Steve Mayo for providing this!) Everyone in OmniVest can use Dow 30h. Pro Tools users can create their own historical lists. The list is created by listing dates ahead of symbols. The dates can be in ascending or descending order (see the Dow 30h list for an example).

Portfolio Wizard

A new "Dump ECA Values" check box is on the Portfolio Wizard and Balancer pages. If you check this, you can click a button at the bottom of the Output page to see the values of the Evaluation Functions for all Strategies (Wizard) or Portfolios (Balancer) that were run. This can be used in conjunction with the Export Equity Curve feature on Portfolios and Strategies to verify that the Evaluation Functions are performing as expected on the individual Equity Curves.

Portfolio Balancer

Portfolio Balancer is now out of Alpha and is officially at Beta Release 1. In our testing, all functions of the Balancer are working, including saving to create an account and also right-edge trading. Please let us know if you experience any anomalies in the Beta.

I am currently enhancing the documentation to provide a User's Guide on the entire Pro Tools Suite, including Dynamic & Historical Lists, Portfolio Wizard and Portfolio Balancer.

Improving System Speed

We have added servers and made several optimizations (including increasing memory) to help speed analysis on our servers. Right now, a project is underway to consolidate the 3 parts required for analysis - Web Server, Historical Data, and VB Analysis. Once this integration work is done, we expect to see a DRAMATIC improvement in speed. I will keep you informed on progress on this project.

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gbarber

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Subject : RE: OmniVest News for 11-10-14
Posted : 11/11/2014 1:21 PM
Post #34460 - In reply to #34456

This is great. Thank you.
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Jim Dean

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Subject : RE: OmniVest News for 11-10-14
Posted : 11/11/2014 3:17 PM
Post #34465 - In reply to #34460

Hi Ed:

Thank you for implementing the Historic lists! These, along with Dynamic lists, provide a much needed new dimension, and solve some age old probs with backtesting. Thank you!

You may recall that I've asked for regular Dyn Lists to be given an option to be processed just once each week, thereby allowing the limit to be lifted. But that suggestion didn't seem to fly.

Here's a way of achieving the same goals with very little effort (programming or CPU), by leveraging the Historical lists feature.

It would be great if you could provide a simple utility that does a *onetime* export from a formula-driven Dynamic List that automatically builds a weekly Historical List from that, and exports it for the user in the appropriate TXT format.

From that point forward, the user could add symbols each new week on their own, using OT's OmniScan with their Dyn List formula, to update it with the symbols for that week.

That way we could have *lots* of "efficient" historical lists that do the essential work of a dynamic list ... and we could SHARE those lists with other users (via ET?) without creating extra CPU overhead.

Further benefit:
Folks have been asking for an output of the Dynamic List's results ... but that could be a monstrous file if every symbol for every day since 2000. This would provide a "reasonable cross-section" (one per week) answer for that request as well.

How does this idea strike you?
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