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Dynamic Portfolios should be self-contained
4 replies, 590 viewings
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OmniVest User Forums
OmniVest Pro Tools Beta
Dynamic Portfolios should be self-contained
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Last Activity 10/7/2016 12:00 PM 4 replies, 590 viewings |
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kmcintyre Elite    Posts: 890 Joined: 10/11/2012 Location: Portland, OR  User Profile |
Realizing that automatic DP rebalancing isn't working (yet), I have been selecting the dedicated account (used to test and create (Save As..) the DP) on the dedicated accounts interval anniversary, drilling down to Portfolios, clicking the DP to go to PW, then running Analyze to generate the strategies for the next interval. I've even Save'd the DP over the exiting DP. Having developed my DP and manually rebalancing it, I wanted to trade it in a couple live accounts. So I selected the DP into two existing accounts. The problem is - 1) if I drill down through the Live trading account | Portfolios | But I have TWO Live trade accounts, with different settings and historical start dates, different starting equities, different settings, maybe even different broker commissions. I don't want PW to be recreating a unique run for each account the DP is selected into. What I want is for the DP to just serve up strategies to my Live accounts. I want the strategies to be determined based on the settings of the dedicated account I used when creating the DP. I want all settings used to generate (and maintain) the DP to reside with the DP. I want the DP to rebalance based on it's own anniversary, not the anniversary of the account the DP is selected into. But it's worse. When I look at the Trades for the two Live accounts that have the DP selected, the existing trades and historical trades show strategies that haven't been selected by either ECA runs! I.E. if I run ECA using the Live account, the Output page shows strategies in force that don't match the Live account's trade history. If I use the dedicated account (the one I first used to Save As... the DP) I get different strategies, but they don't match the Live account's trade history either. So I'm really at a loss. In order to make PW/ECA/DPs more understandable and predictable, I would suggest - 1) make DPs self-contained objects that maintain all their own anniversary (rebalance date) and trade settings. 2) disconnect simulation from strategy selection. The best performing combo of strategies last interval should be independent of anything that occurred prior to last interval. So start fresh each interval, based on the setting contained in the DP - not the Account. (Maybe that's the way it works now...) 3) when drilling down to PW via the Portfolios page, have PW always display Output based on the DPs settings (item 1). Never require the user to regen the DPs output because the Account in force is different from the one used when the DP was originally created. If a regen is required, use the DPs settings, not the active Account. The DP should maintain it's own persistent store of historic strategy combos. 4) trade the strategies selected by the DP. (Duh) Don't trade strategies not selected by the DP. (Duhhh) 5) Auto-rebalance DPs based on their anniversary (item 1). The trade date or simulation date range of the active Account should not effect the DPs rebalance date. 6) The active Account settings (including simulation date range) should be used when running simulations, but should not control DP strategy selection. I.E. the simulation logic should ask the DP "which strategies should I use on date X". The DP should figure that out, based on it's own settings (item 1), and return said strategies. The Account simulation should then use it's own settings to determine trade selection and sizing, commission costs, etc. for it's simulation run. At least that's the way I would design and implement it. (Object oriented. Low coupling.) Cheers Keith [Edited by kmcintyre on 9/6/2014 6:39 PM] | ||
| Geoff Veteran Posts: 180 Joined: 12/4/2012 Location: Byron Bay NSW Australia User Profile |
Originally written by kmcintyre on 9/7/2014 9:27 AM At least that's the way I would design and implement it. (Object oriented. Low coupling.) Thanks for documenting your observations/thoughts so thoroughly Keith. I agree with you, logically, keeping a degree of separation between the 'objects' - DPs, Ports and Accounts, seems to make sense. I agree with your point #1 that DPs should be self-contained with their own settings as, I think, all Ports should have their own settings attached. Fundamentally, the only connection that should exist between the 'Account' and its DPs is the list of active Strats that have been generated by the DP for the current period. | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
But, I've noticed that DP's I create in one account that are relatively 'hohum', blow the socks off all the other dp's when viewed in another account with different settings. I truly don't know, I'm attracted to your logic but I don't want to lose the 'wow' factor! I'm hoping the developers can allow us to 'view' our original settings, yet choose to 'use' current trading account settings with the dp's no matter in which account created. However I'm the first to admit I'm way out of my depth, so I'm hoping the smart people at Nirvana will read these and the other comments in this thread and figure it out! | ||
| Geoff Veteran Posts: 180 Joined: 12/4/2012 Location: Byron Bay NSW Australia User Profile |
Yes I too have noticed that different settings had in some cases, a marked effect on Port performance, and not just DPs. Initially I was creating DPs using different settings until I realised that the settings were not being saved. My preference is definitely to optimise account performance by controlling port performance from within its own settings. It would also mean that when looking at the Port Performance page you would be looking at the best performance of the individual ports using their own individual settings rather than a blanket account setting. | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I thought we'd addressed this before, but keeping the Settings 'attached' to the PW data is definitely being worked on & will be implemented as soon as other high priority items are accomplished. I know it's a problem at the moment. I looked and found this previous thread on 8/16; http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7331 Best of luck, Mark [Edited by Mark Holstius on 9/7/2014 12:05 PM]  Attached file : PW Accounts.jpg (838KB - 265 downloads) |
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