OmniVest Forum : Questions on Using OmniVest : Portfolio Builder Simulation Change

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OmniVest User Forums Questions on Using OmniVest Portfolio Builder Simulation Change		Last Activity 6/10/2024 12:04 PM 5 replies, 1188 viewings

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Jim A

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Location: International Falls, MN 56649

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Subject : Portfolio Builder Simulation Change
Posted : 2/13/2016 6:03 PM
Post #35675

I ran Portfolio Builder with a simulation period of 2/13/14 to 2/13/16. I then changed the sim period to 2/13/2008 to 2/13/2014. No other settings were changed. The change in the results were completely different. I expected the results to change but not this dramatic. Strategies selected went from 39 to 4.
Any ideas whats going on?

Attached file : DISPLAY 10 YR SIM 2 YR.png (145KB - 342 downloads)

Attached file : DISPLAY 10 YR SIM 08-14.png (141KB - 327 downloads)

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Steve Mayo

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Subject : RE: Portfolio Builder Simulation Change
Posted : 2/13/2016 10:12 PM
Post #35676 - In reply to #35675

Assuming you are using "Filter, Rank & Combine" mode, port builder runs an optimization where it does what's called "Iterative Strategy Selection" (ISS). That is an optimization process that is highly dependent on the starting point, so moving even a day forward/backward can make a difference...moving 6 years would certainly give you vastly different results.

[Edited by Steve Mayo on 2/13/2016 10:17 PM]

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Jim A

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Subject : RE: Portfolio Builder Simulation Change
Posted : 2/14/2016 8:08 AM
Post #35677 - In reply to #35676

Thanks for the reply Steve. I used Filter Only with the same settings as shown in the attached screen shot. I haven't experimented very much with Filter, Rank & Combine. Do you have a preference?

Attached file : Method Settings.png (172KB - 338 downloads)

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Steve Mayo

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Subject : RE: Portfolio Builder Simulation Change
Posted : 2/14/2016 5:59 PM
Post #35678 - In reply to #35677

Hi Jim,

I've been really busy with the "real" job lately and haven't done much experimenting at all, beyond the beta testing I did while it was in development.

Looks like you are over-filtering. Try backing down on the Calmar filter.

Steve

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BrianD

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Subject : RE: Portfolio Builder Simulation Change
Posted : 2/15/2016 6:34 PM
Post #35679 - In reply to #35678

Jim: May be hard to get CALMAR over 2.0 during time period from 2008. You might to work from a personal pain level at % MDD as a threshold instead?

I suspect your # of strats output dropped because of things like RTM based Strats like volatility, Trending perform better during constant state. From 2008, there has been extremes of both.

Nice thing about OV backtesting. - had quite a few distinct market states over last 10-15 years, so you can get an opportunity to review how different strat types perform in varying markets.

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Jim A

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Subject : RE: Portfolio Builder Simulation Change
Posted : 2/15/2016 8:37 PM
Post #35680 - In reply to #35679

Thanks Brian and Steve!
Good points, I appreciate your feedback.

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