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OmniVest Success
Kudos for export feature
6 replies, 1039 viewings
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OmniVest User Forums
OmniVest Success
Kudos for export feature
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Last Activity 7/22/2015 1:06 PM 6 replies, 1039 viewings |
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kmcintyre Elite    Posts: 890 Joined: 10/11/2012 Location: Portland, OR  User Profile |
I was then able to add a few columns to the Equity Graph section to calculate - Equity High - high water level for equity New High - TRUE when Equity High changes New High Date - intermediate result Days Between High - actual days between new equity highs. (Should probably use business days...) From there it was easy to get the Max Bars between equity High (MBH) and the Average Bars between equity High (ABH) values. (Again, I'm calculating days, not bars. I know there is a function to compute business days somewhere in there...) For ARM4 Margin using my account settings I got MBH = 140 and ABH = 7.16. Then with a few clicks I created a pivot table and get the distribution of Days Between High. I could see that the distribution is extremely right skewed. I'm not as comfortable with Excel as I want to be. (I'm focused on learning though.) Once I clean things up and add a pivot chart I'll post it. (So Steve Mayo can take me to school on how I could have done my analysis better! lol Steve, seriously - you have "mad skills" with Excel. School away!) Anyway, this post is really to give Kudos to Nirvana for implementing this feature. I'm going to abuse it to death! Cheers Keith | ||
| Ed Downs Elite Posts: 645 Joined: 2/7/2007 Location: Austin, Texas User Profile |
Thank you sir, for your kind post! I knew you would make good use of this feature if we provided it. And you know, I've been using it myself to try some concepts as we work on Portfolio Balancer. Good luck in your research... | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Maybe add in a Standard Deviation too? You can use the Networkdays (Start date, End Date) function to get workdays between dates (I wouldn't worry about holidays for what you're doing at this point). Mark | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
I'm attaching an Excel 2010 .xlsm file. It won't work with early versions of Excel. So I'll attach a png of the two sheets as well. Mark, the tail is sooo long, I don't think STDEV.P would be very useful. But I'd love to hear your analysis (and others...) My takeaway is that I can expect some long periods (3 - 6 months) between new equity highs. I can further dice the data. For me, waiting a month for a new high starts to get uncomfortable, so I could sum the number of times that has happened. Just getting started. Having the data is very cool! Cheers Keith  Attached file : ARM4 Margin Equity Highs.xlsm (203KB - 281 downloads) Attached file : Data Sheet.png (96KB - 263 downloads) Attached file : Pivot Chart.png (78KB - 249 downloads) | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Suggestion...??? Take a look at incorporating the Excel trading days tab and formula for days between dates I posted here for your MBH count; http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=6090&posts=3#29927 Also, IMHO you shouldn't count "1" as a "day between highs" since that's just 2 good days in a row. I'd look for a min of 2 days to allow for a down day in between... Mark | ||
| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
I'm looking forward to being able to rotate portfolios in a structured manner. Question is, when? Great idea for determining metrics toward initiating adjustments. Thanks, | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
Thanks for the trading days calculation. After thinking about it for a while I came to the conclusion that what I really wanted to measure was how much patience I required to trade an account (portfolio, system). My patience is based on calendar time. It's easier to calculate and is a more familiar time measurement for me - being human. Psychology is fuzzy science anyway. What's a few days amongst friends! lol But for market indicators, your table/formula will be very useful! So after thinking a bit more about the data made available via the export, and watching Sports Center, I came up with another (perhaps) interesting stat. The equity curve's batting average - the number of new equity highs / number of trading days. For my ARM4 Margin export it was 0.1951 (or 19.51% if one prefers %). So about 1 in 5 trading days is going to give me the thrill of success... I used trading days because it was easy. The export give me one record (row) of data for each trading day. For a BA, times at bat is the accepted denominator. Close enough for government work... Perhaps another component of a tradability index. Keith Oh give me a home, where the MBH is one, and the annualized LRS is 30%. For seldom will be heard, a discouraging word. And the sky won't be cloudy all day! :-) |
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