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Dynamic Feature Request - View Earlier Timeframes
7 replies, 669 viewings
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OmniVest User Forums
OmniVest Pro Tools Beta
Dynamic Feature Request - View Earlier Timeframes
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Last Activity 10/7/2016 12:00 PM 7 replies, 669 viewings |
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John W Elite    Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia  User Profile |
It’s often useful to be able to see how a portfolio may have fared through an earlier timeframe, assuming of course that the strategies existed in that earlier timeframe. Although it’s possible to look backwards in time with a Custom portfolio, it’s not possible to do this with a dynamic portfolio. I built a dynamic portfolio over the period 1/31/2013 - 1/31/2014. Now look what happens when I go back to (say) 1/31/2012 – 1/31/2014. All strategies selected were in use at the earlier 1/31/2012 timeframe. As you can see, the portfolio provides no information about its performance in the timeframe preceding its Jan 31 2013 build date, although the strategies do exist at the earlier timeframe. [Edited by John W on 8/11/2014 7:15 AM]  Attached file : Dynamic02.png (41KB - 388 downloads) | ||
| Steve Mayo Legend Posts: 414 Joined: 10/11/2012 Location: Austin, TX User Profile |
As you know, it takes a lot of time and horsepower to run the ECA so it's not practical to automatically re-run everyone's dynamic portfolios backward on-the-fly over periods they didn't test originally. You can always just build a new dynamic portfolio with the same strategies and the same settings, except for an earlier start date. | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
Perhaps that's the simplest way forward programmatically, is for Nirvana to build the Portfolio at the earliest possible date for the 'lookback period' selected by the user. No date settings are necessary! This would save all of us crunching PW over different date settings - just do it once (because date settings would then be irrelevant) and then that's it until you decide to add another EF or you want to try different strategies or lookbacks! What do you think? [Edited by John W on 8/11/2014 4:39 PM] | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
An individual user is free to submit runs like that (and wait a long time for them to finish) but I think that should be the user's choice. Unless there are VERY significant performance improvements that can be made in PW, I think the way it works now is best. What Nirvana does need to do is (1) clearly document the difference in how static vs dynamic portfolios work in simulations and (2) have OV generate warning messages when there is a mismatch between simulation date ranges of the account and any dynamic portfolios configured into the account. Steve [Edited by Steve2 on 8/11/2014 5:15 PM] | ||
| Steve Mayo Legend Posts: 414 Joined: 10/11/2012 Location: Austin, TX User Profile |
Currently, Nirvana is working to add the ability to parse parameters (such as the slow/fast in an MACD) which will could result in a huge number (100's, maybe 1000's) of EF permutations. The thinking was that most users wouldn't want to endure a multiple-day processing time as a default for such a run. Instead, we thought it better to give users the OPTION of running longer time spans on an individual portfolio basis, i.e., just the few out of those 100's that you might actually want to trade (after running a shorter period to get a first look). | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Any idea if N will add additional resource management capabilities before allowing runs to compute a bunch of EF parameters. I would be worried about a small number of users essentially blocking everyone else for several days. Seems like it would be good for N to support multiple queues and route runs to the appropriate queue based on estimated run time. Steve | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Actually, I told Ed I saw where you can get a small Cray for $500,000... ;-) Mark | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Steve |
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