OmniVest User Forums
General Discussion Topics
Open Ended Question
8 replies, 793 viewings
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OmniVest User Forums
General Discussion Topics
Open Ended Question
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Last Activity 4/15/2019 7:43 PM 8 replies, 793 viewings |
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Fred Gordon Legend   Posts: 481 Joined: 10/11/2012 Location: Fayetteville, Ga  User Profile |
If Port Wiz generates a strat list for the function "-1*MACD(12,26)" then, instead of saving the output as a portfolio, I switch to the "Strategies for Account:" page and check those same strats, assign allocations and save that list, will that list of strategies still use the "-1*MACD(12,26)" function or will the influence of that function be lost? Thanks, Fred G [Edited by Fred Gordon on 1/8/2015 9:33 AM] | ||
| Steve Mayo Legend Posts: 414 Joined: 10/11/2012 Location: Austin, TX User Profile |
No, PW/PB use the EF (evaluation function) to SELECT a dynamically-updated subset of items (ports or strats) from the set that you give it. They do not change the trade-generation characteristics. The only way to do that currently is with Strategy Lab (or setting changes), where you can stop/start the generation of trades by a strategy based on a function. Steve | ||
| Steve2 Elite  Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Are you sure that's the way it works? I thought you have to actually save the results of a PW run as a portfolio and then ensure the portfolio is enabled in the account. If you could do this by just enabling strategies in the account then what happens in the case where you do a PW run with multiple EF's enabled and then directly enable strategies in the account. How would OV know which EF to use? Steve | ||
| Steve Mayo Legend Posts: 414 Joined: 10/11/2012 Location: Austin, TX User Profile |
I thought Fred was asking if the PW run somehow affected that set of strategies such those strategies, when accessed from the normal strategies listing page, would now individually incorporate the EF. PW doesn't do anything to the strategies themselves, it simply dynamically calculates (monthly and soon weekly) the subset of strategies used each month in the saved dynamic portfolio. Fred, I'm happy to try to answer you question again if you can clarify it a bit. How are you getting to the "Strategies for Account" page. I think the only way to get there is from the Account page, by clicking the Edit Strategies button. So, I think the answer you seek is yes, once you navigation away from PW without saving one of the outputs and are now back on the account page (rather than the portfolios page after having just saved the PW output), you will have "lost that influence" from the EF. But, please ask again if I'm still misunderstanding. [Edited by Steve Mayo on 1/8/2015 10:15 PM] | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Fred: Let's say you do a PW run that rebalances monthly using a pool of 25 strategies and EF of "-1*MACD(12,26)" with the goal of a portfolio containing 3 strategies. The following happens each month; 1) The PW finds the strategy with the highest value for "-1*MACD(12,26)", call it strategy A, and saves that first portfolio containing 1 strategy (A) 2) It then builds portfolios containing 2 strategies by combining strategy A with each other strategy in your pool to find the combination that gives the highest value for "-1*MACD(12,26)". (We'll say the portfolio now contains strategies A & B) 3) It then builds portfolios containing 3 strategies by combining the portfolio containing strategies A & B with each other strategy in your pool to find the combination that gives the highest value for "-1*MACD(12,26)". (Now we'll say the portfolio contains strategies A, B, and C) That becomes the Portfolio, and it changes each month (dynamic). If you save that PW result as "Fred Dynamic Portfolio" and it contains Strategies A, B, and C for January 2015 it will trade during January exactly the same as another Portfolio you built separately containing strategies A, B, and C and named "Fred Fixed Portfolio". (Assuming the account settings are identical). The difference will come in February: At the end of January, the PW portfolio ("Fred Dynamic Portfolio") will automatically find the combination of 3 Strategies from your pool of 25 that gives the highest value for "-1*MACD(12,26)" and trade those 3 strategies in February (could be strategies G, M, and R). Your "Fred Fixed Portfolio" will continue trading strategies A, B, and C Does that help, or have I muddied it up even more? Mark | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
You can verify what Mark is saying by looking at the ECA Dump data for a given PW run. It will show you the build up of strategies and the EF values for every combination that was considered. What I noticed when looking at this is that the number of strategies that produce the highest EF value for a given period is not necessarily the number of strategies that you specified in the PW Analyzer Settings page. For example if you had set Strategies to 10, it might be the case that for a given period a combination of 7 strategies produced the highest EF value and by adding in 3 more strategies, PW produced a lower EF value. This suggests a way to optimize the selection of the value for number of Strategies by performing a PW run that selects n-1 of n strategies (where n is the number of strategies that are enabled for the run). Then examine the ECA Dump output and identify, for each period, the number of strategies in the combination that produced the highest EF value. You then average the numbers across all periods and if the standard deviation is not too high pick this average number as the PW Analyzer Settings for number of Strategies. This saves you from having to do a number of PW runs across different numbers of strategies. To do this though, you need to dump the ECA Dump data into excel. Steve [Edited by Steve2 on 1/9/2015 12:51 PM] | ||
| Fred Gordon Legend Posts: 481 Joined: 10/11/2012 Location: Fayetteville, Ga User Profile |
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| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
But I'm guessing it was a good review for a lot of folks. Mark | ||
| Bruce Britt Regular Posts: 81 Joined: 10/11/2012 Location: Louisiana User Profile |
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