OmniTrader Forum OmniTrader Forum
forums calendars search
today this week
 
register logon control panel Forum Rules
You are currently browsing as a guest.
You should logon to access more features
A Self-Moderated Community - ALL MEMBERS, PLEASE READ!
Vote for Members who contribute the most to your trading, and help us moderate content within the Forums.


  Current location        Thread information  
OmniTrader 2017 Upgrade Forums
Portfolio Simulation Mode
OT Buy&Hold Strategy: backtestPortfolio Simulation
Last Activity 9/2/2018 1:56 PM
16 replies, 2110 viewings

Jump to page : 1
Now viewing page 1 [25 messages per page]
 
back reply
Printer friendly version

^ Top
wolf

Veteran
10025
Posts: 146

Joined: 4/16/2011
Location: Germany

User Profile
 
Subject : OT Buy&Hold Strategy: backtestPortfolio Simulation
Posted : 12/7/2013 6:15 AM
Post #29341

Hello
probably this question might be ridiculous but who can define and provide a OT buy & hold strategy

The objective is to run a medium/longterm backtest and Portfolio simulation for a buy and hold strategy

reagrds
wolfgang
^ Top
Jim Dean

Idol
20005001001001002525
Posts: 2854

Joined: 9/21/2006
Location: L'ville, GA

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 12/7/2013 6:18 AM
Post #29342 - In reply to #29341

Simple answer to your very broad question which will get you started in the right direction - search for posts and strategies that focus on trend trading. And plan on doing a lot of research re fundamentals moreso than technicals.

Probably you are looking for something more specific but I couldn't figure out from your post what that might be.

[Edited by Jim Dean on 12/7/2013 6:20 AM]

^ Top
wolf

Veteran
10025
Posts: 146

Joined: 4/16/2011
Location: Germany

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 12/19/2013 9:29 AM
Post #30392 - In reply to #29342

1st Jim thank for your reply
2) Who is able to modify the Moving average crossover strategy in such away that there will be signals in the vote line as described in attached
Illustration.
The objectiv/idea is to generate voteline signals with bar only if
SMA 200 > SMA 800 Green Vote line Signal with bar starts and keeps until
SMA 200 < SMA 800 Red Vote line Signal with red bar starts and keeps until SMA 200 > SMA 800
Thanky you
Wolfgang


Attached file : 2013-12-19 Buy & Hold Strategy.pdf (43KB - 279 downloads)
Attached file : EMA_Crossover.ots (604KB - 209 downloads)

^ Top
Jim Dean

Idol
20005001001001002525
Posts: 2854

Joined: 9/21/2006
Location: L'ville, GA

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 12/19/2013 9:35 AM
Post #30393 - In reply to #30392

You can't modify canned Systems but you can create custom ones with OLang.

I don't quite follow your description - it may be that you can do some if it or all of it with filters.

If you could expand the explanation it might help. I suggest you describe the entire logic including how you want the green and red arrows to be determined, without referencing any canned logic. There may well be a way to do it without using the canned systems and also without using OLang if you don't own pro.
^ Top
wolf

Veteran
10025
Posts: 146

Joined: 4/16/2011
Location: Germany

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 2/9/2014 1:43 AM
Post #30858 - In reply to #30393

Hello,
watching the Strategy Wizard 3 Seminar I have seen in Jeff Drake Presentation a Profile called " Buy and Hold".

Question to Nirvana:
Might it be possible to get this Profile "-->including the buy & hold strategy" wihich Jeff Drake has used for it in the Stategy Wizard 3 presentation. Please see also attachment
regards

Wolfgang

[Edited by wolf on 2/9/2014 1:49 AM]

Attached file : Buy an Hold Profile.PNG (614KB - 246 downloads)

^ Top
megabucks

Veteran
100100252525
Posts: 292

Joined: 9/30/2010
Location: uk

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 2/9/2014 3:29 AM
Post #30859 - In reply to #29341

I too was watching that wolfgang and thought the same.
Be great if nirvana would
^ Top
wolf

Veteran
10025
Posts: 146

Joined: 4/16/2011
Location: Germany

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 2/16/2014 1:09 AM
Post #30951 - In reply to #30859

Hello Nirvana,

might it be possible that Nirvana provides the strategy Buy & Hold of Jeff Drakes Presentation to OT users.

brgds
Wolfgang

-->Hello Megabucks
Thank you for your reply.
Probably there are more OT Forum members which will have the same demand for a buy & hold stragegy

wolfgang


[Edited by wolf on 2/16/2014 1:10 AM]

^ Top
Jim Dean

Idol
20005001001001002525
Posts: 2854

Joined: 9/21/2006
Location: L'ville, GA

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 2/16/2014 3:12 AM
Post #30952 - In reply to #30951

If the logic is simply "buy the stock on a certain date and sell it at the HRE", the Entry can be done with the All Longs System, and a Filter Block rule that says:

BarYear() = 1234 and BarMonth() = 56 and BarDayOfMonth() >= 78
… fill in the date you want - avoid picking dates within 2-3 days of the end of the month due to weekend and holiday issues.

To Exit at HRE, set up a Trade Plan Market order exit using the "OmniScript" checkbox (very bottom of the list), then type the formula:
Bar = Numrec-1

You will of course have to make sure that adequate bars are loaded.


[Edited by Jim Dean on 2/16/2014 3:16 AM]

^ Top
wolf

Veteran
10025
Posts: 146

Joined: 4/16/2011
Location: Germany

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 2/16/2014 12:57 PM
Post #30957 - In reply to #29341

Hello,
first thank you to Jim providing a solution.

Probably I do not have the Level of intelligence for OT. I tried to do it in attached BUY&HOLD sytem . However it is not working as I probably made a mistake

Assumptions made Buy&Hold :
Starting: Year 2004
Month: 1 (for January)
Day: 1 (for first day of January)

Who is capable either to correct attached BUY & HOLD System or provide a working BUY & HOLD strategy based on the System descripton provided by JIM

Thank you

Wolfgang

I just removed the attached file (to avoid a confusion ) as JIM provided the solution in following posting


[Edited by wolf on 2/16/2014 2:08 PM]

^ Top
Jim Dean

Idol
20005001001001002525
Posts: 2854

Joined: 9/21/2006
Location: L'ville, GA

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 2/16/2014 1:27 PM
Post #30959 - In reply to #30957

Hi, Wolf - REVISED post ... added support for Strategy Wizard ...

Thanks for giving it a try. I cleaned up and corrected your strat - working one is attached. Caveat: I don't know if this strat is the same as what Nirvana was using in their presentation.

I modified my Filter formula slightly, changing "=" to ">=" for Year and Month, SO THAT if too few bars are loaded, it starts with the first bar, even if the specified Y/M/D is not in the loaded range.

ALSO, I set up the Filter using VARIABLES Yr Mo Dy instead of hardcoded numbers ... this allows you to run Strategy Wizard on this strat, and have it "search for" the ideal BUY date for a given list of symbols. Not very useful, but it does illustrate how to create variables in a Filter Block.

The strat BUYS on the date specified, and SELLS at the current hard right edge.

Here is a snapshot of the relevant settings:




[Edited by Jim Dean on 2/16/2014 1:29 PM]

Attached file : BuyAndHold.ots (964KB - 188 downloads)
Attached file : Buy and Hold Strat.png (90KB - 622 downloads)

^ Top
wolf

Veteran
10025
Posts: 146

Joined: 4/16/2011
Location: Germany

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 2/16/2014 2:13 PM
Post #30960 - In reply to #29341

Hello JIM
THANK YOU for your assistance.
wolfgang
^ Top
John W

Regular
2525
Posts: 53

Joined: 8/1/2011
Location: Sydney, NSW, Australia

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 2/16/2014 9:51 PM
Post #30964 - In reply to #30959

Jim, YOU GIVE a HUGE INPUT to the Nirvana forums - I'd be hard pressed to find such dedication in any other forum of any type, anywhere.

THANK YOU AND WELL DONE!

John
^ Top
wolf

Veteran
10025
Posts: 146

Joined: 4/16/2011
Location: Germany

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 2/23/2014 1:06 AM
Post #30998 - In reply to #30964

Hello
I have some Problems to find the correct Settings for a Buy&Hold Portfolio Simulation based on Jim Dean Buy&Hold Strategy to compare /evaluate the results with any other strategy

Assumptions made scenario 1
Stock eg. KO Coca Cola
Buy: 01.01.2004
Hold:21.02.2014


Assumptions made secenario 2
Index eg. S&P500
Buy: 01.01.2004
Hold:21.02.2014

What are the correct settings I have to do to get all the usually provided Portfolio Simulation Data (Information) in cluding Chart.

Thank you in advance

Wolfgang

[Edited by wolf on 2/23/2014 1:40 AM]

^ Top
Jim Dean

Idol
20005001001001002525
Posts: 2854

Joined: 9/21/2006
Location: L'ville, GA

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 2/23/2014 7:32 AM
Post #30999 - In reply to #30998

Hi Wolf

Wow that sounds like a very broad question.

First, re dates - buy and hold uses one date, not two. My guess is that you are asking about buying on one date and selling on the second date - but since the dates are only a month or two apart, that doesn't sound like buy&hold at all. Clarification is needed please.

Your mention of "usually provided" charts and portfolio sim settings is sort of impossible since I doubt there are more than 30% of the possible chart and PS settings that ARE held constant, amongst the thousands of presentations made by N in marketing and training venues.

If you're trying to duplicate the chart or results table from a particular brochure, good luck. N does not habitually document all the settings (to be fair, it would be a real pain to do so since the list would be very long). Upon rare occasions, they might provide a preset package of profile and templates and strats etc etc so you can see where the brochure info came from - but usually they don't.
^ Top
wolf

Veteran
10025
Posts: 146

Joined: 4/16/2011
Location: Germany

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 2/23/2014 8:48 AM
Post #31000 - In reply to #29341

Hello Jim

Thank you for your comments.
The period between buy & hold was more than 10 years Holding the stock.
Buy: 01.01.2004
Hold:21.02.2014

I see that it is not to easy to implement Buy&Hold strategy for Portfolio Simulation and Performance Report.

I think for a future OT (OT 2015 ?) release this would be a nice OT plugin as it would Show a medium & longterm investor if it realy makes sense to run any other strategy (-->just as a Benchmark strategy)

regards
wolfgang





[Edited by wolf on 2/23/2014 8:53 AM]

^ Top
Jim Dean

Idol
20005001001001002525
Posts: 2854

Joined: 9/21/2006
Location: L'ville, GA

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 2/23/2014 11:39 AM
Post #31001 - In reply to #31000

My apologies ... I misread the "Buy" date as 2014 at first - blurry eyes in the morning I guess.

The method I described earlier provides the entry on whatever date you want ... just fill in the day month and year per the instructions.

If you want to model a particular EXIT date also (ie "sell" on the date that you said "hold"), then:

1. create a Trade Plan with a Market order entry
2. step two has a single condition for exit:
a. check the OmniScript box at the bottom of the condition list
b. fill in the following as the condition:
BarYear() >= YYYY and BarMonth() >= MM and BarDayOfMonth() >= DD

That will give you the trades that you described.

As to PortSim, it is very easy to get it to model the trade ... just choose what method you want to use to SIZE the trade (there are many options).

Voila!

P.S. I can't imagine why there would be a need for a plugin to do this ... it's a very simple thing to model. The general nature of your question confused me originally.


[Edited by Jim Dean on 2/23/2014 11:41 AM]

^ Top
wolf

Veteran
10025
Posts: 146

Joined: 4/16/2011
Location: Germany

User Profile
 
Subject : RE: OT Buy&Hold Strategy: backtestPortfolio Simula
Posted : 2/23/2014 12:54 PM
Post #31003 - In reply to #29341

Hallo Jim
Thank you for your assistance

wolfgang
Jump to page : 1
Now viewing page 1 [25 messages per page]
back reply

Legend    Action      Notification  
Administrator
Forum Moderator
Registered User
Unregistered User
E-Mail this thread to a friend
Toggle e-mail notification


Nirvana Systems
For any problems or issues please contact our Webmaster at webmaster@nirvsys.com.