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I love it! Thanks. It’s great!
Down the road:
- Would it be possible to add 1 year and/or quarterly rolling correlation charts in the correlation section.
- Would also love some ‘risk management’ rules. Like volatility targeting or dynamic strategy weight adjustment based on trailing period performance. Return. Vol. DD.
- Cash management option either a) if model doesn’t buy position cash sits in cash or b) distribute unused cash across other models.
- Sector, industry and max. position weight constraints at the book level.
Thanks for building it!
Marco,
First off, I already upgraded to pro membership. This is too cool.
Okay. Some issues. When we create a live book:
a) We need to be able to group individual existing sim’s. Otherwise we need to sell all holdings and start over
b) We still need to be able to see and edit the underlying sim’s and/or adjust any rules on underlying sim’s in the future. Otherwise, we will need to sell everything every time we launch a new book or ammend an underlying sim.
c) If I run a book sim, then create a live book port…then want to rerun a sim from the port, I have to reimport the underlying sims. Shouldn’t have to. Too much work. I don’t save all my sim’s. Too many.
d) Need margin here as well with constraints. I run many systems that rarely are invested. I need to see overlap and peak potential exposure and be able to cap it.
This will be awesome! Just need to work some things out so I can actually start using it.
Best,
Tom
Just adding my first two ‘tests’ on the ‘book feature’ - combining some of my active / live sim’s.
Very exciting.
Initial Test_9_1_13.pdf (146 KB)
10SYSTEMS.pdf (81.9 KB)
10SYSTEMS_2.0.pdf (82.2 KB)
Is it possible at this juncture to add a Live Book to a pre-existing port? It doesn’t appear possible right now
And here’s my first test on aggregating 6 of my short systems that have backtest histories of more than 10 years. Some short the SP500 index. Some short individual large cap stocks.
None has a really smooth equity curve standalone, but they are designed to look at different factors. Look at what I get with a negative 0.67 correlation! Very exciting.
I would like to be able to offer this as an R2G. It has near unlimited capacity.
A second issue is that I have many systems that frequently have cash and need to allocate that somewhere based on rules.
SHORTSYSTEMSTEST_1.0_9_1.pdf (79 KB)
1 Like
Rmhi,
I think you can start a live book from an existing port but the book starts when you make it. This is really a twist on my post, I think.
It would be nice if one could make a book of sims or even a book of ports (as you are requesting) that accurately reflected the past information in our live ports.
Do love the book of sim for sims! Geat addition Marco!
Jim
Hi Jim
As a manager I’d like to keep the history of my managed accounts while incorporating the Book feature. I suppose I could start over with the Book feature and end up erasing all the history but I’d hate to do so. But we may have to do so if Marco doesn’t create the opportunity to add a book to a pre-existing port. But the opportunity the book creates is too much to ignore.
Brad
Hi Marco,
If there are 10 instruments in a book, I am no longer able to click ‘add/delete’ and have the option to delete one. Have to recreate it. A small glitch.
Pls. fix.
Best,
Tom
Tomyani
Should be able to remove now when you have 10. Thanks
“When rebalancing a Live book it’s important to first rebalance each asset.”
If I have each asset and my live books both set to Automatic Rebalance, will the assets be rebalanced first and then the live books?
Or do I need to set the live books to semi-automatic and do it myself after the assets are rebalanced?
Hi P123 team,
Thank you again for building this magnificent backtesting platform. It is really great and the best is that you are coming up with new features so frequently to even improve further.
I just started using Live Books in connection to my Live Portfolios. Just a quick question to make sure I understand the differences between Live Portfolio positions, Live Portfolio rebalance, and Live Book positions and Live Book rebalance:
- When I rebalance a Live Portfolio, it will recommend new positions (stocks), which is the essential of my simulation traded live, correct?
- When I rebalance a Live Book, it will recommend adjustments of existing positions (Live Portfolios) only to rebalance to the pre-defined weight between Live Portfolios, correct?
- It will therefore also rebalance the Live Portfolios positions (stocks) in the Live Book but will not enter/exit new positions. It will solely adjust the holdings, correct?
- So whenever I rebalance Live Portfolios that are included in Live Books, the Live Book’s positions would automatically also change with the rebalancing of a Live Portfolio? So if I do not want to rebalance to a pre-defined weight between Live Portfolios I simply do not need to touch the Live Books? Is this correct?
- The same holds true when an author rebalances its R2G models I could simply follow the aggregated transactions in my Live Book without doing anything else if I do not care too much about deviating away from my set weightings between R2G portfolios. Correct?
Thank you for clarifying.
whotookmynickname
Question 4&5) that is correct but Books could make it easier. For example, as noted in a previous post: one of your ports could be selling a stock while another port (in your book) could be buying the stock. If you only look at one port at a time you could sell a stock when you rebalance an earlier port and then buy it back when you rebalance a later port the same day. The book notices this and may readjust your position weight a little but won’t sell all of a position then re-buy it the same day.
Jim
Live Port & Live Book rebalances are separate, independent things. First you must update the Live ports. This does nothing to a Live Book that depends on them. Then you rebalance the Book. The Book rebalance is very simple: it first builds the “ideal holdgins” based on the portfolios & weights. It then compares these “ideal holdings” with “current book holdings” and generates the necessary transactions to match the "ideal book holdings. If you don’t rebalance a book, it will diverge.
If your book assets are set to auto-rebalance then you only need to go to one place to rebalance: the book. If your ports are in semi-auto mode then you need to rebalance assets first, then the book.
Live book that uses R2G gets a bit tricky and we have just realized that currently it won’t work (we should have a fix by the end of the day). It’s because R2G do not generate transactions in the weekend , they schedule transactions which are then inserted once the prices for Monday are available. This creates a complication because a book can be made of your own live ports, and R2Gs, and YOU want to trade on Monday. Therefore for the “ideal weights” for the Book we will use the “scheduled transactions” to build the future holdings of the R2G, but use Friday’s close to calculate the weights.
We’ll have documentation soon.
Marco,
What if you don’t rebalance the book before the r2go port actually updates the portfolio ( instead of using scheduled trades as you mentioned). I occassionally trade on a Tuesday instead of Monday, due to travelling/lifestyle issues etc.
Book Problem -
I don’t know if this was addressed elsewhere but there needs to be a box to check next to the asset in a book sim if it is short or not. A long/short portfolio can be tested by combining a long and short sim - but all the numbers will be off. 50% of the capital will be allocated to the long port and 50% to the short port - but actually 100% should go to the long and the short is simply run off margin (which costs are already factored in at the individual sim level).
Marco, would it be a simple fix simply to add a selection of “margin” beside each asset?
Kurtis, to be 100% long & 100% short in a book, did you try to have each asset simulated with 2X leverage ? I think that works, my problem is that I can’t come up with a short sim that doesn’t loose all the money
Marco use my “Best-short Russell1000 - test1”
annualized return 20% and max dd=-18% from 2000 to 2014 without hedge.
Marco and others,
Can someone explain or point me to (if already discussed) Book limits for Investor subscription? Only 1 live book, 150 kUSD cap and only 3 R2G’s/book.
I do suppose this is to push membership upgrade, but fill this will not push me, as well as others, probably. It is cheaper to make 3 Investor subscription and had 3 live books, than 2 on Screener. You’d better to divide your cap by 10 and go real with this till 1.500 kUSD cap. I can’t put more R2G’s into book, but still can have 3 subscriptions. All I want to say, it leads only to inconveniences to ordinary investor and most probably the decision could be leave the P123, than dealing with this. It is obviously a quantitative, not qualitative steps to next levels of subscriptions.
The same is beyond of my understanding with 8 R2G’s limitation for designers. I suppose this is to push designers to more quality R2G, than copy the same. But it seems this is not an appropriate way to ensure the goal. Or maybe this is up to servers performance or anything else?
Not sure i follow the value-add of Live Book Rebalancing - I have 4 Live portfolios in a Live Book. If i rebalance (i.e. Get Recommendations and Trade) the Live Portfolios, why rebalance the Live Book? What Recommendations would the Live Book give and how do i Trade these recommendations?
Kirk