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Is automatic rebalancing working?
33 replies, 3365 viewings
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OmniVest User Forums
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Is automatic rebalancing working?
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Last Activity 10/7/2016 12:00 PM 33 replies, 3365 viewings |
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kmcintyre Elite    Posts: 890 Joined: 10/11/2012 Location: Portland, OR  User Profile |
So today I did the following steps - 1) select Account "PW rebalance 1031" 2) scroll down to the Portfolios section 3) click the hyperlink for "DP 1031" 4) verify that the Dashboard shows Simulation Date Range: 10/31/13 - 12/3/2014" and Analyze shows Done. 5) click the Output tab and wait for the equity graph to complete The problem is that under the Selection section of the Output tab, the last rebalance date is 1/1/2013. I would expect a rebalance to have occurred on either the trading day before or after 11/31/14. I checked all the other accounts. None of them appear to be rebalancing. But I recall looking at this a month ago and concluding that automatic rebalancing was working. So I'm confused. What should I expect to see? How do I know rebalancing has occurred? How do I know which strategies are valid for the current interval? Thanks Keith | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
I did a quick check on my DP's - they are rebalancing, it appears to be something going astray at your end. However my DP's were created some months ago. Do you have any other older DP's in Accounts you created before this last batch of 7 Accounts? If older DP's are still working it may help narrow down the issue? John | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
Do you follow the same steps I described? And you see new strategies being selected without rerunning Analysis in PW? Again, I'd swear I confirmed rebalancing a month ago. I wish I had a video to remind myself just what I did and what I saw... Keith | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
From my point of view, auto rebalance was working a month ago, it's still working now. That's why I was wondering if older DP's you created are still rebalancing OK? | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
Glad to hear rebalancing is working for you. Barry, I just did the following - 1) Created a new account called "PW rebalance create". The only setting I changed was the simulation date range, which I set to 1/8/2014 - 10/8/2014. 2) With the account selected, goto PW. I selected (100,1,5,4) on the Dashboard. Selected 10 arbitrary strategies. Selected 1 arbitrary EF. Ran Analysis. Saved the resultant to PW 08. 3) Created another account called "PW rebalance 08". Kept all the default settings except the simulation date range. Set it to 6/1/2014 - Today's Date. Saved the settings and goto Portfolios. Selected DP 08 into the account and saved. 4) The Accounts page churned a bit and then displayed stats for the "PW rebalance 08" account. Scrolled down to the Portfolios section. Clicked through to DP 08. 5) The PW pop-up appeared. Clicked the Output tab. Noted the Account: PW rebalance 08. Great. Noticed the Simulation Date Range: 6/1/2014 - 12/6/2014. Great. Noticed "No Records Found". Bummer. Noticed no equity graph. Hum. Noticed the last rebalance date shown as 10/9/2014. (Yes, 9 not 8... I think that may be because I created a second DP using "PW rebalance create" with a simulation range of 1/9/2014 - 10/9/2014 after I created DP 08. I dunno.) So it appears DP 08 failed to rebalance strategies on 11/8/2014. I will check on Monday and Tuesday, but I'm pretty certain I won't see any evidence of rebalancing on 12/8/2014 either. Further, looking at the simulated trade history for "PW rebalance 08", on 11/26 a trade was taken by R10-L-NAS. That strategy was not one of the 5 strategies selected on 10/9/2014 per the PW output tab. So either a rebalance occurred on 11/8(9) that selected R10-L-NAS or we're back to having trades taken on strategies that are in the pool but not selected by PW. I need to be able to see all rebalance results to know for sure. This is very disconcerting. Please advise. Thanks Keith  Attached file : Simulated statistics for DP 08.png (79KB - 311 downloads) Attached file : Simulated Trades.png (126KB - 312 downloads) Attached file : PW Output top.png (72KB - 336 downloads) Attached file : PW Output bottom.png (41KB - 327 downloads) | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
Good questions for Barry (who gets all the stuff we are incapable of answering ourselves). Also I notice you created another account and I've got a question in the works which may be very relevant when you created " another account PW rebalance 08". See here "can Dynamic Portfolios Use Different Settings?" http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=7501 One final question for you from 12/3/2014: Originally written by 387948 on 12/3/2014 8:30 AM Keith, I did a quick check on my DP's - they are rebalancing, it appears to be something going astray at your end. However my DP's were created some months ago. Do you have any other older DP's in Accounts you created before this last batch of 7 Accounts? If older DP's are still working it may help narrow down the issue? John | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
I have one DP that I created back in July - August. Shortly after PW went alpha... My other work has been memorialized, but I dumped all the portfolios when I hit the limit in OV and couldn't save anymore. Regardless, my focus is forward. I need newly created DPs to rebalance. WRT your question on using different settings, as I recall the warning voiced was that PW was very sensitive to any changes in Account settings. Specifically Mark Holstius warned of using one set of settings when creating and another while deploying DPs. I've documented fairly extreme variations in performance based on slight changes to Account settings as well. But it has always been POSSIBLE, just not advisable. WRT using 2 accounts, I use one account to create DPs and a different account(s) to deploy because - 1) I have multiple live trading accounts. I don't want to do any development work on the live accounts. 2) So I do all my experimenting with test accounts. If I find a strategy or portfolio that I want to trade live, I start by testing with a surrogate to my live account. I.E. I create a new account and import the settings from my live accounts. I test against each of my live account settings. 3) If I still like what I see, I enable the strategy or portfolio in my live accounts. Since that is my deployment workflow, I always use a "create account" and a "deployment" account, even when I'm in development. It helps ne find issues (like rebalance not working) BEFORE going live. YMMV Keith | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
If it working that means something has recently crept in that would suggest newly created DP's may not be working, thus gives Nirvana something they can create and check out... If your old DP is not working then its something specific to your account or settings since my old DP's work fine, again it gives Nirvana something to focus on... John | ||
| Angela Duran Veteran Posts: 168 Joined: 10/11/2012 Location: Nirvana Systems User Profile |
A dynamic portfolio will lock in on the simulation dates originally used in the account settings when the dynamic portfolio is created. If you want to change the date range for the portfolio, you will need to use another account (with the alternate simulation dates) to create a new dynamic portfolio. | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
So it sounds like I'm doing the right thing using one account dedicated to creating the DP, thus initializing and locking in the rebalance date. To deploy the DP, I create additional accounts to map my real world. "live" accounts (with different date ranges, specifically an ending date of Today.) I select the DP into these "live" accounts to actually trade. So far, so good. But the rub comes in when I go to verify which strategies are selected in the current rebalance interval. When I drill down to the DP from a "live" account, then look at the output tab of the DP, there is no evidence of rebalancing. The last rebalance date shown is based on the simulation date range in effect when the DP was created, using the account first mentioned above. This probably sounds convoluted. That's why I provided specific steps to recreate the anomaly and screen snags to document the issue. I really hope this can be resolved soon. Thanks for looking into it. Cheers Keith | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
In support of Keith's observations I recently sent Barry some examples where the Output tab not only shows no rebalancing, there are also no Strategies listed as rebalancing at all! Yet the Output page does show a graph, and the Strategies page shows strategies are selected and available for rebalancing. [Edited by John W on 12/23/2014 9:21 PM] | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
Also there is a similar but different issue where double clicking on a DP with 19 strategies in Portfolio Manager takes you to PW where the Strategies tab indicated NIL strategies are selected (See "GX02 09142012 180183 LR0530". Yet the Output page shows a nice graph and a full history of selected rebalanced strategies including the most recent balance date. Footnote to the above: Output tab now shows a different set of strategies of only 3 strategies rebalancing each month. I think these 3 strategies are from another DP I reran recently (could be "GX 091412 LS 100131 LR 05-30 30100"). But these 3 strategies should not be on the PW Output page for "GX02 09142012 180183 LR0530" if I double click on "GX02 09142012 180183 LR0530" in PM. So perhaps this is an example of two issues: 1. No strategies showing when drilling down from PM to PW 2. PW shows Output data from most recent PW run when no strategies can be found? John [Edited by John W on 12/23/2014 10:52 PM] Attached file : PM 19 Strats.png (10KB - 1197 downloads) Attached file : Why No Strats.png (50KB - 1257 downloads) Attached file : Nice Graph.png (55KB - 1262 downloads) Attached file : Selections Continue.png (33KB - 1213 downloads) | ||
| Bruce Britt Regular Posts: 81 Joined: 10/11/2012 Location: Louisiana User Profile |
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| Barry Cohen Icon  Posts: 1844 Joined: 10/11/2012 User Profile |
But, in Portfolio Wizard, the Output tab seems to have some issues, which makes verifying that rebalancing is taking place difficult. When you click on an existing DP, Portfolio Wizard opens & the Dashboard, Strategies, & Evaluation Functions tabs all correctly show the settings used for the selected DP (as long as the account still exists). The Output tab, however, does not, & is currently showing only the results from the last Portfolio Analysis that has been run. Furthermore, after rebalancing occurs, the Output tab might not be displaying the latest strategies. I'm waiting to verify this as well, but that's my guess. With the Output tab not working, it's difficult to verify that rebalancing is occurring, but you can verify it by viewing simulated (or actual) trades on a DP. Say you have a DP that has an analysis using 20 strategies & only selecting 2 each month. After rebalancing occurs if simulated (or actual) trades start occurring from the same 2 strategies, most likely the rebalance failed. But if you begin to see trades from a different strategy, then the rebalance likely worked correctly. Another way to verify would be to run a Portfolio Wizard analysis, create a DP, then follow that DP & don't run another PW analysis. That way the Output tab should remain showing the results of the last DP. I'll be running some tests over the holiday to verify, but I wanted to share what I know so far. | ||
| Barry Cohen Icon Posts: 1844 Joined: 10/11/2012 User Profile |
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| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
Thanks for taking the time to look at this on XMAS eve. I'm seeing the same behaviour you describe. The only behaviour we are seeing differently is on some of my DP's the Strategies tab displays no Strategies. e.g. GX02 09142012 180183 LR0530 discussed earlier which was created in Account GX02 and the account still exists. What do you mean by modify the Account, perhaps the answer lies there? A few days ago I created 2 brand new Accounts (they are the ones starting with "Z"). I created 1 new portfolio, neither the Account nor Portfolio have been touched since creation. The Account still exists and has not been modified (except to turn on Trades a few minutes ago to check if trades were created). It is creating trades as you pointed out. However, if you double click on "ZS 09142005 4S EMA0307" you'll see that PW shows no enabled strategies. | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
Originally written by 291234 on 12/25/2014 5:14 AM After running some tests, I believe (waiting to verify) that Dynamic Portfolios are rebalancing the strategies as long as the account that was used to create to create the DP has not been deleted or modified. But, in Portfolio Wizard, the Output tab seems to have some issues, which makes verifying that rebalancing is taking place difficult. When you click on an existing DP, Portfolio Wizard opens & the Dashboard, Strategies, & Evaluation Functions tabs all correctly show the settings used for the selected DP (as long as the account still exists). The Output tab, however, does not, & is currently showing only the results from the last Portfolio Analysis that has been run. Furthermore, after rebalancing occurs, the Output tab might not be displaying the latest strategies. I'm waiting to verify this as well, but that's my guess. Barry and Angela, Here's a little more input to help you figure out why the PW Output tab might not be displaying the latest strategies. I selected Account GX01 and confirmed that each of the four dynamic portfolios had no strategies on the Output tab of PW. I then selected each DP singly and attached the single portfolio to the Accounts page. Each of the 4 DP's appeared to continue to generate trades on the Trades page. Then back to the Accounts page and double click on the DP to get to PW. I continued this process which again confirmed no Strategeis on the Output page. By the time I got to the last DP I decided to try clicking "Calculate Statistics" on the Strategies tab of PW. The last two of the four Dynamic Portfolios then showed the latest rebalanced strategies! Good. The first two portfolios still did not show any strategies. Bad. I then selected the first DP and then clicked "Calculate Statistics" on the Strategies tab of PW again. The first DP then showed rebalanced strategies. The second DP still did not show any rebalanced strategies. Once again "Calculate Strategies". Hey presto! - the second DP now showed the rebalanced strategies on the Output tab. Now for the kicker - when I returned to OV, hooked all 4 DP's back up to Account GX01 and then double clicked each DP on the Accounts page, only portfolio 3 shows rebalanced strategies on the PW Output page, the other DP's have 'lost' them again! I would have expected to see the Portfolio 2 strategies since that was the last set I was able to make visible. To reconfirm an earlier point, the Trades page in OV showed that trades were continuing to be generated even before I started the recalc process, confirming both your and my earlier observations that trading does not appear to be affected. Conclusion: There is something amiss on the PW Output page, but by continually hitting "Recalculate Statistics" the issue can be overcome by spending a bit of time watching the spinning wheels. The results however appear only for a short time and then vanish again. Hopefully this input may provide the clues you need to fix the PW Output tab issue. John | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
BTW, the DP shows no enabled strategies but it creates Trades for Accounts GX02 and GX03. Attached file : r8.png (110KB - 295 downloads) | ||
| Barry Cohen Icon Posts: 1844 Joined: 10/11/2012 User Profile |
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| Barry Cohen Icon Posts: 1844 Joined: 10/11/2012 User Profile |
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| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
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| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
Thanks Barry and team! Keith | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
I still have some DP's where the Strategies tab shows no selected strategies but the Output tab now shows strategies being rebalanced correctly. For example: ZS 09142005 4S EMA0307 GX02 09142012 180183 LR0530 GX 01012000 7LS ATR GX 01012000 7LS C20 | ||
| Angela Duran Veteran Posts: 168 Joined: 10/11/2012 Location: Nirvana Systems User Profile |
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| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
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