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OT Buy&Hold Strategy: backtestPortfolio Simulation
16 replies, 3153 viewings
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Portfolio Simulation Mode
OT Buy&Hold Strategy: backtestPortfolio Simulation
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Last Activity 7/31/2024 11:39 AM 16 replies, 3153 viewings |
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wolf Veteran   Posts: 159 Joined: 4/16/2011 Location: Germany  User Profile |
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 | ||
| Jim Dean Sage   Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
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] | ||
| wolf Veteran Posts: 159 Joined: 4/16/2011 Location: Germany User Profile |
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 - 572 downloads) Attached file : EMA_Crossover.ots (604KB - 490 downloads) | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
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. | ||
| wolf Veteran Posts: 159 Joined: 4/16/2011 Location: Germany User Profile |
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 - 572 downloads) | ||
| megabucks Veteran Posts: 292 Joined: 9/30/2010 Location: uk User Profile |
Be great if nirvana would | ||
| wolf Veteran Posts: 159 Joined: 4/16/2011 Location: Germany User Profile |
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] | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
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] | ||
| wolf Veteran Posts: 159 Joined: 4/16/2011 Location: Germany User Profile |
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] | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
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 - 440 downloads) Attached file : Buy and Hold Strat.png (90KB - 991 downloads) | ||
| wolf Veteran Posts: 159 Joined: 4/16/2011 Location: Germany User Profile |
THANK YOU for your assistance. wolfgang | ||
| John W Regular Posts: 87 Joined: 8/1/2011 Location: Sydney, NSW, Australia User Profile |
THANK YOU AND WELL DONE! John | ||
| wolf Veteran Posts: 159 Joined: 4/16/2011 Location: Germany User Profile |
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] | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
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. | ||
| wolf Veteran Posts: 159 Joined: 4/16/2011 Location: Germany User Profile |
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] | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
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] | ||
| wolf Veteran Posts: 159 Joined: 4/16/2011 Location: Germany User Profile |
Thank you for your assistance wolfgang |
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