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OmniVest Architecture
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JimDean
Posted 5/10/2014 11:00 AM (#5864)
Subject: OmniVest Architecture



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A request was made in the N OVest forum (click here) about "how OmniVest works". Big topic! Eventually N will put together more and more written Help - they have a lot of tutorial+webinar info now but it takes time to digest all that. So, for the brand-new OVest user, who has just wandered a little around the OVest website and clicked on some of the links to see the pieces, I hope that these comments will help you get your hands around it. I'm describing things "from the inside, out" ... imho part of the confusion people are facing is that the N site presents it from the outside, in. Same story, either way ...

A. an OVest "STRATEGY" is comprised of FOUR components:
1. an OVest "SYSTEM" which is in fact an uploaded OT "Strategy" (refer to OT for what it's strategy looks and works like)
2. specification of the trade DIRECTION(s) that the OVest Strategy will use, from the various L+S trades generated by the OVest System
3. assignment of an OVest Symbol LIST to be used with that OVest Strategy - can be static or dynamic - distinct from lists used by other Strat's
4. optional use of a CONDITION that acts like a filter for the OVest Strategy, blocking or passing Entry signals according to a Boolean rule - the Condition is an OScript formula based either on a symbol (typ an index) of your choosing, OR upon the Equity Curve of the OVest Strat thus far (unmodified by the Condition).

B. An OVest Portfolio is a "basket" that holds one or more OVest Strategies, each with an Allocation percent that weights the sizing of trades from multiple strat's in the port, with the starting point position size being established by the OVest strat itself (that value is blackbox). This is btw one of the hardest-to-sort-out-and-follow calc's within the core OVest product. Just think of the percent as a weighting factor for the strategy and that will probably be a good enough handle.
** Currently, the OVest Portfolio is just a "basket" that conveniently groups strat's (you can define as many different Port's as you like). There are currently no Conditions that you can define relative to a particular Portfolio that impact how its component strat's are handled. This will change very soon, with the V3 addition of Portfolio Switcher (similar to Strategy Condition, but acting on the entire basket), and that Switcher will be dramatically enhanced/automated by Portfolio Balancer, a soon-to-be-released "OVestPro" tool.

C. An OVest Account holds any number of OVest Portfolios &/or OVest Strategies (ie strat's not in a portfolio "basket". You can create an unlimited number of Accounts (for testing), and up to five live accounts for live(inc.paper trading) (to different brokerage accounts). The OVest Account has a huge number of "Settings" which I won't describe here ... look at the "Account Settings" panel. Of these, the one that has the most sweeping impact on your historical-simulation modelling is the date range at the top of the panel. All of the other settings affect both simulation and live trading with that account. The settings act as "filters" to control which trades presented to the Account by its component Strats (sep or part of Ports) are actually used, and also can dramatically impact the position sizing of those trades. If you change even one of those settings, it can have major impacts on your overall account performance. Be sure to test in historical simulation before going live!

D. The Trade Processor is a "final step", applying only to LIVE accounts. Currently it is a standalone engine that you run on a local PC or in a personally-leased Cloud partition (many have successfully been running it in Amazon, and a few in Azure - lots of discussion threads about that). The TProc grabs info from OVest, grabs info from your broker (re avail funds), and tries its best to get as many if not all of the OVest trades for each day to be processed (exits then entries). Since OVest is not currently tied into the brokerage, it doesn't know how much money is avail, so it transmits its sizing for each trade to the TProc as a PERCENTAGE. This keeps it generic ... but also means that the TProc interpretation of the actual trade sizes differs somewhat from OVest's presumption when it calcs the ongoing equity of the account ... that is, the OVest equity at the HRE may not match your brokerage.
*** This going to change significantly, fairly soon, as Nirvana brings up a Server-based TProc ... ie running on their servers, without you having to set it up or manage it re installation etc. From that point forward, many new "channels of communication" will be available between the OVest analysis/director functions listed in A-C, and the TProc execution logic. The TProc logic is going to be made much more "intelligent" as a result, and there should be little or no discrepancies between OVest tracking and TProc tracking, once that process is fully integrated.

I think that covers all the big stuff. Of course there are a lot of howto details, and a lot of that is still in flux. I hope this helps!

Thread moved by JimDean on 8/4/2014 8:48 AM from Markets & Methods > OmniVest, Money Mgmt & Risk Control > OmniVest Architecture

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JimDean
Posted 5/10/2014 11:18 AM (#5866 - in reply to #5864)
Subject: OmniVest Architecture



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Followup comments based on further questions ...

====
There are three ways currently to compare strat's:
1. equity curves ... give a very good "big picture"
2. summary statistics (TPM, CAR, MDD, etc) ... offer fast overviews
3. excel export ... everything behind the scenes, for you to play with
====
The "worries" of mixing various strat's together are actually "blessings" ... OVest allows you to easily bake your own cake. Yes, it takes time and thought and can be frustrating (or entertaining). Hey, that's trading! The upcoming OVestPro Portfolio Wizard (probably 2-3 months out) will automate that entire process, allowing you to define the metrics/goals you wish. In the meantime, for really detailed and testing, dump the data to excel and go to town (that's how Portfolio Balancer and Portfolio Wizard were born - done by dedicated, brilliant users ... now being implemented by Nirvana with their assistance - Steve Mayo and Mark Holstius are the stars of that epic - thanks, guys!
-----
You can create your own lists ... either by uploading specific symbol sets, for static lists used as is through the entire test range and at the HRE (you can change the list whenever you want, manually) ... OR by creating custom dynamic lists that rebuild a new set of symbols every new day, based on OScript filtering rules - DL's are imho one of THE most powerful features of OVest. An infinite number of filter rules are possible.
------
You can turn individual Strat's off and on with Strat OScript conditions, and once the PortSwitcher comes online, you can control which Port's in an Account are active, or even "meld" them with weighting factors (eventually) ... that process will also use OScript conditions. OR, if you have OVestPro (a verreeee good idea), Portfolio Balancer will help you determine the best switching algorithm, and control it for you!
====
My orig description, part A.2, explained how to make Strat's use only Long, only Short, or Both. I thought that was clear. The raw Systems that the Strats are built from produce signals in both directions ... the modifier allows you to ignore some or none of them.
****
General comment:
I fully agree that it's best to know the theory before throwing money at the thing, or throwing a lot of time at it. BUT, some things are best learned by a LITTLE bit of info (I think I've laid that out already), plus spending time to PLAY with things to see how they work. Some questions thus far would easily have been answered from a little "learning playtime" ... other questions truly do hit on the heart of the difficulties ... and point to the cool solutions that are already in the works.

Thread moved by JimDean on 8/4/2014 8:48 AM from Markets & Methods > OmniVest, Money Mgmt & Risk Control > OmniVest Architecture

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JimDean
Posted 5/10/2014 11:25 AM (#5867 - in reply to #5866)
Subject: OmniVest Architecture



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P.S:
I tried to present the description about allocations as I understand how OV is "supposed" to work, at least as originally envisioned. I am unclear, myself, on many of the algebraic magic that occurs to determine allocations and sizing ... and that all is CHANGING soon with the mod's to how Port's work, and a bit later, to some degree, with the tighter integration of TP.

So, I tried to keep my explanations fairly general. Note that I said it's best to think of the strat alloc %'s as "sort of weights" and did not try to focus too much on it. I didn't talk much at all about Port alloc's since that will all be changing, too. So, I tried to sidestep the original question by deferring it till OV3 was in place ... much of this not fully understood (ie guessed-at) by most of us.

Thread moved by JimDean on 8/4/2014 8:48 AM from Markets & Methods > OmniVest, Money Mgmt & Risk Control > OmniVest Architecture

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