| Index | Recent Threads | Who's Online | User List | Search |
|
|
 |
Portfolio123 » List all forums » Forum: Latest Release » Thread: Hedging module for sims is now live. Press F5 to refresh browser caches. |
|
Total posts in this thread: 36
|
[Request a Feature] [Add To My Favorites] [Watch this Thread] |
| Author |
|
|
marco
|
You can now try the Hedging module in Simulations. It is not available for Portfolios yet. We'll be posting tutorials to get you started as well. Press F5 to refresh browser caches if things look odd. This is a big release with many changes. We've been testing it for quite some time but it's very hard to test all the possibilities. If something goes wrong during the weekend and before Monday's open will revert back to the previous versions of the sim engines and website. New in this release is also the Wizard for Buy/Sell/Hedging rules. We can add as many as we want. Let us know of commonly used rules that could be added to the wizards. Please let us know your feedback/ideas. ---------------------------------------- Portfolio123 Staff ---------------------------------------- [Edit 2 times, last edit by marco at Aug 14, 2010 3:27:56 PM] |
||
|
|
gfagerlin
Advanced Member
|
Marco: This looks promising. Testing one of my extreme daily sims, since 2008 with no timing and no hedge, as a base case I get: Add timing to base sim - AR declines 33% and DD declines 18% (timing is simple - benchclose(0)/benchclose(5) > .98 - buy and < .98 sell) Add Hedge to base sim - AR increases 26% and DD declines 18%. (hedge is SDS @ 50%) Pretty impressive. Some other things that may be of interest: I have been a bit confused by the Hedging Options description for entry and exits. Probably because I am used to sim timing rules. A suggestion for clarity. The description - "Entry Rules ( implicit AND, all rules must evaluate to true )" is the entry to the hedge, so maybe a better description would be "Entry Rules ( implicit AND, used to ENTER Hedge, all rules must evaluate to true )" Same for the Exit - "Exit Rules ( implicit AND, used to EXIT hedge, all rules must evaluate to true ) " I tried to run the sim using 2/20/05 to start and got this message - Total market value of simulation around 01/13/10 exceeds $100 Billion. Is this a new restriction? I can do a work around running a couple of sims to get all the years back to 3/31/2001 but I and others, I think, like to test over the max term. One needs to be aware of the history of the hedge. I find SDS started in mid 2006 so I expect there is really no hedge working before this date. Not sure how this is handled in the sim but worth considering when looking at results. Nice addition to P123! Glenn PS The sim is here (private) if you want to check anything. Strategy is in the description. |
||
|
|
marco
|
Glenn, The $100B restriction is new. Some kind of limit is needed otherwise other weird database errors occur. You want me to bump it up to 500B ? All the ETFs and indexes available for hedging have histories going back to at least to 2000. We've artificially extended them using the index they try to emulate. The extension has a high correlation but it is not exact, however should be better than nothing. You can see that in the ETF section->prices. Where you see 0 volume is where we extended them. This also means that using volume rules in the hedging is not advisable. Some of the indexes do not have volume data either. Maybe we should just remove the volume functions altogether to avoid mis-interpretation. Thanks for the other comments. Keep them coming. ---------------------------------------- Portfolio123 Staff |
||
|
|
marco
|
We can probably safely bump up the limit even more, 1T ? You can also work around it by making your starting capital smaller. Watch out for fees/slippage though, but I have a feeling you are not using them ---------------------------------------- Portfolio123 Staff |
||
|
|
gfagerlin
Advanced Member
|
I lowered the starting capital and ran back over 5 years getting $1,519,477,504.00 Total Market Value. So, you changed something. This is fine for me. Glenn |
||
|
|
marco
|
OK, we'll leave it as is for now. Let me know when those are real $$ so you can buy some P123 stock :) ---------------------------------------- Portfolio123 Staff |
||
|
|
azinvestor
Advanced Member
|
Marco, There seems to be a small error. The first time setting the hedge, if you select the "Hedge" & "Percentage" and the go to rule wizard, once you come out the rule wizard after selecting a rule, it resets the hedge and the percentage box totally vanishes from the screen (because the hedge is back to "GO TO CASH"). I am using firefox and do not know if that has anything to do with it. Otherwise seems like a great feature. KJ ---------------------------------------- [Edit 1 times, last edit by kss60 at Aug 14, 2010 6:31:44 PM] |
||
|
|
rws737
Advanced Member UNITED STATES Joined: Apr 4, 2007 Posts: 73 Status: Offline |
Marco, Any way we could incorporate the use of Exposure Lists into the new hedging functionality to determine the periods to hedge? Keep up the good work! ---------------------------------------- "It is not the mountain we conquer, but ourselves." -Sir Edmund Hillary |
||
|
|
strader1
Advanced Member
|
Marco: Most of my Sim's are rebalanced daily. It would be most helpful to be able to evaluate the hedge daily as well. Bill |
||
|
|
plan_trader
Advanced Member
|
Slight glitch I have found - when I tried to allocate a sim to a category it just keeps reverting to uncategorized. ---------------------------------------- Gary |
||
|
|
[Show Thread Printable Version] |
