Example: (JPM) will display the inverse results and stats for JPMorgan Chase
Search and directly load families from the family search box on the left. Additionally, search ticker and name fields of any tickers loaded on the spreadsshet with the “Search Sheet” function on the right.
Major fix to FT Alpha and sharpe ration momentum/value models. The previous 2 versions calculated a one day cash position after each rebalance day when using the following parameters:
- model rebalance and rank period were not equal
- trade delay equals 1
- basis is not the equity curve
Read the help page here. This feature allows you to overlay a moving average timing strategy on top of the FT Rebalance asset allocation momentum strategy. Feedback welcome! Email email@example.com
from the comapre tab.
fnu to file.
as if 0 trade delay.
less than 100%
1) “Match ft4web” check box checked,
2) value model selected,
3) family contains a ticker that does not exist before the model start date.
hurdle rate script and improved logging.
a static model and momentum models. With the advanced model, you can easily chart
an equity curve that has static buckets of momentum models. Ex: 80% of assets allocated
to an equity momentum model and 20% of assets allocated to a bond momentum model.
ranking metric (return, ftalpha, or sharpe) for each rebalance period. Ex: If hurdle
rate is defined as VUSTX and rank by is return, then each family member must have
a return greater than or equal to VUSTX to be considered a valid investment for
the rebalance period.
more advanced. The hurdle script allows the user to define a upper or lower bound
for a number of statistics. You can write simple statements like:1) “SD<VFINX,12” – for each rebalance period, only invest in funds that have
12 month standard deviation less than VFINX2) “UI<4,2” – for each rebalance period, only invest in funds that have 2 month
ulcer index less than 4Click here for more details
switch between different equity curves by pressing “R”,”G”,”Y” or “B.”
disk. This eliminates the need up upload FNUs one by one. Local file formats must
be FNU file formats.
session to session.
differing rebalance and rank periods is now possible. Ex: monthly rebalancing based
on quarterly ranking