I’ve mentioned several times in here that we are working on version 2 of the Scanner, Signal Tester, & Back Tester. This one will fix Short tests and allow for managing model portfolios. Eventually, it will link into execution platforms too. The other big task is around using multiple processor cores in the testers to make them faster.
Unfortunately, we will not have all this work complete by the next Optuma major update in June/July.
The project has become bigger than I first anticipated and I do not want to cut corners on this just to make the deadline. We’ll release it later in the year in a smaller update.
I’ve also been pulled into a full review of all our data products which has taken weeks of my time. This is important as some of these items will have a direct impact on the quant tests we can perform.
Some items to come from that will be:
More consistent naming of our breadth measures and many breadth calculations based on our Symbol Lists
Introduction of Put Call ratios for US and EU stocks.
More survivorship bias free Symbol Lists.
Introduction of Total Returns option on Optuma Charts, this will also be what we use to calculate returns in the Quant tools so that Dividends become an input.
Improved classification in the folder structure.
More information in the Security Selector for exchange, asset class and country.
I can not believe how much time has passed and how long this is all taking!
The new Signal Tester is mostly done and we are building a web interface around it all now. There are 4 of us working on this alone and it will form a big portion of the new product we are building. My aim is to get this part out in 2023 (I’m hoping to unveil it at the CMTA Symposium in New York at the end of April).
There are two big changes that give a much deeper form of signal analysis but I’m keeping the details under wraps until we are closer. I’ll need beta testers and the people in this forum will be the first group that I ask.
No, the presentation got sidetracked by a significant discovery I made about the timing of when strategies work and when they stop working (something that has bothered me for years). I’ll be releasing a copy of the presentation as soon as I get this data available in Optuma. Essentially it is the practical implementation of asset class leadership and qualifying the results by leadership. This concept is baked into the new scanner and testers.
Here is a slide from the presentation.
The beta will be released in Q3 and you can sign up for updates at https://app.optuma.com
Here’s a sneak peek.
The 4 week sprint to squeeze in an update to Optuma to 2.2 ended up taking 3 months. Then the merging of our price data servers and our fundamental data servers (which is needed for the ratings system on the dashboards) required updates to nearly all our data serving and data processing code. We’ve switched everyone over to the new servers this week and all the devs are still monitoring everything for another week. All up, we’ve had a 5 month delay that I was not expecting.
As much as the delay frustrates me more than anyone else, I’ve learned not to rush out any update/product no matter what. Getting this out in a half-baked state would be worse than missing deadlines.
From next week the whole team will finally be back on the project and I’m hoping that we will see the first beta soon.
Thanks for the update. Now once this is done can you please suggest a time line when backtester will be updated or will it be done after you are finished with phase 4 as you said in youtube vide.
We have two annoying data distractions that are almost finished ( these are usually when an exchange/vendor requires us to make some changes). After that, all developers are back on this project.
Having run my own software development company, I absolutely empathise with everything you’ve explained. Rule 1: Never give out dates for major upgrades!! ?
That being said, is there a way to access the current market leadership phase prior to release? Perhaps an entry in the Knowledge Base or Scripting Forum?
Yes, we’ve moved the calculation to a data set that you can add as a data selection in Optuma. Version 2.2 also has a tool called Phases which will be enabled when the data is added. If you go to your account at portal.optuma.com/myaccount you can add it to your copy of Optuma. If you don’t see it, ask support for help.
With the Phases tool, you can set it to Search for Phase matches and also show a plot of it switching between primary and secondary phases. Make sure you are subscribed to the blog. I’ll be adding an article in a couple of weeks when I get back from some travel.
- my timeline estimates are awful!!