Omni Vest News March 31 2014 Omni Vest

Omni. Vest News March 31, 2014

Omni. Vest News for March 31, 2014 Extended V 2 Developments • Dynamic Lists • Equity Curve Analysis • Export Data Omni. Vest Professional • Open Architecture • Portfolio Wizard • Portfolio Balancer The Director’s Club

Omni. Vest Evolution Omni. Vest is evolving… As we gain experience with the tools and create new ones, we are able to simplify Omni. Vest while providing even more advanced tools. Version 2 was recently released with the ability to Tests Lists vs. Systems. Extensions are being completed now (Data Export, Dynamic Lists, …) Omni Portfolios will enable users to select “canned” Portfolios from a wide variety. Omni. Vest Professional will provide yet another level of automation.

Dynamic Lists provide the ability to define a condition that drives the analysis list for every day in the history (in our case, back to 2000) For example, the list can be set to only evaluate symbols that are very liquid (the “Liquid 100”) on every day in the past or those that have a likely “Higher Low” Setup. We are adding a number of Dynamic Lists for all users to apply to the Strategies – expected this week. Note: Creating Lists requires HUGE resources on our servers, so the ability to do this is an Omni. Vest Pro feature. R 22 on Dynamic Liquid Stocks List Live examples

Equity Curve Analysis (Omni. Script) In Strategy Lab, Users will be able to apply Omni. Script formulas to the “Equity” symbol in Omni. Vest expressions. This will provide a basic way to turn Strategies ON or OFF under various conditions, like Above/Below a Moving Average. A much more advanced Equity Analysis feature is planned for Omni. Vest Pro. Simple Omni. Script formula enables trades based on the Equity Curve

Export Data Exporting data from Omni. Vest has been implemented at the Account Level (soon Strategies & Portfolios). Many users want to perform their own Equity Curve analysis in Excel or other tools. We expect this feature to be released the week of 4/7. Excel

Omni. Vest Professional

Advanced Portfolio Analysis 2 Ways to Diversify: The best mix of Strategies The best mix of Portfolios

Portfolio Wizard Selecting Strategies based on combined performance. 1. Start with the highest performing Strategy and your List. 2. Test the Strategy with all others to get a Portfolio of 2. 3. Test the 2 Strategies with all others to get a Portfolio of 3. 4. Test the 3 Strategies with all others to get a Portfolio of 4. 5. Repeat until it has built a Portfolio that meets your Goal(s).

Advanced Portfolio Switching Steve Mayo and Mark Holstius have been doing EXTENSIVE experiments on Equity Curve switching in Omni. Vest, with good results (see right). To implement this requires a sophisticated switching algorithm that has walkforward test ability, and could run many hours on our servers. We are building Portfolio Balancer to implement these ideas. Mark and Steve have been running Excel experiments on Portfolio Switching, which are documented in the Omni. Vest Forum. Here they show a “Switched” Portfolio more than doubling the results of the ARM 4 Portfolio.

The Basic Switching Concept We define indicators of performance that COULD relate to Equity Curve performance in the next period: • • • • Return Slope (m) %Invested %Leveraged Return Beta (of Equity Curve vs. market) Alpha ( “ “ ) MDD Calmar Sortino Gains Losses RSI (of Gains vs. Losses) EMA (fast and slow of the Curve) m Equity Curve of P 1 In this case, every month (our interval) we are measuring Slope of the Curve (“m”) of equity over 4 months (the Lookback period). We take the same measurement over 1, 2, or “n” other Portfolios, We then Switch to the one with the highest value.

Illustrating Switching P 1 Switching Based on Max Return m 1 Feb 1 switch • • Interval = 1 months Look. Back = 4 months Indicator = Return Transform = Slope (m) of Return We are evaluating Feb 1 to determine which Portfolio to switch into for the next March. P 2 m 2 Since m 2 > m 1 we will switch to P 2 for the next month. Strategy Portfolio P 2 will now be used for March. We are here, on February 1.

Portfolio Balancer Which indicator / Portfolio Combination works best? We must try all combinations! Apply: Every Indicator/Transform, to Each Combination of Portfolios, for Every Month over All the Data. Simulate Switching at the same time. For each of the above, Generate a New Equity Curve based on each run (by simulating switching). Select the Portfolios and Switching Method that yielded the best outcome (max CAR, min MDD, …) Flow Chart by Steve Mayo This is the switching method we will use for the current month.

A Top Priority I am meeting with the design team to finish the specification. Goal is to start coding this week and have a prototype completed quickly (target is 2 weeks). We believe Portfolio Switching is the single most important “next thing” we can do to impact Omni. Vest’s ability to make the most money in users’ accounts. We’re on it. Flowchart by Steve Mayo Recent Spec Addition: Output a table of combinations so the user can see the results and select from among them.

About the Director’s Club Our developers need to focus on: • Omni. Vest Professional • Omni Portfolios • General web site makeovers So, we are generating funding in various ways to maintain that focus. The Director’s Club is a premium service level we can provide to a smaller number of people who understand the benefit and value of those services.

Director’s Club Benefits Director’s Cut Portfolios – Specialty, Private Portfolios on thinly-traded stocks, futures, and certain option contracts. Personal Account Service – Staff will assist in helping users set up their accounts, including configuring the Trade Processor. Director’s Committee – Periodic online research meetings, where we will lay out our agenda and solicit feedback from our Director’s Club Members. Omni Traders International Investors are automatic members of the Director’s Committee. Omni. Vest Professional – Includes Omni. Vest Professional, including the Portfolio Wizard and Portfolio Balancer applications. Extra assistance with Pro: Per the Account Service benefit above, we will help Director’s Club members configure their Portfolio Balancer. Special offers

Additional Priorities

Omni. Vest Portfolios Current Lifetime Members will have access to Omni Portfolios according to their membership level (Platinum, Gold, Silver, Bronze)

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Trade Processor to Servers An important part of our Development Plan is moving the Trade Processor to a Server environment. This will give the user access to his or her brokerage account on the Omni. Vest web site (not requiring a separate program), which is also important for broker adoption. This project is currently underway. Code Complete target: April 2014.

Q&A

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