Some questions/comments about WLP 6 Index Manager.

1) In addition to Aggregate Indicator (averaging of results), can we have a Summation Indicator (summing of results)? eg calculate the number of stocks with RSI over 60 in a given data set.

2) Using Index Manager, can one create an index of 52 wk highs and lows within a given data set? I could do this fairly easily using Index-Lab.

3) Similar to Advance Decline Line, can we have Advance Decline Volume Line? ie Advance Decline Line using volume instead of issues.


The impression of Index Manager is that it is more "canned" solution than Index-Lab. With Index-Lab, I could program more or less of the output I desired giving a great degree of flexibility. I hope the future update of Index Manager would follow more in the spirit of Index-Lab.

Thanks for you comments.

The Index Definitions provided in the installation are "canned", if you will, although the Agg Indicator can be applied to any indicator, and there is flexibility with indicator parameters.

To get the most of Index-Lab, we'll need Fidelity to publish an API doc to create our own Index Defs. When that happens we can start another Community Extension product and start coding these up.

Overall, the new Index-Lab is much more integrated into Wealth-Lab, however, there is still work to be done. Specifically, Index-Lab tries too hard to make sure an Index is updated every time it is accessed. Grabbing the same index during an multi-symbol backtest is very time consuming due to the lack of caching, and this will be tackled in 6.1.

Cone, I loudly echo Richard's sentiments. I downloaded WLP6...not sure what I may be missing here, with the disclosure that I read the Help section for Index Manager in the download and have reviewed what I can find on the topic in the Wiki. I am looking to create an aggregated chart with various technical indicators on a group of symbols for a model portfolio of about 25 securities; however, from what I am seeing there is a moderate list of pre-built (fixed calculation) indexes or the ability to build a single "aggregate indicator" off of a data set, however, I do not see the ability to provide customized weightings or values to the underlying symbols in the data set. My expectation for output would be a candlestick chart overlayed with weighted SMAs, Money Flow, RSI, etc., but I am clearly unclear if this is possible, and if it is so, then how I may get there. When I spoke to the WL help desk in the weeks leading up to this I explained that I wanted to create a model portfolio or custom index that I would be long, short or flat and be able to evaluate the portfolio, not symbol by symbol, but at the top down level of being long/short/out the strategy/portfolio or not. Can either of you clarify if what I am looking to do is even possible and if so the path for getting there, short of hiring an engineer to spend way too long coding a pretty simply idea?

Thanks in advance! - J. P.

You'll be able to create your own Index Definitions using Visual Studio Express or similar development environment. But first, Fidelity needs to put out the "Under the Hood" documentation for an example of how to accomplish this. We've learned we have to be patient for this type of documentation.

Can Index Mgr create equally dollar weighted portfolio vs. the equal share portfolio it does today?

Here's a classic example(albeit extreme) of the problem(on two very,very liquid stocks).

Assume you want an index of GOOG($564 now) & LVLT($0.97 now). GOOG dropped -4.54% on 11/30 while LVLT rose +0.50%. Index Mgr says that combo dropped -4.53% (since it uses 1 share each as equals).

In reality, most traders would allocate equal dollar amounts to trades, so 2 shares of GOOG are equal to 1160 shares of LVLT. So index performance is dramatically different. In this case, combo index only dropped -2.26%.

This is a minor issue for those working with large portfolios, but for someone using concentrated portfolios(like me) of < 20 stocks, the impact can be huge.

Back to my original ?,
Can Index Mgr create equally dollar weighted portfolio vs. the equal share portfolio it does today?

Thanx in advance,
T!

Index Manager operates so that it doesn't have to know about most traders' position sizing. I believe that applying a custom weight coefficient to each symbol should be possible by developing a custom IndexDefinition. However, currently neither there exists an API manual or a demo project to assist in this task.

Thanx for the info.
Happy holidays to you & yours.

richard1000,

Your suggestion...

QUOTE:
3) Similar to Advance Decline Line, can we have Advance Decline Volume Line? ie Advance Decline Line using volume instead of issues.

...has just been implemented as the Cumulative Volume Index (CVI) in our newest extension:

MS123 IndexDefinitions library

jpmorgan

I also think that your custom weightings have to be hardcoded in an IndexDefinition. Here's the API manual by Fidelity: Wealth-Lab Version 6 (.NET) Development Guide, and here's an open source project illustrating how to create IndexDefinitions: MS123 IndexDefinitions (demo version).

Eugene, thanks for your prompt response. I just wanted to make sure I am clearly communicating my objective before I start down the path you are suggeting.

I have a half dozen model portfolios I have contructed. I have a rather simple strategy that I use, however, the models consist of 12-25 different exchanged traded securities and each of these holdings have a different weight. This is a long only strategy, so I am simply in our out of the holding based on the execution of the underlying strategy. I want to be sure that it is clear that I am not really looking for a custom index, because I am not looking to be long or out of the whole strategy (and all of the undlying holdings) at a given time, but rather be long the portfolio constituents that are supported by the strategy at a given time. Otherwise said, I am interested in apply the strategy to each asset of an unequally weighted portfolio, rather than creating a custom index of equally share components and trading it as a single security.

Thank you for your support and allowing me to clarify this matter before I invest further time and resources in attempting to conquer this challenge.

As a final note, I am curious as to whether my request and desire is so unique and why the function would not exist, particularly when I can create such weighted portfolios with either dollars or percentages in many other free tools, albeit without the more comprehensive backtesting features. Would you anticipate this to be more easily addressed in future releases, as I would greatly appreciate fulfillment of the request and the assistance in putting it into the consideration pool for development.

Thanks again in advance,
J. P.

J.P.,

Staying equally dollar weighted means to buy/short the same dollar amount (of shares) for every symbol. Isn't that accomplished by the "Fixed Dollar" option out of the box?

Another idea involves Index Manager and is expressed in tedclimo's reply above dated 12/1/2010 3:39 PM.

You're not looking for a custom index, and trading the basket as a single security is not what you're after. Let's agree on definitions first - what exactly in Wealth-Lab needs to be changed and where?

Eugene, agreed. Dictionary first.

- 1 multi-factor strategy
- Single open position per security at any given time
- 25 securities
- un-equal weight of each security: each security will be held at a different targeted weight ideally in %s, or $ if necessary (different exposure for commodity etf, reit, foreign bond, domestic equity, etc.)
- trade and apply strategy at symbol level, NOT as a synthetic single security or custom index

Thanks for your patience and please let me know if this clarifies things.

I simply apply an overarching strategy to all securities in the portfolio (data set) at the symbol level, but am interested in different levels of overall exposure to different asset classes.

Let me know what further questions you have or what I can do to further clarify the need, interest, and inquiry.

Thanks for the clarification. Therefore I see no reason to stay in the Index Manager forum thread and would appreciate if you can continue discussion elsewhere - like restarting the old thread here:

Basketing / Indexing - Applying Strategy to collective price action versus individual symbols