- Bug fix to Annualized Standard Deviation. Prior versions reported all monthly SD as -9999 (error) when annualize SD was not shown.
- Bug fix to 52 week low calculations. Past 3 versions have omitted the current market day from the calculation.
- Improved CTRL + M hot key on chart. Cursor now auto locates to input box for easier and faster searching. See all hot keys here: https://fasttrack.net/help/spreadsheet/ftchart/chart-hot-keys/
- Addition of Annualized Standard Deviation to the spreadsheet. This is simply FT Cloud’s existing monthly SD multiplied by the square root of 12.
- Fix to correlation matrix’s horizontal scroll bar
- Bug fix to static model hurdle rates. Regular static models were no impacted by the bug. Previous versions mis-calculated date range of hurdle rates by 1 day, only when using non-calendar based rebalance periods. Hurdle rates are correctly applied in this version.
- Bug fix to Treynor Ratio. Basis is not the risk free rate of return. Benchmark is used to calculate beta
- New menu item on J chart to export signals to a .SIG file.
- New Chart – Daily Volume – Add “L” to the chart display input and see the daily volume of the ticker in the red color cell.
- Option to export data with “na” for values prior to start date
- Various other bug fixes on copy and paste functions and screen sizing.
- Saving sieves and screener lists is now supported. All saved sieves can open in List view, and vice versa.
- Show -999 start date checkbox added to spreadsheet
- Treynor Ratio and R Squared added as spreadsheet columns
- MA Ratio added as spreadsheet column. This column is MA1 divided by MA2. Values above 1 indicate MA1 is above MA2, values below 1 indicate MA2 is above MA1.
- Date format bug fix – previous versions failed to show chart if using non MM/dd/yyyy format on operating system.
- Various other bug fixes
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 firstname.lastname@example.org
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