Custom Time Series Utility

A guide for using the custom time series utility

The Time Series Utility (TS Utility), is a standard component of the Windham Portfolio Advisor (WPA), and can be used to load, prepare, and manage your proprietary time series data for use in the the WPA.

The Time Series Utility is a standalone application, in Windows 10, you can search for the app once you have installed the WPA. This supplemental application is utility-focused.

Creating a custom time series database

You can create and maintain as many custom databases as you'd like. Each database is saved as an XML data file.

Most users aggregate all their proprietary data into one database file and reference this (see Managing Custom Time Series) when using the WPA. Some teams choose to segment their proprietary data by context, managing and referencing multiple data files.

In the File menu, select New and specify a file name for your custom database to create a new database file (XML).

Adding a new custom time series

Click "Add" to define a new time series instrument and fill in the corresponding attributes. These attributes are used to describe and organize your data.

Repeat this process for as many instruments as you need to load.

Import Time Series Observations

Once you have defined your time series attributes, we can now import its values.

To illustrate the rest of the import process, let's consider two proprietary manager returns to load for use in the WPA. Suppose that we have these daily returns in an Excel workbook

First, verify that the data periodicity specified in the utility matches the prospective import.

Initialize Date Vector

Next, initialize the start date of the data in the Time Series Utility.

Hit the Go button, the workspace grid should now have a date vector that begins on January 2, 1998.

Copy and Paste Values

Go to the source of your proprietary data values, in this example - the Excel workbook with both manager's daily returns. We select the time series data values and copy (Ctrl + C).

Return to the utility and select the origin cell for the values that corresponds to the origin location of the source values. Please note that the WPA works using time series returns, not prices or index values.

Do not include dates or the time series name in your copy-selection. Select and copy time series return values only.

Press the "Paste from Excel" button in the lower-left of the application to paste and format your values.

Once done, press Finish and save your changes. The proprietary data will be processed and saved as an XML database ready for use in the WPA. Please see Managing Custom Time Series to learn how to have WPA reference this custom database file.

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