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.

Attributes	Description
Data Provider	Manual, this is simply a classifier tag Yahoo Finance is no longer supported.
Data Provider Code	Only applicable for Yahoo Finance API, no longer supported
Series Name	Unique name to describe your time series e.g. S&P 500 Manager A, or Hedge Fund X
Asset Class	Choose from an existing list of asset class classifiers or type in. This is used by the WPA to filter or search when managing the instrument list.
Frequency	Data periodicity that you will be importing into the database.
Denominated Currency	Three-letter currency code following the ISO4217 standard.
Series Short Name	Optional, unique string as a shorter descriptor of the time series
Country	Optional, string to describe geographic relevance.

Defining a new time series instrument

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.

Specify or initialize the start date

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

Initializing the date vector

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).

Copy the source values

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.

Select the origin cell to paste the data into

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.

Time series returns copied from Excel

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.