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Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: Top 5 Factor/Formula Ranking |
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Total posts in this thread: 14
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budonk
Advanced Member
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Anyone have 5 factors/formulas they think would constitute the best 5 factor ranking system? Just trying to come up with the simplest (ala Magic formula) set of <10 factors for the best ranking. Lets use 20 buckets, monthly rebalance, and min price of 3 (full history). These 5 seem to do pretty good off the top of my head: Name: 5 Rankings 20.0% Prc2SalesIncDebt 20.0% ROE%Q 20.0% SusGr% 20.0% RecTurnQ 20.0% SI%Float Thoughts? ---------------------------------------- [Edit 1 times, last edit by budonk at Dec 15, 2005 7:23:40 PM] |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Budonk, See my Ranking System, 'Denny's Price2Book 328' http://www.portfolio123.com/rank_details2.jsp?rankid=12838 This 5 factor system was derived from the 3 factor Price2Book system that has been around for a year. I think it was started by Chengtay on 12/23/04. My System was developed for Penny stocks; however, it works well for 'normal' stocks also. I've moved beyond Penny stocks now (not enough volume to invest $10,000), but there may be some members who would like to play with them so I have made the system public. Using your criteria of; 20 buckets, monthly rebalance, and min price of $3 (full history), you get the following performance: 57.6% annual return for Rank = 95 to 100 33.9% annual return for Rank = 90 to 95 27.6% annual return for Rank = 85 to 90 22.2% annual return for Rank = 80 to 85 Since the system was developed for Penny stocks; Using 200 buckets, monthly rebalance, and minimum price of $0.10, you get the following performance: 323% annual return for Rank = 99.5 to 100 154% annual return for Rank = 99 to 99.5 143% annual return for Rank = 98.5 to 99 80.4% annual return for Rank = 98 to 98.5 Let's see if anyone can beat that! Denny  ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
All, Since my last post on this ranking system I have had a number of members ask me about a Sim using it for Penny stocks. So here one is; Denny's P2B 328, 3 Penny Stks a3b3s5r2 http://www.portfolio123.com/port_summary.jsp?portid=99234 This Sim has a 603% annual return (yes, you read that right 603%) with a 32.3% max drawdown. This Sim has a 0.85% Gain/Stock/Day, or almost 1% gain per day for each stock bought for every day it’s owned! The Sim has 54% winners, with the winners held an average of 36 days, and the losers sold after an average of 16 days. It has very simple Buy and Sell Rules so there is very little data mining. However, for the period I traded this Sim (about 3 months) I was only able to purchase 40% of the recommendations (6 stocks; 4 out of 6 winners) due to very low volume. Also, it is difficult to find info on these Micro-Micro companies. If you are willing to take the time to investigate them, and are careful with your buys, you might be successful. Let The Buyer Beware! Denny ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Correction, All; Marco has a 10,000% limit on the total return of public Sims to keep un-realistic Sims out of the public data, so my Sim doesn't show up. Although my Sim referenced in the above post was public it had a 27,500% total return (Is that un-realistic? Ha-ha) so it didn't show up in the public Sims. I re-ran it with a 4/15/03 start date to reduce the total return below 10,000%. FYI, the original sim had a 12/15/02 start date instead of a 03/31/01start date because the P123 data has very few Penny stocks prior to that date. You’ll have fun with this one, but don’t take it to seriously! Denny ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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budonk
Advanced Member
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if you start the sim in 1/2004, the return and DD figures goto 26%/year and -41%. . . weekly with 3 stocks |
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budonk
Advanced Member
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the problem with the pricetobook ranking above, is that you use MktCap in your ranking (which you acknowledge cause this is a penny stock screen) i was mainly looking for the 5 best factors/formulas that predict performance, across all size constraints... we could expand this to 10(or down to3), but with only you and i participating, not sure how much value we will get out of this. . . |
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azinvestor
Advanced Member
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See Below ---------------------------------------- [Edit 1 times, last edit by kss60 at Dec 20, 2005 10:44:05 PM] |
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azinvestor
Advanced Member
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I was bothered by the 30% weight to market cap. I copied the ranking system and made the market cap to 0 and adjusted the other weights. The ranking system still performed pretty well (see attached). I have not run any sim with it as yet. KJ ---------------------------------------- 
RankPerfBarChartServlet.jpg
(27969 bytes)
(Download Count: 342)
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budonk
Advanced Member
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you are correct, with the following 4 factors at 25% each: Pr2BookQ PrFrCashFITTM Pr2SalesIncDebt Pr2CashFIQ The returns are: 95-100 43.5% 90-100 31.3% 85-90 24.1% 80-85 21.7% |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
All, The removable of the MktCap Factor doesn’t do what I think you want it to do. Because many very small companies have high values of the other factors they are still ranked very high by the Ranking System. I suggest that instead of removing the MktCap Factor, you change it to MktCap > 50 (or what ever minimum Market Cap you want to buy), and give it a high enough weighting that the Ranking System removes the smallest companies from being high ranked. As an example, I created the following System: Denny's Price2Book Minimum Cap 50 Mil http://www.portfolio123.com/rank_details2.jsp?rankid=14599 This system eliminated all stocks with a market cap < 50 million from the top 10% rankings. By taking those stocks out of the top ranking the annual performance is reduced to 32.6% in the 95>100 bucket. That sure is a long way from 300+% in the top ½ % rank for Penny stocks! (See next post) Denny ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein ---------------------------------------- [Edit 1 times, last edit by DennyHalwes at Dec 21, 2005 3:46:57 PM] |
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Re: Top 5 Factor/Formula Ranking
Re: Top 5 Factor/Formula Ranking
