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Portfolio123 » List all forums » Forum: General Comments » Thread: DennyHalwes ...Want to get in tough with Denny....about fundamental Rankings |
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JorgeO
Member
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DennyHalwes ...Want to get in tough with Denny....about fundamental Rankings |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
JorgeO, I assume you meant want to get in touch with me. What would you like? 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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JorgeO
Member
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Dear Denny: I am INCREDIBLY impressed by the performance of your system and would like to ask a couple of questions: 1) What is Yield 5YAvg? 2) In terms of valuation did you tesed other metrics like EV/Sales or EV/EBITDA instead of the P/S and P/E that you are using? 3) Is the chart "live trading"? Jorge  |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
JorgeO, Well I am glad to answer your questions, but first I need to find out which of my systems you are referring to. I have 89 Public Sims, 12 Public Ports, and I am now trading 9 real Ports. Since I have referenced many of my Sims and Ports on the Forum in the past I am not sure which one you want information on. 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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JorgeO
Member
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Dear Denny, I am interested in the: Value w/Momentum Sharpe 2.35 Annual Ret 59.4% Inception Date 03/31/01 Last Rebalance Date 03/04/06 Days Since Last Rebalance 4 Rebalance Frequency Weekly Is that the best that you have....I am looking to add a few fundamental layers to my technicals....yours seem the best because they are clear, they make sense....they are simple and seem to work....Am I right or should I concentrate on other fundamental variables? JorgeO |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
JorgeO, OK, I'm with you now. The Port you are referring to is one of the P123 official Ports that I submitted in December of 2004. First I need to explain that Gordon Tan developed the Momentum Value ranking system, and I set up the Trading System buy and sell rules. If you read the description of the Ranking System you will see that Gordon copied the value factors from the VALUERANK Ranking System, and the momentum factors were copied from the TECHRANK composite factor of the BALANCED4 Ranking System. To answer your questions: Yield5YAvg; is the Dividend Yield, Averaged over the previous 5 Years (%) There were no other valuation metrics tested for this Ranking System. This Port has been running real time since Dec. 2004. The results from 03/31/01 to December 2004 are simulated results. The results since Dec. 2004 are the actual results of rebalancing each weekend and buying or selling the recommendations on Monday. The only difference between the results of the Port and the results that you could have achieved with real trading since Dec. 2004 is the difference in the price you could have traded at on Monday morning versus the Price that the Port shows. This is because the Port price is based on Fridays close price (so that the Port can make recommendations over the weekend), and obviously you can't buy the stocks on Monday at the Friday close price. So there will be a little slippage in any real performance. To my knowledge, the best Port based on the Momentum Value ranking system is one that member vladinvest started in January 2005. His Port has a total return since that time of 99%. His Port is only a 4 stock Port, but his few changes in the Buy and Sell Rules have improved the return relative to the P123 official Port. You can see his Port here: http://www.portfolio123.com/port_summary.jsp?portid=36255 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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fier
Advanced Member
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There is an even better one (testing 5 years) here; http://www.portfolio123.com/port_summary.jsp?portid=28962 thanks, Bill  |
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jpkernot
Advanced Member UNITED KINGDOM Joined: Oct 9, 2005 Posts: 223 Status: Offline |
Fier: I do not understand why the port you refer to ( http://www.portfolio123.com/port_summary.jsp?portid=28962 ) has not been rebalanced since 01/15/05? Surely some of these stocks would have been sold? Take for instance MT which would have fallen over 40% from peak in 2004 to trough in 2005. Am I missing something? ---------------------------------------- Thanks! |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Bill, Yes, that is a very good Sim especially for a 10 stock Sim. What I was showing JorgeO was an actual Port that has been running real time since Jan. 2005. jpkernot, The Sim that Bill (fier) gave the link to is a Sim, not a Port. Also, it is one of vladinvest's Sims, not Bill's, and vladinvest just hasn’t re-run his Sim since last Janurary. You can run a copy of it through last weekend and the annual return will be about 83%. That is a very good return for a 10 stock Sim. 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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jpkernot
Advanced Member UNITED KINGDOM Joined: Oct 9, 2005 Posts: 223 Status: Offline |
Many thanks - learning every day! ---------------------------------------- Thanks! |
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Re: DennyHalwes ...Want to get in tough with Denny....about fundamental Rankings
