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Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: Revision to the New Portfolio123 Model |
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Total posts in this thread: 9 |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Online |
All, Edit: I screwed up the Liquidity rule in the Sims below so I deleted them. Sorry about any confusion. Denny I spent some time reviewing the new P123 Port and thought it could be improved for individual investors with smaller investments. So I made a few changes with the following rational: I changed the Liquidity Constraint buy rule from PctAvgDailyTot(20) < 5 to AvgDailyTot(20) < 500000 so that the Sim would represent a fixed minimum $ amount of shares sold per day. I added a Price > 4 buy rule to avoid low priced stocks. I added a Laggard sell rule; GainPct < BenchPct & NoDays > 60, because if a stock can't outperform the S&P 500 within 60 days we need to try another high ranked stock. I changed the Rank sell rule to Rank < 95. This was changed because if you run the performance of the Fiscal Momentum Ranking System for 20 buckets the top 5% bucket has a 6% higher annual return than the next 3 lower buckets. A 6% annual gain compounded over 5 years is a 33% increase in capital. That's worth a little more effort trading. The results are a 52% annual return with an 18% max drawdown. You can view the Sim here; Denny's Diversified Fiscal Momentum 20 Stks http://www.portfolio123.com/port_summary.jsp?portid=135763 I also ran a 10 stock Sim with a 55% annual return and 19% max drawdown. You can view it here; Denny's Diversified Fiscal Momentum 10 Stks http://www.portfolio123.com/port_summary.jsp?portid=135767 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 Mar 16, 2006 11:52:36 PM] |
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BJS
Advanced Member
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Denny, Shouldn't your liquidity rule be greater than 500,000 instead of less than 500,000? |
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jerrodmason
Advanced Member UNITED STATES Joined: Jan 14, 2005 Posts: 599 Status: Offline |
Brian, I was just about to make the same observation. Switching that sign makes a huge difference: Annualized Return 15.58% Annual Turnover 265.76% Max Drawdown -31.17% Sharpe Ratio 0.56 I think that tells us that Fiscal Momentum still favors microcaps. ---------------------------------------- The smart money was on Goliath. "He's not the Messiah. He's a very naughty boy." |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Online |
Brian, Good catch! You would think that after being an engineer for 35 years I would be able to get those little arrows to point in the right direction! I must be getting old. Oh well, back to the Sims. 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 2 times, last edit by DennyHalwes at Mar 17, 2006 12:01:54 AM] |
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BJS
Advanced Member
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Denny, Yeah, I've only been an engineer for 24 years, so I must still be a little sharper than you.  35 years.....congrats! I don't know about you, but I feel like I finally get to use my engineering education to design something (P123 models) really worthwhile! I haven't had this much fun since I was on the concrete canoe team at school. Brian |
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Barn
Advanced Member
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I'm with you trader. I've only been in the eng field for 10 years and this is way more fun than any of my past jobs. To be honest I probably spend more time playing with this than I do working :) ---------------------------------------- Just my $0.02 ... Actually I need that back for my port. Barn |
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dcnelson
Advanced Member
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Tried to look at the portfolio but says now private. just wanted to check and see if that was what you intended Thanks David |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Online |
David, No that wasn't what I intended. I was trying to keep the spirit of Marco's original Port. 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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jerrodmason
Advanced Member UNITED STATES Joined: Jan 14, 2005 Posts: 599 Status: Offline |
Fascinating how many of us there are. I'm retired now, calling myself a recovering engineer ... since 19-ought-61. Guess you can call me the old guy now. J ---------------------------------------- The smart money was on Goliath. "He's not the Messiah. He's a very naughty boy." |
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Revision to the New Portfolio123 Model
Re: Revision to the New Portfolio123 Model
