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Portfolio123 » List all forums » Forum: Errors » Thread: Whatever happened to TF05-12Excellent? |
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Total posts in this thread: 22
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p123robert
Advanced Member CANADA Joined: Nov 7, 2005 Posts: 372 Status: Offline |
Whatever has happened to my "TF05-12ExcellentOnly-Optimized" ranking system? I'm upset and feeling I've got every reason to be upset. For me it was an intensively time-consuming job to come up with a sim that worked to my full satisfaction. I spent many hours and days, ran and re-ran hundreds of sims, fine-tuned my port, and when it worked it was great, and loved it, and the last thing I needed was someone to "fix" it in 5+ minutes what took me 5+ DAYS to build. History: On 2/6/06 I came across a successful port (called CCPY) with a ranking system (called TF12-5ExcellentOnly-Optimized) that a P123 member had made public. After making some important changes in its buy and sell rules, I felt it became my sim with a 5-year annual performance of 173% with a low 19% drawdown (between 3/31/01 and 2/17/06) (or between 3/31/01 and 3/17/06). So far so good, however, yesterday when I re-ran the very same sim with identical parameters in the identically same time period (between 3/31/01-3/17/06), the average annual return of the very same sim was a significantly lower 119%, with a much higher drawdown of 28%. History seems to repeat itself. A similar thing happened back in January when I was a believer and user of a successful community port called "GWF 3", which was based on "Balanced4", which, all of a sudden, got "fixed" and stopped working for me for many months. |
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pagosa1
Advanced Member  UNITED STATES Joined: Nov 26, 2003 Posts: 84 Status: Offline |
I think any time you use another members public ranking system or even a Portfolio123 ranking system, you are at risk of them changing it in the future. I have started making copies of all ranking systems I use and then using the copies to protect myself from changes. |
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nrhp99
Advanced Member
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Pagosa1, what do you mean by copying a public ranking system? Do you mean copying and saving the ranking system as a different name? What are the steps to your copy of ranking system. I am using members public systems and I would not want to have surprises the wrong way.  |
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tonysf
Advanced Member
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Hi Robert, Make sure when you rerun the sim, all the settings are the same as before. A while ago the rebalance frequency would change automatically. And make sure the commission is set at flat fee or what ever that is appropriate. I rerun one of my 5 year sims for TF05-12ExcellentOnly-Optimized and the difference in return is a little more than 1%, which looks pretty normal. Tony ---------------------------------------- [Edit 1 times, last edit by tonysf at Apr 5, 2006 11:03:08 AM] |
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pagosa1
Advanced Member UNITED STATES Joined: Nov 26, 2003 Posts: 84 Status: Offline |
nrhp99 - To answer your question about how to copy a ranking system - Just click on the ranking system name, then click on "Copy Ranking System". Paul |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Robert, I copied "TF05-12ExcellentOnly-Optimized" ranking system back on 01/22/06 and ran the ranking system performance on it at that time. I got 115% annual return in the top 1/2 rank (99.5 > 100 using 4 weeks, 200 buckets, and $1 minimum price). I just re-ran it through last weekend and got 113%. Rerunning it through 01/21.06 yields 115.4%. So it doesn't look like there are any changes that have affected its performance. Maybe there are changes that have affected your Buy or Sell rules. pagosa1, If you run a Sim or create a Port from a community Sim or Port, the P123 program forces you to create a copy of the Ranking System unless it is one of the P123 official systems. 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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BJS
Advanced Member
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I had the same problem with a sim using TF12-05 that Robert had. I have a sim that was getting 154% annual returns before the debt fix, but now only returns 144% annually. But I did not check the ranking system performance graph, as Denny did. What I originally thought was a problem with the ranking system due to the fix, now appears to be a problem with the sim - maybe a case of data mining. (Dan P - Have you investigated this ranking system after the debt changes? I'm curious as to what your thoughts are). Brian |
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danparquette
Advanced Member
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Brian, The sim results for my live port did change for the worse, but not drastically. I reran some of the old sims for other variations of the port and most of the results changed a little and some changed quite a bit. Almost every one had worse performance then before. I'd agree that this is because of the data mining aspect. My port and all the sims were 'optimized' by changing the buy & sell rules until I got excellent perfomance. That explains why the RS perf charts that Denny ran didnt change much but some of our sims did. The changes that Marco made are perfectly logical. I was bummed when I saw that the performance of my sims was worse, but changes like those will improve the system. I think the ranking system only had one factor (Return on Total Capital) that should have been affected by the changes (until they change the PS inc Debt factor) and it only had 4% weight. If this caused anybodies sim to fall apart, then the results you got in the original version were not valid anyway. ---------------------------------------- Dan |
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gfagerlin
Advanced Member
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Robert: I started GWF 3 in 6/05 and traded it until early this year. I closed it out in January because I went to better systems, I think.. It was a copy of Denny's Small Cap Balanced4 portfolio that he made public. I may have tweaked something, but cannot remeber. I do not think I changed much. I did keep the original model. Here is what I used in 6/05 - http://www.portfolio123.com/port_summary.jsp?portid=143294 it was showing 119% annualized with 0 slip and previous close, which was the only available option at that time. With next open it was at 90% which is why I changed. Denny has a sim he mentioned recently - Denny's Small Cap 98/98/20 G/S/D b4s2 http://www.portfolio123.com/port_summary.jsp?portid=121084 which is an update of his Small Cap B4 which I think is better than the GWF 3 sims and ports. It is at 140% with 20% DD. Glenn Fagerlin |
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p123robert
Advanced Member CANADA Joined: Nov 7, 2005 Posts: 372 Status: Offline |
Pagosa1, As to making a copy of TF12-5Excellent, well, I copied it, I had to, when I started using it, therefore what I've got is a copy of the ranking system, so from that angle I believe I'm pretty safe. The problem that I suspect here is not that somebody directly fixed TF12-05Excellent, and not that I failed to copy it. What I'm concerned about is the fixing that may go on indirectly. Indirect fixing is kind of subtle but incredibly powerful. A mythical example -- someone takes a 5-minute action and fixes the EarnYield (meaning the earnings per share for the most recent 12 months divided by market price per share). Somebody decides -- and yes, it's debatable -- the EarnYield would be more useful if it was based on the last 3 months, not on the last 12 months. Therefore he goes ahead and in 5 minutes he fixes all EarnYield figures, so that now all of them are based on 3 months, not 12 months. Then this change in turn affects all ranking systems, including TF12-5Excellent, which happens to use EarnYield. How about debt ratios? Who knows, maybe TF05Excellent was/is affected. But, of course I can be mistaken. Can somebody look into this one please? Here's a specific example. For comparison, for the next 10 days, I'm making public two of my normally private sims. I'm making public both my original sim -- http://portfolio123.com/port_summary.jsp?portid=121961 with an annualized return of 173% between 3/31/01 and 3/17/06 and a maximum drawdown of 19% -- and an identical sim -- http://portfolio123.com/port_summary.jsp?portid=142480 with an annualized return of 159% between 3/31/01 and 3/17/06, with maximum drawdown of 25%. As you can see, the performance drop is significant, from 173%/19% to 159%/25%! Tony, Yes, I made sure the buy and sell rules and everything else were identical. Brian, Thank you for saying that. I'm on your side and also interested why your sim's performance dropped significantly from 154 to 144%. Glenn, I still love your GWF 3 sim, and back in January I was able to maximize its performance to 114% with 21% drawdown, and this is with next open. Thank you for your links, I will look into them up ASAP. In the meantime, I'm ready to provide a link to this 114%/21% sim, if you or anyone is interested. Dan, I used to believe and still believe this CCPY sim and TF12-05Excellent were strong enough to not to fall apart because of small-small changes in anything. But I could be mistaken. Denny, Your research makes me feel good, but I keep looking, and keep checking both of my sims, but there seem to have been no changes in their buy and sell rules, or any other rules, yet something has affected their performances. The only difference between these two sims seems to be the dates when these sim were run! The first one ran on 3/18/06. The second one ran on 4/7/06. What I wonder about is, whatever happened between 3/18 and 4/6/06? Whatever happened to TF12-05Excellent? |
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