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Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: Sim to stay in top-ranked stocks |
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Total posts in this thread: 8 |
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bobhaskell1495
Advanced Member UNITED STATES Joined: Apr 20, 2006 Posts: 172 Status: Offline |
How would I construct a sim which would keep me in the top ranked stocks in a ranking system? For example, suppose I want a sim which keeps me in the top five stocks in the GARP ranking system. It would have to buy the top five stocks at the start and then sell any that fell below the top five on each rebalance and buy the others that had moved into the top five. How would I write the buy rules and the sell rules? -Bob ---------------------------------------- [Edit 1 times, last edit by bobhaskell1495 at Aug 18, 2006 1:03:57 PM] |
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bl82
Advanced Member UNITED STATES Joined: Apr 18, 2004 Posts: 97 Status: Offline |
One way would be by having some of the attached feature requests implemented: http://www.portfolio123.com/feature_request.jsp?poll=181 ---------------------------------------- http://vixandmore.blogspot.com/ "Your one stop VIX-centric view of the universe..." |
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jerrodmason
Advanced Member UNITED STATES Joined: Jan 14, 2005 Posts: 599 Status: Offline |
Good news: It's easy to do this. Here's an example sim (Edited to correct bad link) The key is to select the "YES" option button in the General Parameters section: Allow sold stocks to be rebought. The buy/sell rules are really simple: Buy: Sell: Rank < 101 This sim sells everything each week, then buys the top five. Often this involves selling and buying the same stock, which should result in a wash (nosale), BUT P123 actually treats this as two transactions with DOUBLE commissions and slippage (instead of zero) and artificially inflating the turnover. I'm reporting this as an error. I also note that the feature request mentioned by Bill (bl82) is a much more flexible implementation of the basic idea. J ---------------------------------------- The smart money was on Goliath. "He's not the Messiah. He's a very naughty boy." ---------------------------------------- [Edit 6 times, last edit by jerrodmason at Aug 18, 2006 5:37:46 PM] |
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bobhaskell1495
Advanced Member UNITED STATES Joined: Apr 20, 2006 Posts: 172 Status: Offline |
Thank you. However, I already voted. -Bob |
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bobhaskell1495
Advanced Member UNITED STATES Joined: Apr 20, 2006 Posts: 172 Status: Offline |
Jerrod- Thank you for your rules. I tried them and got "Required Dates are not Loaded" "Try Again". I thought that maybe today's date was not loaded, so I backed up a day from today and tried again with the same result. So I took a month off each end of the run and tried again and still got the same result. Do you know what the problem might be? -Bob |
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forte
Member
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I'm having the same proble. Clearly the system is down. It would be nice to have the people in charge publish a notice to that effect so that everyone would kept up to date |
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bobhaskell1495
Advanced Member UNITED STATES Joined: Apr 20, 2006 Posts: 172 Status: Offline |
The problem seemed to be that I was running a sim on Saturday morning when Marco was doing the rebalancing. I ran a sim using Jerrod's rules on Filip's Super Value, 10 stocks, weekly rebalance, all possible dates, commission of $1 per trade, and got the following result: AR= 154 ATO= 5159 DD= 27 Sharpe=4.99 %win=57 I wouldn't want to use this with real money because the high turnover would hurt me with real commissions and slippage. It would help if Bill's Feature Request would be acted on (Poll 181). Then we could cut down on the turnover for the same strategy because we would not have to sell all the stocks each rebalance. -Bob |
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jerrodmason
Advanced Member UNITED STATES Joined: Jan 14, 2005 Posts: 599 Status: Offline |
Bob, I checked out your example to see about weekly turnover. At 43% (calculated average for 5 years of sim) it's high, but not as bad as it might seem. Here are the details on number of NoSales each week: 0 0% 1 0% 2 2% 3 8% 4 12% 5 21% 6 25% 7 22% 8 9% 9 2% 10 0% I suspect that a 20 stock sim would have a lower turnover. Will check. ---------------------------------------- The smart money was on Goliath. "He's not the Messiah. He's a very naughty boy." ---------------------------------------- [Edit 1 times, last edit by jerrodmason at Aug 20, 2006 6:28:48 PM] |
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