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Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: How to use booleans in rankings |
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stenci
Advanced Member
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I was trying to move as many buy rules as possible into the ranking (if XXX has Rank=99.9 and Price=4.99 and YYY has Rank=97 and Price=5.01 it is better to buy XXX than YYY, but the usual buy rule Price>5 would buy YYY), but I had some problems with the booleans in the ranking. I created a public ranking called "Balanced4 Price > 5" derived by Balanced4 with just one more boolean factor "Price > 5" with the 50% weight. I was expecting my new ranking with minimum price=0 and Balanced4 with minimum price=5 to have the same performance, but I was totally wrong. Instead there is a big difference. Can someone tell me why? Thanks, Stefano ---------------------------------------- 
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Sterling
Advanced Member
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I was waiting to see if someone more knowledgeable would reply but in lieu of that, here's my take: I'm guessing that the effect of your boolean factor was to effectively segregate stocks into a group with a price greater than 5 from ranks 50 to 100 and a group with a price less than 5 from ranks 0 to 50. I'm not sure why this is so because when using the screener it seems that approximately 65% of stocks are priced > 5 so I thought an obvious division would be shown around the 32-33 rank area. It is interesting though If the division line is at 50. You may have stumbled upon a useful method to assess performance of ranks between high priced stocks and low priced stocks. From the distribution of the group from ranks 50 to 100 it seems Balanced4 sorts higher priced stocks as expected with those with higher ranks having better performance. Those stocks with prices less than 5 don't seem to follow expectations of Balanced4 nearly as well which could be explained by their being less efficiently traded. The more extreme highs and lows would be in keeping with expectations of lower priced stocks. |
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