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Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: When is data updated |
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charles123
Advanced Member
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If I want to start a portfolio that will mirror its respective backtest. Should I get recommendations on Saturday or on Monday morning. In other words when running a backtest on a weekly basis it looks like it takes the recommendations from a Saturday download and then buys that Monday. Is that correct? |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Charles, You can start the portfolio at any time after the new data for Friday's prices and the fundamental data is updated on Saturday afternoon, until Monday night before the new data is up dated for Monday’s prices (usually at midnight). There will be no changes in the data between these times. If you want to buy the stocks on Monday morning that the Port recommends over the weekend, then start the Port any time before the market opens Monday so you will be ready to buy Monday morning. You have 2 options to mirror (almost) the Sim: When you start the Port and get to Step 6 select Get Recommendations, and (after checking the charts and news on the recommendations) select Generate Portfolio. Or, when you start the Port and get to Step 6 select Manually Enter Positions. You will then be presented a table to enter all the stocks and prices that the Sim is currently holding. However, in either case there will be some differences with respect to the Sim. In the first example the new Port will recommend the highest ranked stocks that meet the Buy Rules. While the stocks that the Sim will be holding at the time will be stocks that it bought some time in the past, and they may not be the highest ranked stocks anymore, so you might get some different stocks recommended. Also in either case, some of the Sim’s stocks may be sold in the next week or so do a Sell Rule that would not apply yet to the same stock that the Port just bought. For example, the Sim might have a PctFromHi < -20 Sell Rule and a stock might have lost 15% from its high already, and if it looses 5% next week the Sim would sell it, but since the Port just bought it, it would only be down 5% so the Port would keep it. There are many other Sell Rules that could cause the Sim to sell some of its holdings before the new Port would. Because of this it is not likely that the new Port would completely mirror what the Sim would do in the future. You should ask yourself if you actually want to, or need to mirror the Sim. Since the Sim only gives you the returns that you might have achieved if you had started a Port in the past on the Sims inception date, and a probability of similar returns in the future, is there actually any real value in mirroring the Sims actual current holdings? When I start a new Port I select the latest recommendations since they will have the highest rank value. I don’t want to buy a stock that may be on its last leg in the 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 ---------------------------------------- [Edit 1 times, last edit by DennyHalwes at Mar 16, 2007 1:23:49 PM] |
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charles123
Advanced Member
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Thanks Denny. I was only looking to mirror the Sim so that in the future if I run the Sim with the same inception date as my port I should get the same picks and results. This is just a way to verify the Sim is accurate. I ask this because I created a Port before on a Monday and it shows they were bought on the Tues. When I run a Sim with an inception date on that Monday I got different inital picks. I would think they should be the same. The only explanation I came up with is that if the Port was created on Sunday the picks would match the SIM, but since I created it on Monday the ranks were different from Sunday. Make sense? |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Charles, Well, the way I understand it works, what you said doesn't make sense. If you create a Port on Monday (before midnight) it should use Friday's close price data and Saturday's rank data. If you create a Port today (03/16/07) it will use yesterdays price data, and have an inception date of 03/15/07 (I just tried it to make sure). So I don't know how you could have started it on Monday and it would have a Tuesday inception date. Are you sure you didn't start it on Wednesday? Why don’t you re-run the Sim with a Wednesday start date and see what it buys. 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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charles123
Advanced Member
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Here is the example. I just pasted the screen shots into Word. The inception date is 2/5/07, and the first transaction takes place on 2/6/07. When I run SIM with the inception date of 2/5/07. I get different picks. Let me know if the word doc. makes sense. ---------------------------------------- 
Portfolio.doc
(148992 bytes)
(Download Count: 6)
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Charles, OK, I reviewed your Word Doc. It is showing the inception date was 02/05/07 and the stocks were bought on 02/06/07. What actually occurred was you started the Port on 02/06/07, a Tuesday (since when you start a Port It buys the initial stocks at that time), it used the price data from 02/05/07 (thus the inception date, the date that the Port uses the data to recommend the buys), and it bought the stocks on 02/06/06 assuming the price for the open on 02/06/07 was the same as the price for the close on 02/05/07 + the slippage and commissions (if you entered any on Step 1). You can verify that by starting a Port today. The date for the inception would be yesterday and the purchase date will be today. This is how it is meant to work. So if you start a Sim with a start date of 02/06/07 it should buy the same stocks as the Port did (maybe!). 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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Re: When is data updated
