| Index | Recent Threads | Who's Online | User List | Search |
|
|
 |
Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: daily rebalancing of Ports and Sims |
|
Total posts in this thread: 11
|
[Request a Feature]
[Post new Thread] [Add To My Favorites] [Watch this Thread] |
| Author |
|
|
LawrenceKohl
Advanced Member
|
Marco et al: Now that Ports can reblance daily it is indeed critical that Sims also reblance daily. Those of us who are working on models that require reblancing in less than a week are, unfortunately and misleadingly verifing them with a sim that reranks once a week. Sims look back, while ports look forward. A sim that one reblances during the week will still be using the once a week rank....it will show buys and sells that will not show up in the port because the rank changes daily in the port. Thus for example on a Thursday a sim reports that has bought stock XYZ on Wednesday because according to its rank from the start of the week and the other factors it has risen to the top. The port, however, due to daily reblancing, sees that the rank of XYZ is less than someother stock, like ABC, and recomends it instead. Or, as I am seeing with the restrictive rules I am using...the sim reports buy and sells that never come up in the port...and the port trades much less often and with different stocks that the sim! Daily sim reblancing, of necessity, should be, excuse me to be so extreme, the highest prority...otherwise we are swiming in the dark...and perhaps without realizing it making decisions that are believed to be based upon sim backtesting , that simply are not! Thanks, Lawrence |
||
|
|
jpkernot
Advanced Member UNITED KINGDOM Joined: Oct 9, 2005 Posts: 223 Status: Offline |
But can't you set your rebalance to 'Daily' on your sim? I can. The rebalance frequency must be set to 'Daily', You need to scroll down to the bottom of the dropdown list which is of course counter intuitive as now 'Daily' comes after 'One Year' ! ---------------------------------------- Thanks! |
||
|
|
LawrenceKohl
Advanced Member
|
jpkernot, Marco et al: This is exactly the type of confusion that I mean...jpkernot yes you can reblance on the sim daily...BUT it uses the ranking from the previous weekend...for the sim you get a new rank once a week...for the port you get a new rank each day...this is because of the amount of historical data that would have to be taken and maintained each day according to, from what I understand, a previous post by Marco, BUT...if we are going to reblance our ports on a daily basis and have models that require rebalancing within the week then we have got to have RANKINGS FOR SIMS on a daily bais . Lawrence |
||
|
|
pennywise
Advanced Member
|
I've submitted a feature request to add an option to the rebalance screen that allows you to choose between using the rank from the weekend's data or the daily data. While this solution isn't ideal it would allow those of us that have daily rebalanced portfolios to reproduce the behavior of a daily rebalanced simulation. By the way, you can view a similar discussion in the thread Discrepancies between simulations and portfolios. - Erik |
||
|
|
DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
All, I agree that if we are going to run daily Ports, for accuracy and robustness we need to be able to test them with daily Sims using price and volume info for each trading day. This is especially important with Sims that are heavy on TA factors in the Ranking System. However, what we are asking for is a formidable task for Marco and crew. There are 1769 public ranking systems, 12 P123 systems, and who knows how many private systems (I have 126). There are about 1500 trading days in the current 6 years of data, of which there are about 300 weekend snapshots of fundamental, price, and volume data for each of over 7000 stocks. To give us daily Sim ranking ability P123 has to fill in all the missing calculations for all the factors and functions that have any price and/or volume data for everyone’s Ranking Systems. This includes all of the new TA functions that have been added over the last year. Granted, there are many Ranking Systems that might not have price or volume data in any of there factors, but if there are any momentum, gain, or return factors a calculation will have to be made. So we have somewhere like: About 1800 Ranking Systems X 1200 additional days of data needed X 7000 stocks = 15,000,000,000 calculations to perform in order to fill in the daily data needed, and that assumes that there is only 1 factor or function in each Ranking System that needs to be calculated. Marco might be able to set up the system so that it doesn’t make any of the daily calculations needed unless you run a daily Sim, and then the calculations are made for that Ranking System, and stored so that if you run another daily Sim using that system the values won’t have to be calculated again. But even this requires a calculation for each factor in your system that has a reference to price or volume in it X the 7000 stocks X the 1200 Days. I for one would like him to spend any spare time he has giving us additional years of data to test over before we start worrying about filling in the missing data for daily Sims. The best way to handle daily Sims now is to try to put all price and volume factors in the Buy and Sell Rules instead of the Ranking System. This way the calculations will be made for every trading day. I realize for many factors it is better to rank them instead of filter them, but that is the best we can do at this time. 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 |
||
|
|
LawrenceKohl
Advanced Member
|
Denny, Marco et al I do agree that the amount of data to be processed is big, big, big, big...but too big I do not know....Marco, what is possible?. I realize that many have asked for more years back, but I am indeed puzzled: how would more years back would make the sims better than having the years we do have more accurate? I am trying to get a grasp on this, for I do want to support what is reasonable.... Thanks, Lawrence |
||
|
|
hmorris48
Advanced Member UNITED STATES Joined: Feb 24, 2007 Posts: 76 Status: Offline |
Denny, The problem isn't only price/volume but fundamental data as well. A daily rebalanced portfolio will see the daily changes in fundamental data while the daily rebalanced simulation will only see the weekly snapshots of the fundamental data. Since many of the popular ranking system are based mostly on fundament data, the daily/weekly differences could be quite large. I believe the storage of daily fundamental data is the big problem facing p123. Herb ---------------------------------------- The holy grail of trading system design is a perfectly smooth equity curve. Beyond Technical Analysis |
||
|
|
DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Herb, Most of the fundamental data is only updated by Reuters after each stock’s quarterly update. Some of it, like earning estimates and dividend info, would also be available from Reuters during the week. Currently P123 only gets a download of fundamental data from Reuters on Saturday, and has been doing this for 6 years now. However, there are many "fundamental" factors that have price or volume in there calculations. The P123 data set has price and volume data for each trading day. So P123 could calculate new values for those fundamental factors that have price or volume in their calculations. For all other fundamental factors that Reuters might have available that were originally released during the week, I think P123 would have to buy that data. I agree, that besides the time to calculate all the daily data and the cost to buy the intraweek fundamental data, the storage of all the new data is huge. 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 |
||
|
|
hmorris48
Advanced Member UNITED STATES Joined: Feb 24, 2007 Posts: 76 Status: Offline |
Denny, Thanks for the reply. I was using marco's feature request as a base for my statements. Feature Request: Daily update of fundamentals (http://www.portfolio123.com/mvnforum/viewthread?lastpage=yes&thread=2619 started by marco (which was completed in Dec 2006) At the moment fundamental ratios are updated once a week which means that the rank only changes weekly. The screener also uses weekly values for the ratios (although it uses the previous day prices for the price based formulas, like moving averages). Daily fundamental updates would mean better results from the screener and also updated ranks used in the rebalance process of portfolios. The former could be significant if rebalancing is done later in the week. Herb ---------------------------------------- The holy grail of trading system design is a perfectly smooth equity curve. Beyond Technical Analysis |
||
|
|
DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Herb, I think that you meant to use this link to Marco's post : The one you included was to your original Post. All, The current process was explained by Marco in this post : Although P123 has been calculating daily rank values since December, they are not keeping the data. They are only keeping the weekend data. I think that this is/was a mistake. If they had kept the data since December we would now have 6 months of data to back test daily Sims over. The additional data could be gradually filled in over time as they brought additional storage capacity online (and we paid more for our subscriptions). 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 Jul 2, 2007 1:24:41 PM] |
||
|
|
[Show Thread Printable Version] [Post new Thread] |
Re: daily rebalancing of Ports and Sims
Re: daily rebalancing of Ports and Sims
