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Portfolio123 » List all forums » Forum: Ranking Systems and Factors/Functions » Thread: Correction Resistant Ranking and Sim. |
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Total posts in this thread: 2 |
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gfagerlin
Advanced Member
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I have been using Dan's latest spreadsheets to see if I could develop a ranking and sim that worked well over the last year and the last 5 years. Hear is a simple 1 year, 5 stock sim that cruises through the last year rather well. Sim and rank performance graphs are below. I find the low drawdown intriguing. Fees are 0 but the sim can handle commissions and slippage. I used a liquidity screen for the ranking but the same screen factors are in the buy rules for those that do not have access to this feature. Adding the ranking factors to the existing public Top Factors rankings improves results. I am making this public in keeping with Dan's sharing of his work. I encourage others to develop ideas/improvements and share them with the community. A challenge! I think the results can be improved by at least a factor of 2. Glenn Fagerlin ---------------------------------------- 
TF Corr. Resist 1yr 5stk F0.bmp
(270054 bytes)
(Download Count: 190)
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RankPerf TF GWF Correction Resistent 0907 0908.bmp
(750054 bytes)
(Download Count: 190)
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ashpak001
Advanced Member
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It got smashed in October ... http://www.portfolio123.com/port_summary.jsp?portid=399621 |
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