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Portfolio123 » List all forums » Forum: Errors » Thread: Bucket Errors |
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Total posts in this thread: 10 |
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rmhi
Advanced Member UNITED STATES Joined: Jan 23, 2009 Posts: 165 Status: Offline |
Hello, I was running several time scenarios on the P123 home page on the Balanced Four "buckets". My guess is the Balanced Four bucket reports are in error as the lower the ranking the higher the returns. As a test I ran the buckets using the March market bottom at the finish date and the bucket returns still seem to be inverted....worst is now best. FYI |
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Stittsville123
Advanced Member
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I don't see bucket errors. When run over a long period of time (since 2001) the buckets look good. When run over 1 or 2 years the buckets are inverted. This reflects the market conditions for the last while. Steve |
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strader1
Advanced Member
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Marco, Stitts, and All: I re-ran a ranking system and compared it to my notes. The top buckets, while not an exact match, were fair. However, the bottom buckets went from a loss to over 300% giving the profile an "inverted" look. --Bill |
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rmhi
Advanced Member UNITED STATES Joined: Jan 23, 2009 Posts: 165 Status: Offline |
I reran the buckets again this morning, with all due respect how could the worst buckets be showing any gain whatsoever at the market bottom? This morning I ran the simulation from 2001 to 2/28/09 and the worst buckets were the top performers once again. When I ran those same simulations earlier this Spring at or near the bottom in March those bottom buckets were deeply in loss territory. There should be no difference using the same time periods. I am not contesting the top buckets, only the appearance of a revision to the bottom tiers. |
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Stittsville123
Advanced Member
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OK Guys - provide details - universe, rebalance frequency, etc, etc. Steve |
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strader1
Advanced Member
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Marco, Steve, & All: When I ran the identical test on 1/9/09 the bottom three (non S&P) buckets all had negative returns. --Bill ---------------------------------------- 
BucketErr.png
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strader1
Advanced Member
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Marco: If the code doesn't execute in real time the same way it tested then what exactly is the value of P123? I view the above discrepancy as being very serious. It is all the more so in light of what happened with Sharpe(...). --Bill |
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marco
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Bill, The Min Price in the RankPerformance page is not being used. This has been so for about 2 weeks. The spikes are due to penny stocks being included in the buckets. It does not affect any other tools except the Rank Performance page. We should have a fix by tomorrow. We apologize for the inconvenience, and thank you. Marco ---------------------------------------- Portfolio123 Staff |
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marco
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Should be ok now. Thanks again Bill. ---------------------------------------- Portfolio123 Staff |
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strader1
Advanced Member
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Marco: Looks good now. Thanks for fixing it. --Bill |
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