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Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: Screening for stocks using buy rules from simulation |
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Total posts in this thread: 8 |
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mitko
Member  UNITED STATES Joined: Mar 12, 2004 Posts: 15 Status: Offline |
Marco, I am trying to generate a list of stocks using same buy rules as in one of my simulations (6 AllCap Momentum). However one of the rules (PctAvgDailyTot(20) < 5) causes an error in the screener. Is there a good reason for this rule not to work in the screener. Can this be fixed? Is there another way to generate that list of stocks at any time? Regards, Mitko |
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marco
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Yes. PctAvgDailyTot uses as one of the inputs the amount that your portfolio is buying. This input is not available in the screener, but you can aproximate it. If your portfolio buys $5,000 positions, then you can use: .05 * AvgDailyTot(20) > 5000 This means that 5% of the average amount traded in the past 20 trading days is greater than $5,000. ---------------------------------------- Portfolio123 Staff |
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mitko
Member UNITED STATES Joined: Mar 12, 2004 Posts: 15 Status: Offline |
I tried the same simulation using the suggested formula but the returns are much lower (64% Total Return vs. 104 using the original buy rule). Will PctAvgDailyTot(20) < 5 as a buy rule be available in the screener any time soon? |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
mitko, What Marco was recommending, was to change the Buy Rule to (.05 * AvgDailyTot(20) > 5000) in a temporary Sim just for the purpose of running the Screener at any given date. By inputting the $ value that your original Sim would have used to buy stocks on that date (for the sample $5000 above), the Screener will use the same $ value and list the same stocks in the same order that the original Sim would have. This a good work around for this peculiar Buy Rule. This change will completely change the performance of the original Sim since it buys a fixed value of each stock whereas the original buy rule will buy an increasing (or decreasing) value of stocks as the Sims total value increases (or decreases). But for the purpose of running your Sim’s rules in the Screener at a given date, this change will work fine. The screener can't evaluate the Buy Rule (PctAvgDailyTot(20) < 5) since it depends on the initial value of the Sim, number of stocks bought and how much the Sim has grown in value up to the date you are evaluating in the Screener. These inputs are unavailable and relatively meaningless to the Screener. 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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mitko
Member UNITED STATES Joined: Mar 12, 2004 Posts: 15 Status: Offline |
OK, after I took the time to really understand what 'PctAvgDailyTot(20) < 5' really means, I see why it does not make sense to be available in the screener. So at this point I would like to suggest a new feature: Under Simulation page, I would like to be able to generate the portfolio as of certain date (default should be today). Mitko |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Hey, I like that Idea! 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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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Mitko, I was reviewing some old posts and ran across this Question of yours that was never answered. There is a way to generate the portfolio as of certain date. Go to Holdings on the Summery Page, and select Historical Holdings, and enter the date that you want to view the portfolio holdings. 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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mitko
Member UNITED STATES Joined: Mar 12, 2004 Posts: 15 Status: Offline |
Thanks Denny, I tried your suggestion but I don't think that the portfolio is generated as of the specified date. I think it just shows what the holdings were as of the specified date. Some of the stocks were purchased much earlier than the specified date. Actually the simplest way to generate portfolio as of a certain date is to set the Start Date at the last page of a simulation to the desired date. This is useful to analyze how a simulation behaves during historic market peeks where many winning stocks are sharply falling down. Mitko |
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Re: Screening for stocks using buy rules from simulation
