| Index | Recent Threads | Who's Online | User List | Search |
|
|
 |
Portfolio123 » List all forums » Forum: Latest Release » Thread: New P123 model that showcases the new Chaikin indicators |
|
Total posts in this thread: 10 |
[Request a Feature] [Add To My Favorites] [Watch this Thread] |
| Author |
|
|
portfolio123
Advanced Member Joined: Jul 22, 2003 Posts: 75 Status: Offline |
A new P123 model has been launched. You can find it in the Portfolio->P123 Models in the "Market Timing" Category. This model was developed with the collaboration of Marc Gerstein and Marc Chaikin. Here are some statistics for the simulated results from 3/31/01 to 6/10/10: Ideal # of positions: 10 Annualized Returns: 43% Sharpe Ratio: 1.32 Alpha (since inception): 42.3% Alpha (last 3 years): 37.35% Realized Winners: 59% Chaikin Indicators - Market Timing Model Stocks form the Russell 2000 universe are selected based on their score under the Chaikin Indicators ranking system. The top ten stocks are selected (so long as each ranks at least 95) subject to a limitation that no sector may account for more than 25% of the portfolio. Purchases may occur only when market conditions are deemed bullish based on a flexible timing model. Under normal conditions, conditions are deemed bullish of the S&P 500 risk premium is at least 1% and if the 5-week moving average of the current-year consensus S&P 500 EPS estimate is above the 21-week moving average. During unusually volatile periods, defined as those during which the CBOE Volatility Indicator (the VIX) is 30 or above, the model switches to a faster-moving timing signal that is bullish only when the 5-day moving average of the price of the S&P 500 is above the 20-day average. Stocks are sold when the rank, under the Chaikin Indicators system, falls to 75 or lower. A stock with a rank above 75 won't be sold even if the market timing signal is bearish. Hence during bearish periods, the portfolio may hold fewer than ten stocks as some are sold due to drops in rank but not replaced. ---------------------------------------- [Edit 4 times, last edit by portfolio123 at Jun 11, 2010 3:11:57 PM] |
||
|
|
DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
After reviewing the charts for the above Sim I noticed that with only a Rank <= 75 sell rule the current stock holdings were held well after the market had declined and they became big losers. So I added one of my favorite market timing sell rules, increased the Rank sell rule to Rank < 85, no other changes, and re-ran the Sim. The results were an increase in the annual return from 43.5% to 47.7%, reduced the Max Drawdown from 27.7% to 19.4%, increased the % winners from 60.45% to 61%, and increased the Gain/Stock/Day from 0.163% to 0.183%. Also, the Sim was completely out of the market during the worst drawdowns. That’s all goodness. You can review my mod Sim Here: I then changed the Universe from the PRussell2000 to the NASDAQ. That resulted in an increase in the annual return of the original Sim from 43.5% to 50.5%, reduced the Max Drawdown from 27.7% to 18.6%, increased the % winners from 60.45% to 61.05%, and increased the Gain/Stock/Day from 0.163% to 0.190%. That’s a 40% increase in the gain per day for each day you hold the stocks. You can see that Sim here: Edit: there are some stocks that trade < $10,000 / day in the NASDAQ so be sure to add an approperate liquidity buy rule for your dollars invested / stock. 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 Jun 12, 2010 4:00:12 PM] |
||
|
|
Tomyani
Advanced Member
|
Marco, Thanks for the new features. Two in 1 week! Like christmas. Thanks also Denny for sharing. :) |
||
|
|
mv388158
Advanced Member  CANADA Joined: Aug 24, 2005 Posts: 44 Status: Offline |
Hello Denny, I only added the following sell rule which I think is yours to the SIM and the results were a bit better but I will let you and the community decide. Here is the sell rule: sma(5,0,#SPEPSCY) < sma(21,0,#SPEPSCY) & BenchClose(0) / BenchClose(10) < 0.99 Here is the SIM: http://www.portfolio123.com/port_summary.jsp?portid=492301 Regards, MV |
||
|
|
marcc
Member
|
Denny has posted a very interesting way to increase the returns from this strategy. The only drawback I see is that the annual turnover increases from 370% to almost 600% I have a different way to improve the results and keep the turnover down. I suggest lowering the Buy Rank >= 90 adding the following Industry buy Rank: FRank(" Pr13WRel%ChgInd") >=80 and adding the following sell rule Close(0) < ChaikinTrend(90,0) and ChaikinTrend(90,0) < ChaikinTrend(90,1) This improves the return on the PRussell2000 to 50.50 but keeps the annual turnover at 367% Denny's rules do however yield a profit so far for 2010 while my changes still result in a - 7% loss so far because i am not using Denny's more aggressive sell rule. |
||
|
|
dkalmuk
Advanced Member
|
On a bit of a tangent but somewhat related - I had been fiddling with this sim and tried running it through Stefano's tool to see how consistently it performed across different timeframes - I ended up getting the following error though - just wondering if some support missing for the full range of Universes in the tool? Error: ID not found: universe:NASDAQ Exchange |
||
|
|
igorw
Member
|
Hi guys. What formula is being used to calculate a ChaikinTrend indicator? |
||
|
|
DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Igor, you can see the Chaikin ranking system Here: The Buy Timing rule is: Eval(Close(0,GetSeries("$VIX")) >=30, sma(5,0,#bench)>sma(20,0,#bench),close(0,#SPRP)>=1 and sma(5,0,#SPEPSCY)>sma(21,0,#SPEPSCY)) The various timing Sell Rules in the order mentioned above are: Benchclose(0) / Benchclose(5) < 0.98 & sma(5,0,#bench)<sma(20,0,#bench)* 0.98 sma(5,0,#SPEPSCY) < sma(21,0,#SPEPSCY) & BenchClose(0) / BenchClose(10) < 0.99 Close(0) < ChaikinTrend(90,0) and ChaikinTrend(90,0) < ChaikinTrend(90,1) 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 |
||
|
|
tiltonhouse
Advanced Member
|
I think Igor's question was "how are the Chaikin Indicators calculated?" meaning if I wanted to recreate these indicators in a spreadsheet or other platform, what is the equation. At least, that's what I would like to see in the Help - Full Description.  ---------------------------------------- [Edit 1 times, last edit by tiltonhouse at Jun 21, 2010 10:15:48 PM] |
||
|
|
igorw
Member
|
thank you tiltonhouse :) Right. The question was not about the system but about specifically ChaikinTrend indicator (which is used heavily in a chaikin system). |
||
|
| [Show Thread Printable Version] |
Re: New P123 model that showcases the new Chaikin indicators
