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Portfolio123 » List all forums » Forum: Exchange Traded Funds (ETF) discussions » Thread: Daily vs weekly ETF sim perform very diff - is this a ETF sim bug? |
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Total posts in this thread: 8 |
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kbellare
Advanced Member
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I have 2 ETF Sims (below) with the same ranking system and buy/sell rules (sell after 5 bars/week), and both start on Monday, for the same 3-yr period - one runs daily vs the other weekly. -> Why do they perform so differently? Is this a ETF simulation bug (i thought the daily price is used in both sims - I'm not using any fundamental factors) Daily sim - http://68.165.65.180/port_summary.jsp?portid=554246 Performance - AR 1%, DD -57% Weekly sim - http://68.165.65.180/port_summary.jsp?portid=547465 Performance - AR 46%, DD -38% |
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Stittsville123
Advanced Member
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Kiran - there may be a couple of reasons why the results are different. For one, you are using NoBars > 4. (I believe) NoBars counts trading days so holidays would change the results versus a weekly rebalance. The average trade length for the daily system is 8.xx days. You could try NoDays instead i.e. NoDays > 4. The second thing is to make sure you start your simulation at the start of the week. Steve |
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dwpeters
Advanced Member
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Hi, Also might be interesting to start the daily on different days, to see how the results change. If it is robust results should be reasonably similar. Don |
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kbellare
Advanced Member
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I tried noDays>6 and started both sims on Monday. The daily sims shows different results depending on day-of-week (AR 1% vs -34%) - is this because the data feed on ETF factors isn't refreshed daily or is the system not robust? (I'm using any fundamental factors, but you could check my public sims) - Also, still can't explain why weekly and daily sims should differ so much? thanks Kiran |
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kbellare
Advanced Member
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Any responses to the issue below? thanks Kiran |
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Stittsville123
Advanced Member
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Kiran - what is the average trade length for each sim? Steve |
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kbellare
Advanced Member
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I can't access http://68.165.65.180/port_summary.jsp?portid=547465 Has the beta ETF sim site been moved? Where can we run ETF simulations? |
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Stittsville123
Advanced Member
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ETF simulations are "live" now. No need for a beta site to run them. Steve |
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