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brettldouglas
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UNITED STATES
Joined: Dec 24, 2006
Posts: 15
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How To Exclude/Include Months From Ranking Performance Tests

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Hi All,

I'm interested in doing some testing to see which ranking systems work better during the summer months, which ones work better during the winter months, etc. I know I could do this by going to Ranking/Performance and testing during summer 2001, summer 2002, summer 2003, ........., summer 2011, the aggregating all the results. Is there an easier way to do this in a single performance test.

Thanks,

Brett

[Oct 24, 2011 7:57:21 AM]

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plan_trader
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AUSTRALIA
Joined: Dec 15, 2007
Posts: 92
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Re: How To Exclude/Include Months From Ranking Performance Tests

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Use an exposure list. Go to 'MY 123' and select 'Lists' then select 'Exposure' on left side. When you choose 'new' there are instructions on how to enter your dates. When running a sim, under the 'period & restrictions' tab, you select your exposure list from the drop down box.
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Gary

[Oct 24, 2011 3:44:29 PM]

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azinvestor
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UNITED STATES
Joined: May 28, 2004
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Re: How To Exclude/Include Months From Ranking Performance Tests

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Hi Brett,

If you are running a sim, you can also use the "Month" function. For example if you do not want to buy in June then you can have a buy rule "Month != 6". If you do not want to have any holdings in June then also add a sell rule "Month = 6".

I hope this helps.

KJ

[Oct 24, 2011 10:10:29 PM]

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dwpeters
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UNITED STATES
Joined: Feb 10, 2007
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Re: How To Exclude/Include Months From Ranking Performance Tests

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It's probably easiest to measure the ranking via a sim as already suggested, but a way to measure the ranking system directly would be to run a ranking performance test with historical returns. Then you could download the results to a spreadsheet and look at whatever timeframes you want.

Don

[Oct 24, 2011 11:21:26 PM]

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brettldouglas
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UNITED STATES
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Re: How To Exclude/Include Months From Ranking Performance Tests

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Thank you all for the suggested solutions. I forgot all about the historical returns feature. It's easy to overlook on the Rankings:Performance menu.

[Oct 25, 2011 9:45:00 AM]

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SammyGreen
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UNITED STATES
Joined: Nov 2, 2011
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Re: How To Exclude/Include Months From Ranking Performance Tests

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Recently witnessed the forum and learned a bit about the ranking system.
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[Edit 1 times, last edit by SammyGreen at Nov 2, 2011 12:24:44 AM]

[Nov 2, 2011 12:21:46 AM]

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