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Portfolio123 » List all forums » Forum: Feature Suggestions » Thread: Daily Rebalancing feature? |
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Total posts in this thread: 10 |
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scarissimo
Advanced Member  UNITED STATES Joined: Apr 18, 2004 Posts: 48 Status: Offline |
I was wondering if its possible to add a daily rebalancing feature. I realize that Rankings are recalculated every Saterday, but I have a Sell Rule which is strickly technical and if not caught right on the trigger day my losses just keep adding up until the following Saterday when the system notifies me to sell. I've only tested this in a Simulation so fare. I suppose I could do a manual daily rebalance but I would like to Backtest the system with a daily rebalance first :-) Any thoughts or suggestion? -Stefano ---------------------------------------- AbsoluteReturns.com |
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marco
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We've added Daily rebalance for simulations! When the rebalance frequency is set to DAILY, the sell rules are evaluated during the week. If a sells occur, a new stocks are bought. NOTE: The stocks are only ranked once a week. If a sell occurs on Friday, the ranks that will be used will be as of the last weekend. There is no way for us to make ranks available daily for simulations. NOTE2: to make sure your positions don't get sold repeatedly, make sure yo balance out buy and sell rules. For example if you use a Sell rule like: Close(0) < SMA(200) Make sure you add the following buy rule: Close(0) > SMA(200) ---------------------------------------- Portfolio123 Staff ---------------------------------------- [Edit 1 times, last edit by marco at Aug 15, 2005 1:56:50 AM] |
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marco
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Clarification: Daily rebalancing for portfolios is not available yet. In other words your live portfolios will onle generate recommendations once a week (in the weekend after the data update). You can rebalance daily manually for now though. ---------------------------------------- Portfolio123 Staff |
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jerrodmason
Advanced Member UNITED STATES Joined: Jan 14, 2005 Posts: 599 Status: Offline |
Given that Ranks only change weekly, it seems to me that any ranking system that uses price or volume in any way will be distorted. This is not limited to the obvious momentum factors such as Pr4W%; it also may include such things as PEG. Question for Marco: Are PE, PEG, EMA, MACD and similar factors/functions accurate on a daily basis? Or is it only the Price & Volume that's updated? Maybe the daily rebalance should be used judiciously, perhaps only for implementing stops (Position-based factors) in Sell rules, and maybe not for Buys. I can live with this; don't mind holding cash for a few days. I haven't thought it all through, but it seems that daily rebalance is greatly improved if two other Feature Requests are implemented: (1) Brian's"RankDays" factor (2) My Historic Value function These would work together to let you set Buy rules that are consistent with the ranking system. ---------------------------------------- The smart money was on Goliath. "He's not the Messiah. He's a very naughty boy." |
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BJS
Advanced Member
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Jerrod, Daily rebalancing also opens the door to using more technical indicators as they become available. For example, with weekly rebalancing, using a DMI crossover would probably be difficult, because you could be up to 4 days late on the crossover. But for people who are going to want to use daily rebalancing, technical triggers become more important. But piece by piece, this is all coming together, thanks to Marco and company. Brian |
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marco
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Jerrod, PE, PEG and any other technical+fundamental factor are only available weekly for simulations (It will be available as of the previous day for the "live" portfolios) EMA, MACD, Close(0) etc, are price based functions and are available daily for sims that rebalance daily. ---------------------------------------- Portfolio123 Staff |
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jimchill
Advanced Member
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Marco This is a good improvement for those sims that use weekly ranking models. Is it possible to expand it slightly as follows: a. First choose ranking: weekly, monthly, quarterly b. Then choose daily if one wants price based rules to apply on a daily basis rather than the period used for ranking. This would permit us to use a sim that uses a monthly ranking model, for example, but close out a stock if it becomes technically weak during the month. Jim |
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azouz
Advanced Member
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Marco, when will the daily rebalance of portfolio will be implemented ? manualy rebalancing isn't a good idea for someone that have lot of portfolios. |
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markajohn
Advanced Member
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marco, In light of this:
I would be interested in your thoughts on another recent thread: http://www.portfolio123.com/mvnforum/viewthread?lastpage=yes&thread=1527#5844 which starts off with this question:
At first glance, it seems like this would create a lot of churning. TIA MJ |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
MJ, I scanned through the stocks that were bought by Value w/Momentum (Transactions: All), and found that out of 459 stocks bought, only 4 were bought with a rank value less than 99; 3 of those were bought with a rank of 98.9, and 1 with a rank of 98.8. This occurred during the months of June and July of 2001 when the S&P500 was falling toward a 22% loss. All 4 were sold 1 week later due to the rank < 99 rule. 3 of the 4 had small gains and the 4th had a small loss. So although the Buy Rule; Rank > 98 caused churning of these 4 stocks it was less than 1 % of the stocks bought. I long ago had changed my Buy Rule to Rank > 99, but it doesn't look like it would make a significant difference either way. So I re-ran new Sims with the Buy Rule Rank > 98 and Rank > 99. The results are: Rank > 98; annual return = 52.91, and Max drawdown = 25.53 Rank > 99; annual return = 53.12, and max drawdown = 25.50 Rank > 99 makes more sense and works better. I'll continue to go with that. 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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Re: Daily Rebalancing feature?
Re: Daily Rebalancing feature?
