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Portfolio123 » List all forums » Forum: Ranking Systems and Factors/Functions » Thread: When should we update our Ranking Systems? |
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Total posts in this thread: 6 |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1530 Status: Offline |
Marco, You said; “Still working on Insider data, some Institutional Ownership ratios, a few estimate ratios and Short Interest.” We need a clarification of how you will handle these (and other) items when you get them updated. I (we) have many Ranking Systems that use those factors in them now. Currently all of them are NA if we run test on the Ranking Systems or try to update Sims that use them. After you get these factors updated, will our current Ranking Systems that use them work correctly again, or will we have to redesign them to use some equivalent factors. If the Ranking Systems will work correctly at a later date then for now we can wait and concentrate of systems that don’t use them. 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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theilman
Advanced Member
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Bump. The 10th is Tuesday, and I would like to confirm I can go live with strategies that depend on factors Denny listed below. Thanks, Ted
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marco
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By this weekend I'll have a full report on missing/completed ratios. Marco ---------------------------------------- Portfolio123 Staff |
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xinmun
Member
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Marco, SI%ShsOut seems to not be working like before. This factor combined with just few others was source of very good results in best public ranking systems. Now it doesn't do much difference if you remove that from them... Is there any chance of counting short interest factors like Reuters did??? Their way clearly has been giving much, much better results.... |
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marco
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xinmun, can you elaborate? What ranking system? Where is the difference? In a simulation or rank performance test ? A simulation is much more sensitive since it involves a few stocks. One potential source of difference is that Compustat only has bi-monthly updates on short interest number of shares since 07, before that it was monthly. I think reuters had more frequent updates but not 100% sure since the exchanges hold that data. What we get is what we get, there's no computation going on. We might be able to get more data from exchanges directly. FYI, Reuters no longer offers short interest via their feeds. The exchanges, i think, demanded more $$ for the data, and data providers had to do some legal work in order to be able to distribute it. Apparently Reuters didn't feel like it was worth it. ---------------------------------------- Portfolio123 Staff |
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xinmun
Member
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For example an old sim http://www.portfolio123.com/port_summary.jsp?portid=343713&st=1 While you re-run this one now it's annual yield drops by 1/3. After 08 return is down significantly too |
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When should we update our Ranking Systems?
