| Index | Recent Threads | Who's Online | User List | Search |
|
|
 |
Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: Looks like error in simulation |
|
Total posts in this thread: 3 |
[Request a Feature]
[Post new Thread] [Add To My Favorites] [Watch this Thread] |
| Author |
|
|
candid
Advanced Member UNITED STATES Joined: May 1, 2008 Posts: 23 Status: Offline |
Marco, I have 2 almost identical simulations: http://www.portfolio123.com/port_summary.jsp?portid=920807 and http://www.portfolio123.com/port_summary.jsp?portid=920811 The only difference is that 1-st one has starting Capital 55000 whereas 2-nd starting Capital is 45000. But the results are dramatically different: 1-st: 23% annual, whereas 2-nd only 14%. Comparing purchases I can see that sometime one of them misses opportunities. Namely: the 1-st one did not buy "STON" on 10/15/07 with rank 92.6. Instead it bought "WWE" on 3/3/08 with rank 88.7. Would you please take a look at this? I think the results of these 2 sims should be close. Thanks, Eugene |
||
|
|
marco
|
I don't think there's a problem. You have a sim that is not 100% invested all the time and holds ~6 stocks. The different starting capital and dividend stream could be affecting the tolerance in Position Sizing. Just one different stock can have compound effects, specially since your turnover is relatively low at < 100%. Finally you are only looking at 5 years. This is a recipe for volatility. The Market has had draw-downs of 50%. You have less volatility with 6 stocks. Try changing the starting date of your "good" sim by a few weeks. Everything will change. But that's ok. An 8% annual difference doesn't necessarily invalidate your system. Systems need to be tested for robustness across starting dates and parameters that matter to you, like starting capital. The optimizer was developed to help you test for robustness. It's still in beta but soon we will have video tutorials and formal launch. ---------------------------------------- Portfolio123 Staff |
||
|
|
candid
Advanced Member UNITED STATES Joined: May 1, 2008 Posts: 23 Status: Offline |
Hi Marco, Thanks for the response. I am sorry, but I could not find: can I make my simulation 100% invested? These 2 sims bought 5 same stocks at the beginning as it supposed to be and then 6-th one was different and in different date, though they had enough money to buy stock at approximately same amount of money. Unfortunately I have already rerun these sims so I am not able to demonstrate this again because my subscription does not allow to run it from the same date in this case. |
|||
|
| [Show Thread Printable Version] [Post new Thread] |
