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Portfolio123 » List all forums » Forum: Feature Suggestions » Thread: Feature Request: Ranking System Performance for a Specified Stock Universe |
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Total posts in this thread: 8 |
[Request a Feature] [Add To My Favorites] [Watch this Thread] |
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linzjonz
Advanced Member
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It would be useful to be able to assess ranking system performance for a given stock universe e.g. SP500. Currently the "universe" is limited to Stock Price > $X and/or a specified Industry group. Could this be expanded to include the Universe definitions we can use elsewhere. (vote early and often for this one !!) View the feature request here. |
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eric1g
Member
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What is the status of this feature request? I ask because I'd like to test a long-short strategy that picks the best of the SP500 and the worst of the SP500 universe (top 100, bottom 100) using various rankings, and then analyze the spread. I have Buy rules like Rank>80 or Rank<20, but it appears that their are only 30 or so names with Rank<20 so the portfolio is mostly cash, (not what I was hoping for) |
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marco
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Now that we have historically correct uyniverse this request make sense. There's two ways to go about this. First method: Simply add a universe filter. The ranking system will still rank all the stocks but only report performances for the stocks in the universe. The problem with this is that the distribution of the ranks for the sp500 stocks is heavily dependend on the inputs. For example assume you have a ranking system with only MarketCap as the input. In a 10 bucket system, all the sp500 stocks would be in the top bucket. Second method: Only supply the stocks in the universe to the ranking system. This method is quite a bit more complicated but I think it's a better trade off since it overcomes the aforementioned problem. The problem with this solution (if it is a problem) is that when running a simulation/port the stock will be sold as soon as it drops out of the universe since no rank will exist. Comments? ---------------------------------------- Portfolio123 Staff |
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jimchill
Advanced Member
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Marco I agree with your assessment. Only the stocks in the given universe should be ranked against each other. The only advantage I see for the first approach is that if one looks at the ranks of stocks in the limited universe vs spe500 and finds that they are distributed in the lower ranks, this might mean this universe is not doing well vs the sp500. Perhaps you can have an input that is of the type: Universe/sp500 to use as a relative strength indicator. If this ratio is too low, perhaps a non buy signal. Jim |
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marco
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This feature is now available in the Simulations/Portfolios and Ranking System "Performance" and "Ranks" pages. It will also be available for the screener shortly. We're also planning to add the Russell 1K anbd 3K shortly. ---------------------------------------- Portfolio123 Staff |
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marco
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NOTE: to only rank within a universe in sims and portfolios pick the universe from the dropdown in "Step 2: Select a Ranking System". ---------------------------------------- Portfolio123 Staff |
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longfei
Member
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Marco, can clarify that only the ubverse is supplied to the ranking system?(filter the universe first then rank), ie second method? thanks -LF |
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gviersen
Advanced Member
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Thank you, this is a great addition and will be even better when the Russell universes are added. In talking with experienced money managers about my strategies, I am always asked how it performs within the index companies. Two questions about the feature: 1) In the discussion about survivor bias, I forget where we ended up. Do the universes still have survivor bias (i.e., the SP500 universe is only made up of the CURRENT SP500) or has that been corrected? 2) Does the universe filter apply to any FRANK commands within the sim/port or do those still work as before? If they remain as before, would it be possible to add a Universe input variable to those commands that uses the same logic as this sim/port filter? Thanks. Gary |
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