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Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: Updated single-factor ranking system performance charts |
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Total posts in this thread: 92
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danparquette
Advanced Member
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Rick, Here are the possible fixes: 1) Do you have the "Enable Row Click..." checkbox checked? (its in cell AY2) 2) Go to Tools in the Excel menu. Pick Options. Go to the Calculations tab. Make sure "Automatic" is selected. (These are the instructions for Office2000 - they may be a little different or other versions) Let me know if it still does not work. ---------------------------------------- Dan |
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rickg777
Advanced Member
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Dan, Maybe it's because I don't have Excel installed, and only the viewer? Rick |
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danparquette
Advanced Member
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Rick, Could be. I've never used the viewer, but I looked on the Microsoft site and it says that the viewer cannot edit the data - so my guess would be that this would prohibit the code I wrote from executing and also prohibit the chart from being updated. ---------------------------------------- Dan |
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danparquette
Advanced Member
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I recreated all the single factor performance charts with data from 3/31/01-12/24/05. See the attached Excel file. There are about a hundred new factors and formulas in this version. I came up with some of them and the rest I gathered from the community ranking systems. I also fixed some errors in the formulas. There are some extra columns to the right of the chart data. These are my attempt to give an automated score to each factor (row). Column 'BY' has final score for each row. Columns BH and BI are the most useful since they calculate the RSquared and Correlation with returns for each factor. Here is a ranking system that I created using this sheet which is public: TF12-05 ByEffectiveness_1_65-25-10SHARED There are A LOT of factors in this ranking system. The idea is not really to use them all, but to use this rankings system as a starting point and then delete some of them, change the weights, etc. ---------------------------------------- 
Top Port123 factors 12-05-shared.xls
(839680 bytes)
(Download Count: 224)
---------------------------------------- Dan ---------------------------------------- [Edit 1 times, last edit by danparquette at Jan 1, 2006 1:03:56 PM] |
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janta605
Advanced Member
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Dan, This is excellent work! I'm already using your TopFactors ranking system and it's one of the best out there. This one, however, gives me more variables to play with so I will be busy for many evenings to come this year. Thank you for sharing your excellent reasearch work with the community. Happy New Year! AJ |
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budonk
Advanced Member
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dan et al, you might want to check out the book/work done by Haugen www.newfinance.com, and his book that details the work... http://www.amazon.com/gp/product/0130323667/qid=1136257474/sr=8-1/ref=pd_bbs_1/102-7133267-2670526?n=507846&s=books&v=glance |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Dan, I was playing with the new Ranking System you put together last week and I removed the Very Good and Good composite nodes leaving only the Excellent composite node. No other changes. I got an annual performance of 110% in the top bucket using 200 buckets, 4 week rebalance, and $1 minimum price (thus the 110 in the name). See below. You put together some pretty powerful factors and functions there! I can't wait to see what the community can do with this after we play with the Weightings! Dan's TF12-05 Excel. Only, 110 http://www.portfolio123.com/rank_details2.jsp?rankid=15622 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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tonysf
Advanced Member
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Thanks Denny and Dan. The new ranking system looks pretty good. Here are a couple sims I have created based on the new ranking system with smple buy and sell rules (they still need to be optimized). http://www.portfolio123.com/port_summary.jsp?portid=117561 http://www.portfolio123.com/port_summary.jsp?portid=117554 ---------------------------------------- [Edit 1 times, last edit by tonysf at Jan 19, 2006 1:40:24 PM] |
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danparquette
Advanced Member
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Thanks for sharing the sims guys. Here are some of mine: http://www.portfolio123.com/port_summary.jsp?portid=112845 http://www.portfolio123.com/port_summary.jsp?portid=116706 http://www.portfolio123.com/port_summary.jsp?portid=112855 http://www.portfolio123.com/port_summary.jsp?portid=112848 They use my ranking system which is the same as Dennys - it has only the 'Excellent' factors. ---------------------------------------- Dan |
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charley
Advanced Member  UNITED STATES Joined: Jul 8, 2004 Posts: 298 Status: Offline |
I have just started to play with it but just for fun I used the buy/sell criterea modified to get 100 % from the other Port you crerated a while back with the ranking system .. TopPort123Factors&Formulas It is a 10 Posistion SIM for Folio FN ..here is the link.. http://www.portfolio123.com/port_summary.jsp?portid=117751 Thanks for all the contributions. ---------------------------------------- Charley |
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Re: Updated single-factor ranking system performance charts
