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marco

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Re: CANADA & NEW USA are now live (old USA accessible in the beta server) Reply to this Post  Reply with Quote 

Which sims? The old USA is still accessible.
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Mar 21, 2014 8:18:54 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
sgmd01
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Re: CANADA & NEW USA are now live (old USA accessible in the beta server) Reply to this Post  Reply with Quote 

Marco,

Thank you for this addition. I look forward to the addition of European data as well as the expansion of the data set for testing timing systems.

Scott
Mar 21, 2014 8:52:40 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
sglinski
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Re: CANADA & NEW USA are now live (old USA accessible in the beta server) Reply to this Post  Reply with Quote 

My sim with the largest change post Canada release is:
My Merger Arbitrage Canada Bust
total return dropped from 59% to 45%.
Mar 21, 2014 9:10:21 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
Chipper6
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Re: CANADA & NEW USA are now live (old USA accessible in the beta server) Reply to this Post  Reply with Quote 

Marco, are you still planning to add the median EPS estimates?
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S&P 500 Gems * The Bond Hedge
Mar 21, 2014 9:53:36 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
marco

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Re: CANADA & NEW USA are now live (old USA accessible in the beta server) Reply to this Post  Reply with Quote 

sglinski, please see the two sims with DEBUG in the name. One was run with the old USA and tot return is 59% the other with new USA is 45%.

Note: It's a 4 stock sim ran for 5 years. Any single change in the picks could account for the difference

So I zeroed in on the first difference in 7/31/09: sim with new data buys PCZ^09 (Petr-Canada) the other doesn't. It boiled down to different PEG because the estimate is coming in Canadian dollars. As part of the rebuild we fixed the problem that Canadian companies trading in USA (therefore USD prices) with Canadian estimates were not being converted to the same currency as the stock.
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Edit 1 times, last edit by marco at Mar 21, 2014 11:06:23 AM
Mar 21, 2014 10:56:41 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
marco

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Re: CANADA & NEW USA are now live (old USA accessible in the beta server) Reply to this Post  Reply with Quote 

On another note...

Looks like we need to rebuild our Prussell universes since they should not include Canadian companies. A simple test with Country("CAN") with Prussell 3000 returns about 100 companies.
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Edit 1 times, last edit by marco at Mar 21, 2014 11:58:16 AM
Mar 21, 2014 11:20:29 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
sglinski
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Re: CANADA & NEW USA are now live (old USA accessible in the beta server) Reply to this Post  Reply with Quote 

Thanks for the quick reply-
So, in the old sim, a dollar of Canadian earnings was reported as a US dollar of earnings, inflating earnings about 10% based on the current exchange rate?
Or, was it a dollar of Canadian stock was reported as a US dollar of stock, inflating the share price?
The former would seem to overweight Canadian companies ranked by lower PE, the latter underweight them.
Maybe I could recreate the old result by artificially weighting Canadian stocks?

As far as the position size, I have found that for the vast majority of my sims, the postion size that optimizes the sharpe ratio is 5 stocks. I'm not sure of the reason for this, but perhaps it relates to industry/sector cross correlations. Anyway, I compensate for resulting higher variability of future returns by combining ports (or book use) and sizing positions relative to my total portfolio, a la Van Tharp etc.
Mar 21, 2014 11:46:57 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
StockMarketStudent
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Re: CANADA & NEW USA are now live (old USA accessible in the beta server) Reply to this Post  Reply with Quote 

" the postion size that optimizes the sharpe ratio is 5 stocks"

This is absolutely true. Several years ago I did some testing on individual ranking factors and systems while varying numbers of stocks. The test was a relative sharpe ratio i.e. relative to the stock universe. Five stocks was the magic number for optimal Sharpe. The reason is that if you hold too few stocks then there is too much volatility. As you increase the number of stocks the performance goes down.

But this is in backtest. Going forward, you can expect more volatility and hence the number of stocks needs to increase, either by multiple systems or increasing the number of holdings for one system.

Steve
Mar 21, 2014 11:57:44 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
marco

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Re: CANADA & NEW USA are now live (old USA accessible in the beta server) Reply to this Post  Reply with Quote 

Not exactly . The NextYEPS in the old USA was 4.5 CAD, the new one is 3.9, so the PEG is now higher in the new USA. However the NextYEPS is now lower than trailing TTM which makes the growth N/A. In these cases the algorithm "falls back" to a PEG calculation that uses analysts LTGrowth rather that evaluating to NA.

PS: I would not go about adjusting your system. That's exactly why we almost always see lower returns with slightly different data points. Systems are being constantly tweaked until the max returns are achieved.. the definition of curve-fitting.
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Mar 21, 2014 12:05:31 PM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
azinvestor
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Re: CANADA & NEW USA are now live (old USA accessible in the beta server) Reply to this Post  Reply with Quote 

Hi Marco,
For existing ports and sims do we have to add Country("CAN") = False or the Canadian stocks are only selected if that universe is specifically enabled.
Thanks.
KJ
Mar 21, 2014 12:32:19 PM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
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