Free 3 Month Model Canada https://www.portfolio123.com/port_summary.jsp?portid=1218121

https://www.portfolio123.com/port_summary.jsp?portid=1218121

A r2g subscriber asked me if my modells would work also in Canada. The 5 Stock Modells do not work well (positive though, but not
to compare), since
they need a huge universe of stocks since their earnings selection criteria is very strict.

What works well with canadian stocks are my 3 Month 100 Stock models.

I trade a similar one (with US Stocks) and made 22% since Dec. last year with almost no work at all and
with a very low mdd since then.

Be carefull when you trade then, Limit your trades and use GTC Trading Option (good to canceled), look at the Chart and set you
Limit 2-5% below (Buy) or above (sell) the current Price, and then adjust the unfilled for 2-3 Weeks.
I was able to create positive silippage with that Approach.

Best Regards

Andreas

…when I say “my” there is always olikea meant also, since from him are the ranking from almost all my models! Thank you!!!

Interesting model, Andreas, however a bit unwieldy with 100 stocks.

The ranking system is intriguing, it lends itself well to All Fundamentals - CANADA universe. I played with it, works best with long re-balance periods, therefore less effort. Have you tried changing the buy and sell rules to high ranks. Using Buy: Rank > 95 and AvgDailyTot(20) > 25000 Sell: Rank < 96 I was able to get returns in the 50 to 100% range, Sharpe = 4.24 with 20 stocks. The returns for 2014 were incredible, much better than most R2Gs. But my current membership level is only “Lite” and limits my simulation period to data from the last two years, a good period for the Canadian market.

Wow, thank you rallan, no I did not try this. Your Set up brings good results on canada, but on us its even much more interesting!!!
Thank you!
Andreas

When dealing with the Canadian universe, look at excluding mining: Industry!=mining

Canadian exchanges are heavily weighted in mining stocks and these require a very different approach to evaluation from the ones used for most other industries.

r:

I tried to duplicate your work and was unable to get the returns / Sharpe that you got. Could you make your Sim public?

Bill

strader1, check-out this one:

https://www.portfolio123.com/port_summary.jsp?portid=1218890

This is an interesting sim. I find it hard to get good performance out of the TSX Venture Exchange universe with most ranking systems, but this ranking system works very well with it. In this particular case excluding mining in the Buy rules boosted the performance ~20%.

My own commission charges are ~USD$4.50 per trade. I set the slippage at 0.1, but with a 4-week re-balance period it doesn’t affect too much.

Note the sim period is only Aug 2012 - Aug 2014, due to my limited membership.

rallan, here is the backtest going backwards, you can draw your own conclusions on whether a higher subscription is worth it or not…

https://www.portfolio123.com/port_summary.jsp?portid=1218894

I will just say, be extremely weary of 5 stock portfolios as the diversification with these is very low.

Could you make it public?

Randy

r:

 I can now replicate your work.  The universe turned out to be highly significant.  I re-ran it over the full data set.  Attached is a screen shot.

 Best,

Bill


Good work, Bill

Wow, it’s a bust! I see it’s a complete fluke I caught the only two eye-popping years. I will have to upgrade my membership to get more data.

Randy

have a look here:

https://www.portfolio123.com/port_summary.jsp?portid=1218546

I still would not trade it, since a 5 Stock port Needs a lot of turnover to fullfil my (!) robustness criteria…

with 20 Stocks it Looks interesting:

https://www.portfolio123.com/port_summary.jsp?portid=1219274

Also I made another robustnes test with my 3 Month micro cap model.

Buy 100 Stocks and hold until today. I tested 14 Years (e.g. 1999, 2000, 2001 etc.)

ALL with o.k. results (and you can see the Point in time stuff of p123 because you will not have
a 100 Stocks at the end!) around 15-22% Performance per year (heavy drawdown because
I tested without market Timing).

Regards

Andreas

The universe is “All Stocks - USA” for this port.

This port is not public

cheers Randy

Thank you

https://www.portfolio123.com/port_summary.jsp?portid=1219274 is now public!

It still says “All Stocks - USA”

Yep, intentionaly “All stocks USA” :slight_smile: