Multifactor Ranking inside a Sim

Research
1

I have a value ranking that I’ve set up, and I want my portfolio to invest in the top 25 stocks by 6 month price % change that are Value Ranking > 90. I understand how to add the ranking to my sim, but how do I get it to filter out those below Value Ranking < 90 and then sort by 6 month price change and invest in the top 25? I understand that I can create a manual screen to get a snapshot at any given time by sorting for Value Ranking > 90 and then sorting the results by 6 month price % change and just looking at the top 25, but how do I incorporate that into my sim?

2

Matthew - set up a ranking system based on 6 month % change and select that as the ranking system for the sim. Then set position sizing to 4% in your sim. The buy rule should be Rating(“Value”)>90, where Value is the name of your value ranking system. Then you need a sell rule - you can use TRUE as the sell rule if you want to sell/buy all stocks each rebalance period.

Steve

3

Thanks Steve. That makes sense. I tried to do that, but the holdings for a 5 day sim (https://www.portfolio123.com/holdings.jsp?portid=1430424) aren’t the same as my screen sorted for 6 month % change (http://www.portfolio123.com/app/screen/summary/164761?st=0&mt=1).

4

You have a whole bunch of factors listed as rules in the screener that will screw up your results. Either delete them or use ShowVar. Your screener rules should be set up exactly as the sim buy rules.

Steve

5

Thanks again for your help. I cleaned up my screen and I’m still getting 7/25 that are different between them. Any other ideas on what I could be doing wrong? Sorry for my ignorance; I’m new to this if you can’t tell.

6

I just reran the screen the be “as of” the same date the stocks were acquired in the sim. And now I’m down to 2/25 that are different. Progress.

7

Not a problem - P123 is a little overwhelming when you start. So create a ranking system for 6 month % change. Then call it up for BOTH the sim and screener. For the screener you have to go to the Settings tab to specify the ranking system. Then delete the first rule “Pr26W%Chg”. This isn’t a rule. Add Rating(“TV2”)>90 as a screener rule. I assume that TV2 is a value ranking system?? For the sim, add the rule Rank>90. The sim and screener should have exactly the same rules. The ranking system is specified separately, not in a rule.

Steve

8

25/25 match now! Thank you…now to work on making the return better… :slight_smile: