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wwasilev
Re: Open question about different simulation platforms

I tried what you said in PPPS 😂, and do not work, the sim goes to ruin anyway.

And the rules you refer in PPS are already in my sim.

The PPPS rules worked for me when there are liquidity constraints added to the universe. Make your simulation public if you want more feedback.
And are the PPS rules in your buy rules or universe rules?

Walter

PS I used LoopSum("DivPS(CTR,ANN)>=DivPS(CTR+1,ANN)",10) to replicate IE's ConsecutiveIncreasesOrEqual(Dividends(a), 10). That may be insufficient. I don't know.

PPS This should be better;
ShowVar(@ConsecutiveOrEqualDivpaid,LoopSum("Eval(DivPaid(CTR,ANN)>=DivPaid(CTR+1,ANN),1,NA)",10,0,1,0,1))
Since this works even when DivPaidA=0, make sure only dividend paying stocks are considered or add a test for DivPaidA=0. BTW, IE's ConsecutiveIncreasesOrEqual function looks broken to me. Oh well.

Mar 3, 2019 11:51:07 AM       
Edit 13 times, last edit by wwasilev at Mar 3, 2019 10:01:26 PM
mgerstein
Re: Open question about different simulation platforms


Is the correct formula like this?

(EPSExclXorLTM- EPSExclXorLTM,1) / abs(EPSExclXorLTM,1)



Yes. That formula would be used any time you're computing a growth rates and one of the two numbers might be negative.


And, by the way, I'm reading all the stuff you hang here, but since I'm not a matematician, nor an accountant, nor an informatic,


Neither am I.


and even nor a native english speaker... well, all this stuff it's complex to me.



You're not alone. There are other experienced members who can say the same thing.

Just be patient. Learn at your own pace. And when you have questions, ask (as you did here). As you can see, there are many members here who are happy to help.

Marc Gerstein
Portfolio123, Director of Research
Twitter: @MHGerstein
Blog: https://actiquant.com/category/home/
Want to know what's going to happen in the next year? No problem; I'll tell you 366 days from now.

Mar 4, 2019 7:07:06 AM       
Monday33
Re: Open question about different simulation platforms

Hello Walter.

Sorry for my late answer, I've been busy these days.

The sim is public, I posted all the information I have in my first post in this thread, I have nothing else.

And to be honest I do not know where are my PPS rules... I think they are in both of them, in the buy rules and also in the Universe rules ( I think you mean Ranking rules here... )

The ShowVar instruction I think do not work inside the ranking Ranking system formulas, or when I placed this code (ShowVar(@ConsecutiveOrEqualDivpaid,LoopSum("Eval(DivPaid(CTR,ANN)>=DivPaid(CTR+1,ANN),1,NA)",10,0,1,0,1)))

the program says there is an error near ShowVar.

Attachment Captura de pantalla 2019-03-15 a las 20.49.16.png (29644 bytes) (Download count: 61)


Mar 15, 2019 3:01:06 PM       
Monday33
Re: Open question about different simulation platforms

Hello Marc

Thanks for your answer, and for cheering me up. I'll try to do my best. :)

By the way the formula you told me, (EPSExclXorLTM- EPSExclXorLTM,1) / abs(EPSExclXorLTM,1), seems not to work inside the Ranking system. I do not know why...

The program says that there is an error near EPSExclXorLTM...

Attachment Captura de pantalla 2019-03-15 a las 20.37.24.png (23655 bytes) (Download count: 61)


Mar 15, 2019 3:03:43 PM       
wwasilev
Re: Open question about different simulation platforms

ShowVar only works in the Screener. Sorry for not being clear about that.

As for the original issue about differences in simulation results, while the other site looks like a P123 clone, there are enough gaps in my understanding of their implementation that it is unclear where the differences originate - it could be data provider issues, or how NAs are handled in the ranker, etc.

Also, I looked at a few of their example model and I would not use them myself.

Walter

Mar 15, 2019 3:55:55 PM       
Edit 2 times, last edit by wwasilev at Mar 15, 2019 7:05:27 PM
Monday33
Re: Open question about different simulation platforms

Yes yes, I'm agree with you. Maybe I'll translate some other of their systems to P123 but I do not trust so much on it...

Mar 15, 2019 4:39:21 PM       
SpacemanJones
Re: Open question about different simulation platforms

Hello Marc

Thanks for your answer, and for cheering me up. I'll try to do my best. :)

By the way the formula you told me, (EPSExclXorLTM- EPSExclXorLTM,1) / abs(EPSExclXorLTM,1), seems not to work inside the Ranking system. I do not know why...

The program says that there is an error near EPSExclXorLTM...



I'm wondering if that syntax is for a different system? Try this syntax for P123 EPS growth proxy:

(EPSExclXorTTM- EPSExclXorPTM) / abs(EPSExclXorPTM)

Mar 15, 2019 7:02:48 PM       
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