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Searching for High(!) Turnover

Hello P123 Community,

In previous posts there has been discussion on turnover, generally with an emphasis on how to LIMIT strategy/portfolio turnover.

I am interested in seeing the effects of having INCREASED turnover on some of my sims.

I am using a 3500 stock universe (US), 20 stocks, weekly rebalance, buy rankpos <=10 (or no buy rule), sell rankpos>25 (I've played with this number).

Playing with buy and sell rules I can't seem to break 400% annual turnover. My target is 600 to 1000%.

Ranking system includes factors for Quality, Value, Growth, Sentiment, Size. My factors are roughly 50% financial statement based (i.e. turnover would only be impacted quarterly), and roughly 50% market based (i.e. price, EV, mktcap, volume, etc). I suspect that if I increase the proportion of market based factors I could increase turnover.

Other ranking systems I have with a higher proportion of market factors seem to be able to reach a higher turnover.

I am trying to see if I can get higher turnover by also limiting my price based factors.

I'm curious if any of you have had a similar experience, or can offer any tips for increasing turnover.

Thanks in advance!


Aug 14, 2019 11:48:42 AM       
Re: Searching for High(!) Turnover

It's a combination of how narrow the selection band is in your port sim and how stable the rank values are from your ranking system. So if stocks aren't changing ranking position by a "large" delta then you will not get many sell on rank executions. As for the selection band you can narrow the rank range or you can increase your sell criteria. Also the rebalance frequency matters. Weekly rebal will usually have higher turnover than say Monthly. Note that as your turnover increases then usually your expenses do as well and turning on variable slippage is a good idea to find the sweet spot.

Just my $0.02 ... Actually I need that back for my port.

Aug 14, 2019 12:32:05 PM