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Nicoletta
Re: Improvement of my Ranking System

My sims look much worse. Is anyone else seeing that? The 'historical performance by ranks' graph looks very good, however.

I probably have some setting incorrect.

Walter

Walter,

Andrea has kindy given us a RS (I do not know if is complete or not, because he says "I used to trade only value and stock momentum but added quality and industry momentum" ; here I see only industry momentum, quality and growth, but value and stock momentum seems missing and above all we do not know the weight of each peace; Andrea could you pls tell is if the RS is complete or not?
Anyway you are comparing a RS with a Simulation, and we do not know Andreas Buy/Sell rules....I wish I had such a Sim

Nov 15, 2019 10:05:04 AM       
Edit 1 times, last edit by Nicoletta at Nov 15, 2019 10:42:19 AM
geov
Re: Improvement of my Ranking System

After further review, the performance curve would indicate a much lower annualized return of about 30% from 2014 onward. Andreas can you please post the performance from Jan-1-2014 of this model to verify this.

Nov 15, 2019 10:20:03 AM       
judgetrade
Re: Improvement of my Ranking System

Thank you for all the feedback, will need some time to work through.... :-)
I keep you posted!

Nov 16, 2019 7:44:36 AM       
judgetrade
Re: Improvement of my Ranking System

Hi Steve,
EPS%ChgPYQ
 “On the other hand, this growth factor will emphasize stocks that are going from no earnings to positive earnings from year ago quarter, if that is the objective.”
Yes, that is the objective!

Thank you!!!
Best Regards
Andreas

Nov 16, 2019 7:46:40 AM       
judgetrade
Re: Improvement of my Ranking System

Hi Marc Gerstein,
I do not understand your (a-b)/abs(b) formulation, sorry but my math is terrible. Could you give me the exact formula I should use?
That would be great, Thank you!!!

Further:

“What you have here is a variation of that I’ve been noticing — investing based on the behavior/emotions of machines and those who program them.”
That is kind of the Idea of all my models. As Quants, at least this is my definition, we hack emotions of others especially in turnaround situations where the second derivative (e.g. rate of change) happens and market participants need to catch up (and try to be faster then the others).


E.g. I do not care so much about earnings, but for example the very recent rate of change earnings.

I tested longer term “standard Qualtiy stuff” (like 5 Year earnings consistency), but got ridd of it a bc. Rate of change (“fundamental momentum”) seems to give better results.

The thing is, I think I can explain that by emotions of market participants emotions (my assumption could be wrong), that chase that fundamental momentum (which is kind of backed by academic papers), so I give it a try. I know that is risky, bc. I do not have a 100% or even 50% knowledge about market participant emotions, but my “intuition” tells me, it’s worth the risk.

I would still define it as quality, but in rate of change terms, but you are right its kind my own definition.

Best Regards
Andras

Nov 16, 2019 8:05:53 AM       
judgetrade
Re: Improvement of my Ranking System

Hi George, (geov)

The settings are 0.01 per Stock transactions costs (that’s what tradestations charges) and
The standard “variable” slippage calculation, which I can (not always with every stock and every day) beat slightly in my actual trading with tradestation.

BUT IT DOES NOT SCALE!
It scales up to a 3 Million Portfolio Value assuming the following formula BuyAmount/Price < 0.10*AvgVol(20). [I know even that is a stretch, so 5% of the volume would meand 1.5 Million Port Size) After that I am dead in the water and need to go to higher volume stocks.
But I do not care, small size of my port (around 820k) is a big competitive advantage in terms of that I capture the size premium.

Thank you and Best Regards
Andreas

Nov 16, 2019 8:16:50 AM       
judgetrade
Re: Improvement of my Ranking System

Hi philjoe,
I assume a much higher (50%?) future DD. I have market timing (combining 75 MA of the SP500 and the earnings trend of the SP500) in the model that might not work in the future.
Best Regards
Andreas

Nov 16, 2019 8:19:38 AM       
judgetrade
Re: Improvement of my Ranking System

Hi Walter,
Yes, this is only a part of the ranking system I am using.
Thank you,
Best Regards
Andreas
P.S. Still plan to visit in Wiesbaden, got to much on my plate right know, but I keep you posted :-)

Nov 16, 2019 8:21:36 AM       
judgetrade
Re: Improvement of my Ranking System

Hi Steve,
Thank you!!!!
I tried 100*(EBITDAQ/SalesQ) - 100*(EBITDAPYQ/SalesPYQ) 
Better in recent years, but slightly worse then EPS%ChgPYQ
I also tried
NPMgn%Q - NPMgn%PYQ
 Almost the same result as EPS%ChgPYQ, but a bit higher drawdown
Best Regards
Andreas

Nov 16, 2019 8:32:23 AM       
judgetrade
Re: Improvement of my Ranking System

Hi Kumar,
Here a screenshot of statistics of that model
Best Regards
Andreas

Attachment aaa.png (207601 bytes) (Download count: 174)


Nov 16, 2019 8:34:36 AM       
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