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Nicoletta
Re: Improvement of my Ranking System

Thank you Georg,

Andreas has anticipated me, evidently he had the same difficult to understand your suggestion. Now is clear...I tested with my 10 stocks Sim, and the result is worse.
May be because in my Sim I use a RS with Percentile NAs Neutral. If I try with RS set to Percentile NAs negative the result is worse than neutral, but improves using your suggestion.
I'll try on other Sim but at least I learnt a new thing. biggrin

Dec 3, 2019 1:56:35 PM       
geov
Re: Improvement of my Ranking System

Andreas,
is this with variable slippage?

Dec 3, 2019 2:33:02 PM       
judgetrade
Re: Improvement of my Ranking System

no, but here...

Attachment aaa.png (327143 bytes) (Download count: 205)


Dec 4, 2019 12:46:18 AM       
judgetrade
Re: Improvement of my Ranking System

I added this to my ranking system, performance was better, but only the last 10 Years

new -->
<StockFormula Weight="33.33%" RankType="Higher" Name="(CurFYEPSMean-CurFYEst8WkAgo)/Abs(CurFYEst8WkAgo)" Description="" Scope="Universe">
<Formula>(CurFYEPSMean-CurFYEst8WkAgo)/Abs(CurFYEst8WkAgo)</Formula>
</StockFormula>
<StockFormula Weight="33.33%" RankType="Higher" Name="(CurFYEPSMean-CurFYEst4WkAgo)/Abs(CurFYEst4WkAgo)" Description="" Scope="Universe">
<Formula>(CurFYEPSMean-CurFYEst4WkAgo)/Abs(CurFYEst4WkAgo)</Formula>
</StockFormula>
<StockFormula Weight="33.33%" RankType="Higher" Name="(NextFYEPSMean-NextFYEst4WkAgo)/Abs(NextFYEst4WkAg" Description="" Scope="Universe">
<Formula>(NextFYEPSMean-NextFYEst4WkAgo)/Abs(NextFYEst4WkAgo)</Formula>
</StockFormula>
</Composite>

since when is this estimate data incooporated in the database?


instead of (old -->)

<Composite Name="Earnings Per Share Growth" Weight="12.5%" RankType="Higher">
<StockFactor Weight="50%" RankType="Higher" Scope="Universe">
<Factor>EPS%ChgPYQ</Factor>
</StockFactor>
<StockFormula Weight="50%" RankType="Higher" Name="EPS Chg TTM" Description="" Scope="Universe">
<Formula>eval(EPSExclXorTTM>0 and EPSExclXorPTM>0,EPS%ChgTTM,NA)</Formula>
</StockFormula>
</Composite>

Dec 4, 2019 5:15:51 AM       
Edit 1 times, last edit by judgetrade at Dec 4, 2019 5:16:44 AM
judgetrade
Re: Improvement of my Ranking System

Let me ask my question again;

the estimates data, since when is it in the database, since 1999 or did it come later, Thank you
Andreas

Dec 6, 2019 4:19:05 PM       
SpacemanJones
Re: Improvement of my Ranking System

Andreas, the reference index says estimate data starts in 2000. Don't know if there's more detail though.

https://www.portfolio123.com/doc/doc_detail.j...PSEst&popUpFullDesc=1

Dec 6, 2019 7:29:52 PM       
Edit 1 times, last edit by SpacemanJones at Dec 6, 2019 7:30:36 PM
wwasilev
Re: Improvement of my Ranking System

2000 looks reasonable. Here's a series of UnivCnt("NextFYEPSMean=NA")/UnivCnt("True") for the Fundamental Universe;

Attachment Screen Shot 2019-12-06 at 8.38.00 PM.png (127299 bytes) (Download count: 164)


Dec 6, 2019 7:40:10 PM       
judgetrade
Re: Improvement of my Ranking System

Thank you!!!

Dec 7, 2019 10:39:56 AM       
judgetrade
Re: Improvement of my Ranking System

@ wwasilev --> so do I get this right: there are less and less stocks that have and NA on those estimates?
If this is true, I have an explanation, why the new ranking system works better the last then years.

Thank you all very much!!
Best Regards

Andreas

Dec 7, 2019 10:42:06 AM       
wwasilev
Re: Improvement of my Ranking System

so do I get this right: there are less and less stocks that have and NA on those estimates?


That would be my interpretation. It appears that the number of stocks covered by NextFYEPSMean estimates is increasing over time . Maybe P123 can comment, too.

Walter

PS It also appears that, depending you what's in your ranking system, being limited to 15 years of data isn't a big deal. For many of my systems, I start optimization sims from about 2006.

Dec 7, 2019 11:31:00 AM       
Edit 1 times, last edit by wwasilev at Dec 7, 2019 1:17:57 PM
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