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yuvaltaylor
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?

The number of stocks for which we have estimates has remained pretty steady. See below. The reason that Walter's chart slopes downwards is because fewer and fewer stocks are in the All Fundamentals universe. The chart below was generated with UnivCnt("NextFYEPSMean > -100000").

Attachment Screenshot_2019-12-08 Custom Series - Portfolio123.png (18941 bytes) (Download count: 252)


Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Dec 8, 2019 8:49:19 AM       
Edit 1 times, last edit by yuvaltaylor at Dec 8, 2019 8:51:22 AM
wwasilev
Re: Improvement of my Ranking System

Agree with Yuval; the chart for NextFYEPSMean!=NA is similar.

Is there a method for listing the companies that fell out of the Fundamental universe? I used short price history as a proxy for newly listed companies but finding dropped companies is more difficult.

Walter

Dec 8, 2019 11:49:54 AM       
Nicoletta
Re: Improvement of my Ranking System

Andrea, you kindly gave us 5 out of 8 of your RS macro clusters (see attach).
Can you tell us the difference between "Stock momentum /Volume/Shape" (that you gave us) and "Stock Momentum"?
Fabio

Attachment Andreas RS JPG.JPG (60966 bytes) (Download count: 226)


Dec 8, 2019 2:24:27 PM       
yuvaltaylor
Re: Improvement of my Ranking System


Is there a method for listing the companies that fell out of the Fundamental universe? I used short price history as a proxy for newly listed companies but finding dropped companies is more difficult.

Walter


Open a screen. Use "All Stocks" as your universe in the settings tab. Type

Universe(allfund) = 0 and FHist("Universe(allfund)",52) = 1

in a rule. Run the screen and you'll see the stocks that fell out of the All Fundamentals universe in the last year. If you're also looking for tickers that no longer exist, you can use the Advanced Stock Search and in the "Symbol" box type in ^19 or ^18 or whatever year you're looking for. You'd then copy those to a list to see if those stocks were in All Fundamentals or not before they were delisted.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Dec 8, 2019 5:25:32 PM       
wwasilev
Re: Improvement of my Ranking System

Perfect.

Dec 8, 2019 6:13:10 PM       
rtelford
Re: Improvement of my Ranking System

Andreas,

Thanks for sharing your system on this forum and Youtube, I have to say I like it so far!

I’ve made some assumptions on your remaining RS nodes and buy/sell rules, but staying within your criteria of low volume small caps, here is what I’ve come up with (consider this ‘base case’):

Variable slippage, w/ market timing, buy rank>80, sell < 70, all RS nodes you provided are unchanged:





Very similar results, but slightly higher turnover.

I have variations of a buy rule that screens for high ranking EPS, results vary for different time periods.

I’ve tried different tweaks on the ranking system with varying minor improvements, feel free to try some, sim results will vary depending on how our buy/sell rules differ, other elements of the ranking system, etc:

• EPS Growth
o Negative values can be problematic, the rule for TTM is nice as it screens out any -ve value EPS’s.
o For quarterly, can try this:
o (EPSExclXorQ - EPSExclXorPYQ )/max(0.01,abs(EPSExclXorPYQ))

• Quality
o Marc provided some suggestions on (a-b)/abs(b); I tried this as well, but with little impact.
o ROE% 5y AVG will result in NA for any companies less than 5 years old, which may skew results. On the other hand, this is also like a screen to give credit to any firms with a minimum 5 yr history. Could also tweak formula to rank NAs negative for this formula (haven’t tried this yet)

• Accumulation/Distribution & Stock momentum/volume/sharpe
o Can try using median volume instead of average volume in calcs. This will eliminate some of the outliers in average values.

• Rank industry/sector specific factors on “industry” or “sector” rather than “universe”
o Profit margins can vary by sector/industry, try ranking by sector/industry
o Same with EPS factors

Let me know if these work out for you.
Cheers,
Ryan

Attachment JT system base.png (475764 bytes) (Download count: 146)


Attachment JT system base 10 yr.png (513494 bytes) (Download count: 146)


Dec 19, 2019 2:43:06 PM       
o806
Re: Improvement of my Ranking System

Hi Ryan,

I like the way you are using 25 stocks and variable slippage to help get realistic simulation results.

I'm concerned, however, about the No OTC Universe since it has a lot of illiquid stocks that are difficult to trade. Did you use a liquidity buy rule. Here is an example.

MedianDailyTot(10,0)> 200000 and MedianDailyTot(10,10)>200000and MedianDailyTot(10,20)>@adt and MedianDailyTot(10,30)>200000

This helps to avoid buying stocks that might temporarily have a decent volume in the past week or two but could become illiquid. This rule does not guarantee that there will be good liquidity when it comes time to sell, but it does help.

Brian

Dec 19, 2019 3:11:28 PM       
rtelford
Re: Improvement of my Ranking System

Hello Brian,

Yes, there's a buy rule of mediandailytot(20)>100000.

Thanks for the tips on multiple volume rules.

For comparison, if I add the multiple offsets as you suggested, there is some minor change. Performance drops slightly in the overall 20 year test, however is about the same CAGR in last 10 years, but a smoother curve :-). Turnover increases in both.

See screenshots below.

BTW, What is the rule "MedianDailyTot(10,20)>@adt"? Median volume must be greater than average daily volume for the given period?

Attachment JT_3X MDT buy rules_10yr.png (525542 bytes) (Download count: 143)


Attachment JT_3X MDT buy rules_20yr.png (466316 bytes) (Download count: 141)


Dec 19, 2019 3:57:14 PM       
Edit 1 times, last edit by rtelford at Dec 19, 2019 3:58:32 PM
judgetrade
Re: Improvement of my Ranking System

Thank you Ryan!!!
Very, very good results, mine are just slightly higher!
Will put out more vidoes, got some stuff on big caps too, but much lower results, but decent capital curves...

Lets keep those strategies and look how they do in realtime.

My realtime results are here: https://twitter.com/GfI_Himmelreich/status/1076219796381937667

Unfortunetly not since 2011, but good enough :-)

Best Regards

Andreas

Dec 20, 2019 1:25:49 AM       
judgetrade
Re: Improvement of my Ranking System

One more question: Are you going to trade this Ryan?
Best Regards
Andreas

Dec 20, 2019 1:33:13 AM       
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