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Systematic US Equities Investing
- Thread starter mahras2
- Start date
Quote from mahras2:
Yes it looks like many of the changes occured due to TA changes. Although several new picks should be included due to new fundamental information being avaliable after the earnings reports.
Got ya. I wonder how the bottom(bad fundamentals and TA conditions=short signal) 10-40 performing , now if they are lagging {or down big} the top 30 , then you really got an edge.
Quote from IV_Trader:
Got ya. I wonder how the bottom(bad fundamentals and TA conditions=short signal) 10-40 performing , now if they are lagging {or down big} the top 30 , then you really got an edge.
The max picks generated is 35. However, historically the top picks have outperformed the bottom ones. So 1-5 outperformed 6-10 which outperformed 11-15 and so on.
This can also be seen from the differences in the performances of Rank 1-10 and Rank 1-20 picks as Rank 1-10 is beating the Rank 1-20.
I will try and cook up a short signal model and post the results of that whenever I get some time.
That is what usually happens when momentum stocks the model is fitted to pick lose their momentum.Quote from mahras2:
Talk about a bad time to start up the model. Two big losers on GT and TKR due to earnings announcements. The 20 stock portfolio faring better than the 10 stock from diversification.
Quote from dis:
That is what usually happens when momentum stocks the model is fitted to pick lose their momentum.
Yes such occurances do (and will) happen from time to time. But, based upon data, one is better off being on the correct side of momentum.
A simple momentum test I ran, on the universe I use, in which the top 10 stocks based on the past 4 week (roughly a month) is picked with monthly rebalancing. It shows an annualized return of 30.4% since 1989 (naturally with a lot of volatility).
If I understood correctly you reset your portfolio once a month. This creates a discontinuity and introduces a delay between market changes and when your system adapts to the new reality.
Have you studied the possibility and the effect of reducing the period between portfolio adjustments? I think that ideally these adjustments should happen as needed and not at fixed intervals, because any "granularity" will introduce an uncontrollable noise / distortion.
Have you studied the possibility and the effect of reducing the period between portfolio adjustments? I think that ideally these adjustments should happen as needed and not at fixed intervals, because any "granularity" will introduce an uncontrollable noise / distortion.
Quote from cnms2:
If I understood correctly you reset your portfolio once a month. This creates a discontinuity and introduces a delay between market changes and when your system adapts to the new reality.
Have you studied the possibility and the effect of reducing the period between portfolio adjustments? I think that ideally these adjustments should happen as needed and not at fixed intervals, because any "granularity" will introduce an uncontrollable noise / distortion.
Yes I rebalance the portfolio once a month. I understand that distortion occuring but the key reason why I have not reduced holding periods is because:
A) commissions/spreads/slippage begin to play an increasingly important role.
B) decreasing holding periods will place greater emphasis on the "technical" part of the system. As the technical indicators I use is very simplistic I would guess that increased weighting will hurt results.
I have not yet done any studies or tests dealing with smaller holding periods. I may pursue this as soon as time permits.