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Kiran
2019-03-14 13:06:13
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I used Ranking System Manager->Analyze Nodes with the following configuration
Node - perf(ref(close,15),55)
Symbols - SP500 stocks
Dates - 1/1/2014 ->1/1/2019,
Rebalance period: 22 days
No of buckets: 30 (so, top bucket has around 16 stocks)
AR of top bucket = 45%
I configured the Simulator with the same parameters
rank1 = comp(perf(ref(close,15),55),"rank",1, 1);
Buy = rank1<17
16 positions
Symbols - SP500 stocks
Dates - 1/1/2014 ->1/1/2019,
Rebalance period: 22 days
SetSimTiming(_Buy, _Close, -1); SetSimTiming(_Sell,_Close,-1) ; // same day Close of market buy/sell - this has little impact on performance.
No slippage or commissions
AR = 11%
Why do the 2 systems have such different performance? Is there a bug in one of them? Which one do i trust?
I've tried with other ranking systems and with other universes (e.g. R2000, SP600 SmallCap) and the performance of the 2 systems are not even close.
thanks
Kiran
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