Do you fit your RS model to each country?

General
1

I understand that a lot of you guys buy stocks in the US and Canada.

Do you fit your ranking systems to each country? I have made a RS for the US and Canada combined:
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But when using it only on Canada, it produces:

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Is there a good reason to fit each RS to the country they are supposed to invest in? How do you solve this? Is the effect of stock factors so different in each market that, in some way, they should be adapted? What then with Europe, with a lot of different markets?

2

I would say no. A system will generally work better when the universe is bigger. Possibly you simply find worse performance in Canada because there are fewer stocks in Canada than in the U.S.
Another reason that performance varies from country to country is that the composition of sectors and industries is different. Something I would like to try is build ranking systems for different sectors, but it’s quite time consuming, but I think it would make more sense than for different countries or exchanges.

3

Wow, what a great idea! I have never seen any discussion or any system that is adapted to each sector.

4

What function would you use to combine them after you have made 10 separate ranking systems for each sector?

5

I have not actually done this. But you could probably use this method: