Not spectacular, but making progress
What is your universe?
build it on my own, basically as small cap universe...
Here is a system based on the AI Factor 75% + 25% the Sentiment ranking system
It picks different stuff than my other models, nice for diversification...
Here the first Mid Cap - Big Cap model --> took almost everything out of Estimates and Actuals and put it in the bucket.
Same ML Model as with in the small caps...
- Ranking Model uses Sentiment + bigger Market caps get better ranking + relative strength + the AI Factor.
Gee, start to like that stuff...
Andreas
What is your volume filter?
on the small cap universe AvgDailyTot(20) < 5000000
Do you mean the P123 sentiment system or your own system?
So what is your minimum liquidity requirement? I see the "min vol" in your universe's name.
none --> but the ranking system favors stocks with EPS Estimations --> and they usually have a bit higher volume (Tradable for me), also standard P123 slippage formula is used in the strategy
Here are the holdings of today (for checking the volume...)
AIRI
ALLT
CRNT
CSBR
EEX
ELMD
FSI
GTEC
IPW
MG
NGS
NGVC
NWPX
QUAD
RCMT
RDCM
SHIP
SLNG
SMWB
yes P123 sentiment...
Looks like I need to try out the idea of adding liquidity requirements to the buy rules instead of adding them to the universe rules.
yes, I think it is better to train without a minimun liquidity but then put the min liqudity rule in the buy rule...
The data in the small space is sparce enough, so not limiting the universe I think is a good idea, the more data the ML finds the better...
original model with MedianDailyTot(126) > 100000 in the buy rule (it degrades, but cap curve still looks good...)
Thanks for suggesting this – I have my own method for optimizing ranking systems, and increasing the size of the universe by including the smallest nanocaps really helped!
This is my back test (Linear Ridge) since 2005 (out of sample from the AI saved results).
And the lift chart that goes with it.
Abd the Portfolio
In Paper trading, since the 23 Aug:
This is also a micro-cap strategy with 200 features. I designed my own universe (and my own features)
GEEEE, nice!!!