A r2g subscriber asked me if my modells would work also in Canada. The 5 Stock Modells do not work well (positive though, but not
to compare), since
they need a huge universe of stocks since their earnings selection criteria is very strict.
What works well with canadian stocks are my 3 Month 100 Stock models.
I trade a similar one (with US Stocks) and made 22% since Dec. last year with almost no work at all and
with a very low mdd since then.
Be carefull when you trade then, Limit your trades and use GTC Trading Option (good to canceled), look at the Chart and set you
Limit 2-5% below (Buy) or above (sell) the current Price, and then adjust the unfilled for 2-3 Weeks.
I was able to create positive silippage with that Approach.
Interesting model, Andreas, however a bit unwieldy with 100 stocks.
The ranking system is intriguing, it lends itself well to All Fundamentals - CANADA universe. I played with it, works best with long re-balance periods, therefore less effort. Have you tried changing the buy and sell rules to high ranks. Using Buy: Rank > 95 and AvgDailyTot(20) > 25000 Sell: Rank < 96 I was able to get returns in the 50 to 100% range, Sharpe = 4.24 with 20 stocks. The returns for 2014 were incredible, much better than most R2Gs. But my current membership level is only “Lite” and limits my simulation period to data from the last two years, a good period for the Canadian market.
Wow, thank you rallan, no I did not try this. Your Set up brings good results on canada, but on us its even much more interesting!!!
Thank you!
Andreas
When dealing with the Canadian universe, look at excluding mining: Industry!=mining
Canadian exchanges are heavily weighted in mining stocks and these require a very different approach to evaluation from the ones used for most other industries.
This is an interesting sim. I find it hard to get good performance out of the TSX Venture Exchange universe with most ranking systems, but this ranking system works very well with it. In this particular case excluding mining in the Buy rules boosted the performance ~20%.
My own commission charges are ~USD$4.50 per trade. I set the slippage at 0.1, but with a 4-week re-balance period it doesn’t affect too much.
Note the sim period is only Aug 2012 - Aug 2014, due to my limited membership.
Also I made another robustnes test with my 3 Month micro cap model.
Buy 100 Stocks and hold until today. I tested 14 Years (e.g. 1999, 2000, 2001 etc.)
ALL with o.k. results (and you can see the Point in time stuff of p123 because you will not have
a 100 Stocks at the end!) around 15-22% Performance per year (heavy drawdown because
I tested without market Timing).