If I use a ranking system to rank stocks, that will only be updated on Saturday night and then those rankings will apply for the following Monday - Friday… but if I use buy rules that are based on price or volume data then those buy rules actually work on a daily basis?
If yes, are there any other variables other than price / volume that work on a daily basis?
Philip,
Thy all work in a port (not looking back in a sim) except for earnings revisions. I had hope for this idea but have been disappointed to date. For some reason I have trouble showing positive cherry-picked examples. I could show some. But no worries with this port or the rebalance daily idea so far (I do not have anything else that I rebalance daily).
I have no trouble showing this paper-traded port that I take the time to rebalance daily. It even has the benefit of “yesterday’s close” as I just click rebalance each morning with no editing later.
Just to share that it is, surprisingly, not so useful for the factors I use in my port.
Obviously, could be just the factors or the market (value factors, momentum and others).
FWIW.
-Jim
I don’t think you’re understanding what I am asking.
Strategies and screens and ranking systems are updated daily with new data, with the exception of estimate revisions, which are only updated weekly.
If you’re running a backtest, however, all the data except for price and volume is weekly. I hope that answers your question, but if not, let me know.
Yep that’s it perfect thanks. Would it be possible to allow ranking to be done daily in a backtest, assuming the ranking system only uses price / volume data?
That is a good idea, especiall bc. earnings estimates are updated daily. Not sure if it really helps the performance, but worth a try…
Best Regards
Andreas
I don’t think YuvalTaylor saw my recommendation.
I did see it. It’s under consideration.
Ok thanks
