Hello Andreas, I’ve set up two versions of this port as a live system on automatic re-balance.
I’m also working on a Canadian version (where I’m from), but so far I can’t get the results like in the US versions yet. Getting about 28% CAGR (20 yr), but higher DD (with hedge). This sim also shows a very volatile last two years, overall performance is essentially flat. The Canadian market is very different than US, i.e. higher concentration of financials, energy/mining, resource etc. There are several P123 factors that are unavailable for Canadian stocks as well, i.e. short interest. I also find a higher proportion of small cap/low volume Canadian stocks are uncovered by analysts (which can be a good thing), but any factors relying on analyst estimates will provide a high proportion of NAs.
See 10 & 20 yr sims for the Canadian version attached, 25 stocks.
Not invested yet in the US versions yet, I’ll see how they behave in realtime/out of sample, it’s also a good way to ferret out any bugs, i.e. see the actual stocks being selected, some can be fantastic on one factor and an absolute dog on another. I’ve started doing this the last few months on other sims/ports, this is a very valuable tool and strategy I’ve only recently started using.
If I trade it, I’ll need to change brokers for this low volume account. My current broker doesn’t offer GTC orders.
Any tips on the buying w/ GTCs? My take is the best way is to put in an order 2-3% lower than Friday close, and wait a few days. Any tips/tricks would be great!
I’ll keep you posted with any developments.
Thanks for sharing your twitter progress, I’ll be sure to follow you.
Love your posts and videos, keep it up. And good luck going pro next year!
Cheers,
Ryan