Hi all,
When running a simulation, P123 offers a number of indices as benchmark (e.g. SP500) - but is there a way to use a user-defined universe as benchmark?
This would allow to check where the performance of the strategy is coming from i.e. the universe selected versus the strategy itself (as in ranking, buy and sell rules).
A lot of the strategies on P123 use small caps universes, so comparing with the SP500 is useful but not perfect.
In this case, I have defined a universe with criteria such as:
- country(“CHN”) = false
- universe(NOOTC)
- Industry!=REIT
- close(0)> 3
etc…
As of today I have 2469 stocks in it; one year ago → 2381 etc (i.e the number of stocks in the universe is not constant).
It could be approached as a simulation that buys all the stocks in the universe with equal weight at each -say- weekly rebalance and kicks out those no longer in this universe
… but because a) the number of stocks is not constant and b) there are too many for the simulation (i.e. weight of each position is circa 0.04%), the position sizing tab prevents from doing this.
Did I miss a trick?
Thx in advance,
JMH
NB: also → it might be useful to have the SP500 Total Return as a benchmark when comparing with a strategy.
I assume most strategies on P123 reinvest the dividends at the next rebalance, therefore the better comparator is SPXTR not SPX. For those who need this info, I finally found the time series (for free!) here:
www.cboe.com/micro/buywrite/dailypricehistory.xls.
One can then replace the SP500 times series in the excel export provided by P123 as a simulation results by SPXTR.