note to dan - update top123 factors spreadsheet

Research
1

hey dan,

i wouldnt ask this but i remember you saying this was a fairly effortless update. . .is there any way you could post a new/updated list of individual factors performance spreadsheet?

i would really appreciate it. . .and it will five me something to do other than watch all the red lately. . .

2

bump

3

budonk,
I’ll run it soon - I’m down to 1 PC and I’m using that one for other stuff for the next few days. Are you in a hurry ie do you have some time available now to create ranking systems that you wont have next week?

4

no hurry at all, and thanks so much! ! !

5

budonk and all,
I gathered the data for the single factor ranking systems for 3/31/01 to 6/17/06. The file is attached.

Port123 factors list-June06 shared.xls (948 KB)

6

Dan, you’re the MAN … enough said!

Thanks

7

Dan, thanks so much for providing this! Two questions:

  1. What software are you using to get this data?
  2. Do you have any rules of thumb on updating ranking systems on this data? I use the TopFactors ranking system for one of my ports and wonder if I should modify it based on the updated spreadsheet.

Thanks.

8

areid,
Your welcome. I’m glad you find it useful.

I use an automated software testing tool to gather the data. There was a thread on this in the past.

As far as updating ranking systems, I personally have one port that is based on the ranking system we created as a group back at the beginning of the year. The Ranking System name was “TF12-05 ExcellentOnly-Optimized”. There are several public copies of it out there. I’ve been pretty busy but once I have some time I plan to experiment with the top factor results from June to see if I can improve the ranking system.
A good test for the older ranking systems is to run the ranking system performance charts from the time you created the ranking system to the present. This period is ‘out of sample’ and will give you a good idea if the ranking system is really good or if it was an example of curve fitting.