Nisser,
You don’t need the ‘formula weight’ function for what you are asking.
Under rebalance tab select “% Portfolio Weight”
Ender 6.67% in the next box for desired weight
At the bottom under ‘weight constraints’, put how much deviation from ideal size you would allow. If you don’t mind letting your ideal weight shift between 3 and 10%, select something high like 50% deviation allowed.
Except that doesn’t work. See below with the factor set at +/- 40%. It sold 2 and 8 shares with minimal change in weight.
11/13/17 SELL
OSB:CN
-2.0 $44.62 $79.14 $-10.10 97.1 Buy/Sell Difference
4 08/14/17 SELL
OSB:CN
-8.0 $41.57 $322.16 $-10.40 96.8 Buy/Sell Difference
3 02/13/17 BUY
OSB:CN
147.0 $37.66 $-5,553.03 $-17.01 99.6
2 05/21/13 SELL
OSB:CN
-73.0 $32.54 $2,362.32 $-13.10 95.4 Rank
1 02/19/13 BUY
OSB:CN
73.0 $32.01 $-2,353.27 $-16.54 97.4
You need to look at your sell rules.
No doubt you have a sell rule that was triggered…and then you have selected the rule that allows immediate re-purchase…and because of this your system is forced to rebalance.
Have a look at this anyways. Maybe I am wrong.
My only sell rule is NoDays AND Rank >16 (on a single line/rule)
The buy/sell difference then must be purely from the weight…
I would have to see the sim in order to tell you. But I doubt it is from the weight.
Can you make a public version with an example to show us? Something is not adding up and we could tell you in about 5 seconds if we could see the actual sim.
Kurtis
Maybe it has been already discussed: how to change the weight based on drawdown on a position:
e.g. Buy 10% more of a position if drawdown is 5%
Buy AMZN, at equal weight.
AMZN loses 10% on price (but lets say still has a rank above 80), portfolio buys 10% more, so equal weight is again been inforced.
Basically what I want to find out, if it is good to add to the losers of the port. (only if their rank has not
run over a defined treshold, lets say Rank > 80).
Thank you!
Regards
Andreas
I think you could probably to it with an Eval() formula. I have not yet tested it, let me know if it works.
Eval(drawdown yes, desired weight, equal weight)
Example: Eval(Close(0)/Close(20) <= 0.9, 2, 1)
From my point of view, a stock that is down 10% over 20 days would then receive double the allocation than normal.
It worked thank you!!!
Hi, everyone.
I didn’t follow P123 for two years, but I want to come back. Can anybody help me?
Does the new weight option allow to make ERC (equal risk contribution) portfolio of stocks or at least inverse volatility?
Would variable positions be available for books? Also doesn’t designer section allow shorts and books for now?
Thanks.
Hi, yupolv
As far as I know, none of your proposals is feasible.
You do not want to make us sad?
Matthias
yupolv,
I should think that ERC and inverse volatility weighting are facile.
For example, to set weights inversely proportional to volatility, the following two approaches should be roughly equivalent:
1/LoopStdDev("Ln(Close(CTR)/Close(CTR+5))",51,0,5,0) * 51^.5 )1/((ln(1+PctDev(51,5)/100))*51^.5)//dpa
Hi All,
I’d like to test the performance of an overall universe, rebalancing weekly and remaining fully invested irregardless of whether the universe has 1 or 100 stocks that week. I assume I need to use the formula weight for this. What formula do I use?
Thanks
Malcolm