you mean that the file I attached has this wonderfull result just made with that simple rules and the RS attached?
This is very important to me, because it means that I just have to focus practically on the RS !!! Buy and sell rules seem almost irrilevant
yes I do not use a lot of buy and sell rules, they reduce “degrees of freedom” e.g. the more buy and sell rules you got, the more
you might overfitt (oh goodness, now I startet a 1000 Year old discussion!!!). Also my best backtesting results always have not much buy and sell rules…
That said, in your ranking system, you can have a lot of factors and in my experience that does not tend to overfitt systems, they
stay robust.
Also that said, there is one buy and one sell rule missing, that I do not want to reveal. They are key though. Hint: Small Caps!
2nd Hint: Also read the blog
of Yuval Taylor ther is a ton of gold https://backland.typepad.com/investigations/.
(I really can not say more, the key of the presentation is to show what is possible and the idea of robustness tests)
@All
I will add sector robustness tests in the presentation (10 or so more Slides)…
Your sim is great. Is it ok for you to share the IBD smartselect clean ranking system with us? Otherwise we will all looking for hints how to replicate your success.
I have also build a small cap multi factor screen but the sim performance is not as great as yours. I have made it visible for all to see, just search using my username “ustonapc”
I copied your rules, but without knowing your RS (you probably did not realize is not visible to other subscriber) the result since 01/01/2017 is around 20-22 % (against 14% of IWB) with some RS I tried. I also nociced your rebalance period is daily… So, if you share the we can dig in it…
What’s the starting day of your screen?
Fabio
Anyone can create a super high performance backtest and save it as a port with the appearance of having been run for a period of time, causing it to show up at the top of the Weekly Report performance list. Don’t be fooled by this, it is just a marketing ploy and one of the many reasons that P123 should be looking at replacing the weekly report with something more meaningful.