I get skeptical when I do something in the simulator that gives much better returns. This Formula Weight gives me next to 10% better annual return. Is there something I haven’t understood, or is there something about the settings that is unrealistic
Question two, are there any other suggestions for the “Position Weight Formula” that I can test?
1/MktCap is pretty extreme. You get a stock with a market cap of $10 million and it’ll buy ten times the amount as a stock with a market cap of $100 million. But try actually buying a large quantity of a stock with a market cap of $10 million. That’ll be hard.
Try 1/Rankpos or 1/(Rankpos+10) instead, and use MktCap as one of your ranking nodes, lower better.
But if I have a buy rule and a universe rule like this, won't that fix the problem (mktcap>=30 and MedianDailyTot(91) >( 150000) and price > 0.5 ) ?
Maybe. Try it and see.
