Steve, some random thoughts:
Marco, you are releasing cool features faster than I can keep up. Thank you! I had been using the FMedian() function to estimate industry time series but I just got much better results using the new time series!
Now if only you would release variable position sizing; especially for ETFs…
Is there a way to rank industries and then rank stocks using a common rank system?
e.g.
RankInd>90
Rank>90
with universe rank assigned to Balanced 4
i.e.
Pick industries using ranking system Balance4 with rating >90 then stocks within those industries that have rank>90 using balanced4?
Thanks
Digging into this a little further, it appears that 60% of the industries are tied for last place. The ranking algorithm doesn’t assign ranks that span the range 0-100, but works from highest to lowest. Hence the lowest rank for today’s date is about 58. I’m not sure what the 2 N/As are all about as it is irrelevant what individual stocks are being covered by analysts.
I’d like to see an option where the ranks span the range. In this case the 60% of stocks would be assigned a rank of 0. The top ranked stocks 100. The way it works currently, the compacted range makes the factor(s) almost ineffective when combined with normal factors.
Steve
calif - you could in theory construct a ranking system using all industry factors. You would have to check to see if Balanced4 could be implemented (i.e. are all the industry factors available?). Then you could add additional stock factors to separate stocks within an industry.
Steve
Steve , investigating. Looks like N/As but should not be
Bad news. The Industry ratio CurrYRevRatio4W & NextYRevRatio4W is this
(#TotUpRev - #TotDnRev) / #TotEstimates
But to avoid divide by 0 it needs to check if #TotEstimates is NA or 0. The program is doing the check, but using the values of the very last stock in the industry. So it’s up to chance whether the last stock has values or not, resulting in many NAs for the Industry
Very sorry about this. Will be fixed later. I don’t think it’s a popular ratio since it’s not in the literature.
PS: this is not related to the new release. This bug has bee there since we switched to Compustat and had to re-write it. Which means that when we were checking for correctness, the industry we picked happened to have a stock in the last position with valid values
Marco - its good news! Now there is an explanation and based on what I see, I think it will become a very popular factor.
Steve
Florian: Use [font=courier new]#Sector[/font] instead of [font=courier new]#MATERIALS[/font] and you should be good to go.
Steve,
Here’s the rank performance with the fixed CurrYRevRatio4W
Will be released after market close today. Thanks for reporting it.
Same for the Next Year?
Steve
Yes. The same notorious copy-paste coding bug.
Marco - I just tried another factor, this time Sector with ChaikinAD(20). https://www.portfolio123.com/app/ranking-system/248712
You can see the results below.
I think each one of these needs to be tested. Perhaps some people from the community can pitch in? Its better to get the bugs out of the way before models get unleashed.
Marco - is it difficult to expand the Sector factors i.e. include fundamentals?
Steve
I have these 2 rules in the screener for the universe.
HighValBar(120,0,#industry)<=25
Close(0,#industry) > SMA(40,0,#industry)
The universe shows a total of 169 stocks with those 2 rules included.
When I run the sim with this universe it returns: “No stocks were ranked. Empty universe found.”
Something does not work here. If I remove these rules from the universe and include them in the buy rules then the sim works perfectly ok.
Steve, not every TA function are available for industries and sectors. Only the ones with a series parameter for now. ChaikinAD should not be displayed in the sector node reference and give an error when used.
Geov, It works but your rules are too restrictive. Systems do not allow empty universes. Try loosening up the universe rules
Marco, the rules are not too restrictive. As I said the universe still shows 169 stocks. So why are they not ranked?
Marco - I assume ChaikinAD will be taken out then?
Marco,
In a rankings system are industry formulas (industry versus other industries) the same as FMedian(“…”, #Industry) in a regular stock formula?
Geov, at some point in time there are no stocks.
Steve, we’ll see if we add it. It involves volume, which we calculate. I want to do a visual inspection w/a chart before
Chipper, No. In Industry nodes the percentiles are uniformly distributed (assuming no NA’s), FMedian in a Stock node the rank “steps” will vary with # of stocks in each industry
Marco - I’m not concerned about adding ChaikinAD, other than it shouldn’t be listed if it generates an error. Thanks for removing the function BTW.
What I would like is to see the addition of fundamental factors for Sector, same as already exists for Industry. Not urgent, but I prefer to work at the sector level as opposed to the industry level.
Thanks
Steve
