Combination Listing

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Combination Listing

Postby taowave » Wed Sep 05, 2012 10:50 am

Hi Pete,
For Portfolio sizes in Combination listing,the user can currently select1,5,10,15,20 etc..
As described in the manual,the stock selection is essentially alphabetical so if we select a portfolio size of 10 and 50 stocks met our criteria,the ABC's will make the cut,while the XYZ's do not.

Would you please enable the user to select "ALL" stocks as opposed to a max of 20??
I think it is a much better quick indicatorif one knows how a rule performs if every trade is taken as opposed to a somewhat biased sample..

Thanks,

Allan
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Re: Combination Listing

Postby Kevin_in_GA » Wed Sep 05, 2012 8:46 pm

I thought this was determined by the rank tab in the strategy? I have been using

random(1,100) descending

to select the stocks, which I think may be more accurate a reflection of real trading. However, it can also give you different results on each run. I generally use the Monte Carlo results to assess the system with the trade selection being set as random.
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Re: Combination Listing

Postby Overload » Thu Sep 06, 2012 8:45 am

Kevin is correct that stock selection is based on the Rank formula if one has been set up, but defaults to alphabetical if not.

As for the use of "All Trades", keep in mind that only the xPortAPR numbers are portfolio based in the Combination Results Listing. All other numbers, such as AvgTradePct, NumTrades, and PctProfitable are based on "All Trades". So you can evaluate the system's performance based on "All Trades" by examining the other numbers.

We considered creating an Annual Return based on "All Trades" in the past, but found the number to be meaningless. If there is no denominator based on "portfolio size" then the value simply increases when the sector size increases, and it has no meaningful connection to what would happen in live trading.

Suppose that we had a sector with 1 symbol, and a sector with 100 symbols. Then suppose that all symbols produced a gain of 5% during the 1-Year Evaluation Period. By summarizing the returns, without a denominator of portfolio size, our returns would be:

1 Symbol Sector APR: 5%
100 Symbol Sector APR: 500%

The sector with more symbols has a drastically better APR, but doesn't actually have better performance per symbol. The Russell 2000 would perform even better, simply because there are more symbols in the sector. But would anyone really buy 2000 symbols at one time to achieve that APR? That is very unlikely, making the APR of "All Trades" very disconnected from what would take place in real trading.

However, if you want to include more trades in your evaluation, you have the option of using a Custom Portfolio Size that is larger than 20. On the Setups > Trade Settings menu, Detailed Analysis Trades menu, check the box for Custom Portfolio Size and enter a Portfolio Size that is the same size as your Sector. After running a Detailed Analysis, that Portfolio Size will then be available and you can see the results based all of the trades in your sector.

Pete
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Re: Combination Listing

Postby taowave » Thu Sep 06, 2012 6:19 pm

Hi Pete,
Is there the capability to make custom fields/calcultions in combination listings?
As an example,if i take (365/Avg days) x Avg Trade Percent I would have an Avg Annual ROI..

It would be nice to have the ability to manipulate the current fields and have custom metrics..

Allan



Overload wrote:Suppose that we had a sector with 1 symbol, and a sector with 100 symbols. Then suppose that all symbols produced a gain of 5% during the 1-Year Evaluation Period. By summarizing the returns, without a denominator of portfolio size, our returns would be:

1 Symbol Sector APR: 5%
100 Symbol Sector APR: 500%

The sector with more symbols has a drastically better APR, but doesn't actually have better performance per symbol.
Pete
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Re: Combination Listing

Postby Overload » Fri Sep 07, 2012 8:58 am

Is there the capability to make custom fields/calcultions in combination listings?

Creating custom columns in the Combination Results Listing is not possible at this time, but that feature is already on the list of possible future enhancements. For now, you can create custom columns on the Summary tab of the Detailed Analysis, or you can also export the Combination Results Listing to an Excel Spreadsheet and create custom columns there.

Pete
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