Last Year of results

StrataSearch will find what you tell it to, but what should that be? Will the same criteria work across different Sectors? Different time periods? Here we discuss the ins and outs of OneClick Searches.

Last Year of results

Postby taowave » Wed Mar 12, 2008 12:53 pm

Hi Pete,

I think we have touched upon this,but is there a field for "% return last 12 months"??

I have many systems that do spectaculary well 200-2002,then peter out with the current market conditions.The early returns were so high that it still produces a decent APR.

I know I could use minimal skew or percent profitable years,but I was wondering if there was a formula for "last 12 months" or current year??

thanks,

Allan
taowave
 
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Joined: Sat Dec 02, 2006 12:39 pm

Postby Overload » Wed Mar 12, 2008 1:52 pm

This is an ideal situation for the Alternate Data filtering. If you've not used the Alternate Data feature before, you can read about it by entering the Help > Contents, Advanced Features chapter, and looking at the page titled "Alternate Data Analysis".

In short, you can set up an Alternate Data analysis for the final year of your full Evaluation Period. By adding a filter for this on the Strategy Performance tab of your OneClick Setup, you can then automatically reject all strategies that weren't successful in that final year.

Hopefully that gets you pointed in the right direction, but let me know if you have additional questions on this.

Pete
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Postby taowave » Wed Mar 12, 2008 2:04 pm

Perfect...We had touched upon this,but I couldnt remember the details...So I could set up a formulas similar to Alt data% return/Best year return and set up a filter on that...For apples to apples,I would run a 1 year Alt Data period vs best year return..

Thanks,

Allan


Overload wrote:This is an ideal situation for the Alternate Data filtering. If you've not used the Alternate Data feature before, you can read about it by entering the Help > Contents, Advanced Features chapter, and looking at the page titled "Alternate Data Analysis".

In short, you can set up an Alternate Data analysis for the final year of your full Evaluation Period. By adding a filter for this on the Strategy Performance tab of your OneClick Setup, you can then automatically reject all strategies that weren't successful in that final year.

Hopefully that gets you pointed in the right direction, but let me know if you have additional questions on this.

Pete
taowave
 
Posts: 584
Joined: Sat Dec 02, 2006 12:39 pm

Postby Overload » Wed Mar 12, 2008 2:47 pm

Exactly. A ratio with Best Year is certainly one way to do it, or you could also use the Average Annual Return or various others. On the OneClick Setup, you can also configure a minimum for your ratio, rejecting strategies that don't meet your requirements.

Pete
Overload
 
Posts: 2246
Joined: Wed Nov 30, 2005 12:14 pm


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