Back to the Future

So I have learned some new tricks while developing the "Industry Breakout" system.  Now I am going back to my original system called "Industry Bull" as I think there is still some potential for the industry strength concept.

Details of my "Industry Strength" system can be found here.  I had put this system aside with an unsatisfactory drawdown of 20% that could not easily be mitigated.  Now I have returned to this system and started tweaking it with some tricks I have learned over the last couple of months.  Some of the changes are:

• Moving to a slightly better ranking system (Olikea's Brainchild)
• Adding a buy rule based on industry breakout (FMedian("RSI(7)",#Industry) > 60)
• Limiting industry weight by adding a sell rule:  Eval(IndWeight > 15, 0.333,0)

I learned the above while developing the Industry Breakout system.  I also added some tweaks to maximize performance:

• Don't buy stocks following a significant down week.  Buy rule is:  Close(0)/Close(5) > 0.99
• I reduced the number of stocks from 30 to 20
• I changed the maximum weight deviation from 30% to 50%

The new system rules are as follows:

Performance is shown below:

The things I like about this tweaked system are that the profit per trade is a whopping 30% and that the returns on good years is sufficient that I can afford to do some hedging to boost the returns on bad years.

I will attempt to do some robustness testing on this system next post and then follow up with some comparison analysis between the two systems I have developed:  "Industry Bull" and "Industry Breakout".

The following are publicly accessible (to Portfolio123 members):

The simulation backtest is available here: http://www.portfolio123.com/port_summary.jsp?portid=409940.

The custom universe is available here: http://www.portfolio123.com/screen_summary.jsp?mt=7&screenid=20173

The ranking system is available here:  http://www.portfolio123.com/app/ranking-system/72662

Have a good weekend!
Steve

Comments

[Jerrod Mason]

Very nice sim, Steve. I'm going to be studying it Two minor observations:
(1) I reran it using 10 stocks, and got 3% better CAGR with no degradation in other measures.
(2) A small tip: I noticed that you append a date to the sim name. May I suggest standardizing (as I do) on date format yymmdd? This allows simplified sorting. Not really important, but something I've found useful.

I have not forgotten the other project.

[Glenn]

I changed to 10 stocks and NoConst > 15, as opposed to > 25. A little improvement with a little higher drawdown : 35% AR, -22DD, 68% wins, Avg Return 34.56%.

[StockMarketStudent]

Glenn and Jerrod - Going back to statements at the beginning of my quest - I don't wish to hold less than 20 stocks. (I also want to manage one port only). My goal is 25% per annum and 15% maximum drawdown. I don't wish to go to 10 stocks or be too aggressive. But other readers might wish to do so thanks for pointing this out.

By the way, Jerrod has promised to automate the data loading for the Ranking System Analyzer!

Steve

[Alisa]

Pleasurable to find some authentic writing finally. I'll sign up to your feed for getting future posts.

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