Recent Ranking System Performance

I am going to be quite busy with my job for the next few weeks so my frequency of posts will drop for a while. In any case I'm not in any rush to start trading as the market outlook is still pretty grim.

Something I like to do on a regular basis is to monitor the performance of the ranking system at the heart of my trading system.  When you are checking the performance always make sure you are using out of sample data i.e. if you released a ranking system last week don't check the last year's performance since it is meaningless.

So I'm not exactly sure when Olikea's Brainchild was released but I'm pretty sure it was more than three months ago.  So I ran a ranking performance test for the last three months, weekly rebalance and baseline_universe.  Here are the results:

I've marked in red what I look for.  The top bucket should be outperforming the benchmark index (S&P500).  So even though the top bucket has negative returns it is still outperforming.  And the slope of the returns from left bucket to right bucket is (generally) positive.  So my conclusion is that Olikea's Brainchild is performing well for the last three months.  This is encouraging.

Steve