Discussion in 'Educational Resources' started by chaimshmerel, Jan 31, 2006.

  1. I am new to this thread. I recently subscribed to Portfolio123. Every time I run a simulation and make the smallest of changes, I get vastly different results. Even a change as small as a week difference in inception date. This is troubling to me, as I am not sure how accurate their results are. Their seems to be one user on the forums who goes by the name of Denny, who seems to have mastered the art of portfolio123 simulation and executing well. I can't seem to find many others who are delighted with this product.

    Does anyone else have any comments, either good or bad about the use of this product.

  2. This looks like an exciting site. For me, a way to increase my sharpe ratio, because my current system has a low ratio for some reason. Is there a way to use other peoples models? For example the value with momentum strategy looks great, 50% returns and a 2.4 sharpe ratio.
  3. Yes, you can use other peoples models and make a few adjustments.
    It all seems to good to be true though. I just don't know how accurate or good the data is. It appears very sensitive to the slightest tweak.
  4. I tested it without any valuation and used the ranking system based on price strength relative to the universe of stocks and the returns appear realistic, 20% or so return with 40% drawdowns from 2001-present.

    Id like to find a way to code my own relative strength ranking system on another platform and see if the method has validity.
    Currently, I dont have the ability to rank a universe and only select from the top 90%.

    Seeing how well some of the systems posted do, it seems this could be the future of value investing.
  5. I paid attention to your note about changes in the returns when modifications are made. I tested Momentum Value on the SP500 and it didnt beat the index, in fact it was less than the index when I made it buy only 52 week highs and sell after a 20% drop. The system only performed when their was a universe of stocks to choose from.
  6. Couldnt add to my post so...

    It seems none of these systems do well trading only the SP500.
    That sends question marks through my brain. I realize the returns are likely lower when trading efficient stocks, but you should be beating the index by alot when trading a system.

    My other SP500 portfolio system returns 22% and 11% drawdown with a sharpe ratio of .5. It seems I'll stick with my system for now.

    P123 System:

    Annualized Return 11.60%
    Max Drawdown -31.42%
    Sharpe Ratio 0.53
    Correlation with S&P 500 0.79
  7. I do agree, your simulation should beat the index by a wide margin. When one is trading it with real dollars, you have to account for slippage, especially if you are rebalancing regularly.
  8. I always thought that drawdown was the amount that you are down from the highest point at any time. Can anyone comment on this?
    It appears that drawdown is measured here from inception date, and not from recent high. Is this correct?
  9. It musnt be, thats wrong! It cant be for any legitimate financial site. Drawdown is the highest high to the lowest low with the highest high preceding the lowest low.
  10. I've been using Portfolio123 for almost a year. Yes, some members are doing extremely well with their systems. I generally trade small cap stocks, and Portfolio123 is doing very well for me so far (100%+ annual return). I will say that the best systems are based on small and mid caps. People have had difficulty coming up with large cap systems that perform as well.

    You can use P123's pre-designed systems, copy other members' systems, or design your own. I can honestly say that my trading skills have improved tremendously since I joined.
    #10     Feb 2, 2006