SteveL Veteran   Posts: 262 Joined: 8/19/2005 Location: Boulder, CO  User Profile | Vinay and Jim (and a question for Barry): I need to retract what I stated at the start of this thread. Observing how Ed's ELS100 (top 100 most liquid stocks and ETFs) list works so well with the OmniVest strategies, I decided to take another look at DSS, this time using liquidity (AVG(V,20)*AVG(C,20)) to rank many trades being produced by many RTM strategies. First: The PortSim "Use DSS Results" option DID produce a difference (unlike the testing I did a year ago). And, as expected/hoped, it produced a better return than not using DSS to rank the trades. Second: But, even with DSS results enabled, the "PortSim Settings -> Trade Selection - Rank Trades By" still affects the results. With DSS ranking enabled, plus Trade Selection-Rank Trades by Advisor Ascending, I got improved results vs not using DSS Results. Then I reversed the Trade Selection criteria to Advisor DESCENDING. And the results changed a little, actually improved slightly, indicating that the DSS rank is not the only factor affecting the ranking in PortSim when enabled. It was a minor change, but I didn't expect any change. I expected either DSS ranking or Trade Selection ranking, but not a combination. Question for Barry: If trades are ranked by DSS, then how does Trade Selection perturb that ranking in a PortSim analysis? That is, how do these two different ranking techniques interact in PortSim? Thanks. [Edited by SteveL on 4/25/2014 2:10 PM] | |
