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SteveL

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Joined: 8/19/2005
Location: Boulder, CO

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Subject : RE: "Use DSS Results" DOES affect PortSim
Posted : 4/25/2014 3:09 PM
Post #31284 - In reply to #31282

I'm going to amend my last post with some additional input.

In my prior test, I had two lists. One was a subset of the other. I had the subset list selected when analysis was run. But it appears that DSS is ONLY run on the currently selected list, not all the lists in a profile. So, when I went to PortSim, and had "Use DSS results" enabled, and looked at the results in the two lists, I saw very similar results (but not identical). When I returned to the Focus List, I saw that DSS had NOT been run on the larger list. That is, only the symbols in the subset list had DSS rankings. So, I think only those DSS ranked symbols were selected in the PortSim analysis.

So...
I just re-ran the analysis of the larger list with DSS ranking active using liquidity for ranking, and then PortSim with and without "Use DSS results" enabled. The results indicate that PortSim does not choose the trades based on their rank order, but rather based on whether they "were ranked or not". That is, those with a ranking (whether hi or lo) are in the bucket for trade selection by "Trade Selection" criteria. So, in Portfolio Simulation, DSS ranking simply makes them available as a potential trade, and the Trade Selection criteria determines the order in which those DSS selected trades are taken. And if no Trade Selection criteria is specified, it ranks by Symbol Ascending order.

Deleting message 31284 : RE: "Use DSS Results" DOES affect PortSim


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