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                                                   Ranking System Manager and Simulator yield very different results

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Kiran
2019-03-14 13:06:13


I used Ranking System Manager->Analyze Nodes with the following configuration
Node - perf(ref(close,15),55)
Symbols - SP500 stocks
Dates - 1/1/2014 ->1/1/2019,
Rebalance period: 22 days
No of buckets: 30 (so, top bucket has around 16 stocks)

AR of top bucket = 45%

I configured the Simulator with the same parameters
rank1 = comp(perf(ref(close,15),55),"rank",1, 1);
Buy = rank1<17
16 positions
Symbols - SP500 stocks
Dates - 1/1/2014 ->1/1/2019,
Rebalance period: 22 days
SetSimTiming(_Buy, _Close, -1); SetSimTiming(_Sell,_Close,-1) ; // same day Close of market buy/sell - this has little impact on performance.
No slippage or commissions

AR = 11%

Why do the 2 systems have such different performance? Is there a bug in one of them? Which one do i trust?
I've tried with other ranking systems and with other universes (e.g. R2000, SP600 SmallCap) and the performance of the 2 systems are not even close.

thanks
Kiran



QuantShare
2019-03-15 07:14:15

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The tools are quite different. The ranking system will calculate the average return and annualize the result while the simulator will create a true portfolio strategy and reinvest any gain.

How did you define the rebalance period in the simulator? In the trades tab, check the number of bars held? Is it around 22 for all trades?
What is the output/buy-sell timing rules in your ranking system?



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