Showing posts with label relative performance. Show all posts
Showing posts with label relative performance. Show all posts
Monday, May 16, 2011
Performance Tracking
Over the last few days I added performance tracking facilities to the website. One can view own or system prediction performance history (currently latest 20). There's much to improve but it is a good start. One thing to keep in mind is that the latest prices are from the previous business day. Today's predictions are not shown for that reason.
Tuesday, May 3, 2011
New models
I have been actively building, analyzing and deploying new models based on the new infrastructure. In order to easily swap models in and out the feature calculation engine is now running on all cylinders - calculating all 650 features - and running a lot slower than before. Some used few, some - like the current one - used a lot of them.
Speaking of the current model; it is based on roughly 60,000 company statements, both quarterly and annual spanning 15 years; from December 31st, 1995 to December 31st, 2010. It makes good use of a couple of hundred features, mainly past relative price patterns and variations on dozens of measures of company strength versus peers.
The expanded date range (compare to previous models built on 5 years) provides the model with data points of various "markets" - bulls, bears, bubbles etc.
I ended all CAPS predictions so as to start fresh with these new models. Will most likely add functionality to the website which does similar tracking so I don't have to spend as much time just entering predictions manually in the Motley Fool CAPS.
Speaking of the current model; it is based on roughly 60,000 company statements, both quarterly and annual spanning 15 years; from December 31st, 1995 to December 31st, 2010. It makes good use of a couple of hundred features, mainly past relative price patterns and variations on dozens of measures of company strength versus peers.
The expanded date range (compare to previous models built on 5 years) provides the model with data points of various "markets" - bulls, bears, bubbles etc.
I ended all CAPS predictions so as to start fresh with these new models. Will most likely add functionality to the website which does similar tracking so I don't have to spend as much time just entering predictions manually in the Motley Fool CAPS.
Monday, March 21, 2011
A quick look at the worst performing picks
QPSA predicted +0.1786 vs market on 1/28/11. Has since fallen 61% vs market -0.2%. Seems the market changed its mind very rapidly and very aggressively. Clear example of numbers vs sentiment.
MTRX predicted -0.1094 vs market on 2/11/11. Has since increased 16.92% vs market decrease of -1.72%. Others agree - recent rise in crude prices, refiner crack spread etc directly affect this refiner servicer and market changed its mind.
SEED predicted +0.1579 vs market on 2/3/11. Has since fallen -19.05% vs market -0.73. It turns out the prediction is based on 9/30/10 stmts and not the latest 12/31/10 ones. The initial prediction was correct - pending new information which it lacks and it is indeed critical. The latest stmts indicate year-on-year decrease for the same qtr hence the price decline since those stmts were filed/published. In addition, we lack qtrly stmts basing the prediction on just the annual ones which indicate strong growth. Will change the system back to the initial 3 month timeframe - if no stmts within that timeframe then no prediction!
MTRX predicted -0.1094 vs market on 2/11/11. Has since increased 16.92% vs market decrease of -1.72%. Others agree - recent rise in crude prices, refiner crack spread etc directly affect this refiner servicer and market changed its mind.
SEED predicted +0.1579 vs market on 2/3/11. Has since fallen -19.05% vs market -0.73. It turns out the prediction is based on 9/30/10 stmts and not the latest 12/31/10 ones. The initial prediction was correct - pending new information which it lacks and it is indeed critical. The latest stmts indicate year-on-year decrease for the same qtr hence the price decline since those stmts were filed/published. In addition, we lack qtrly stmts basing the prediction on just the annual ones which indicate strong growth. Will change the system back to the initial 3 month timeframe - if no stmts within that timeframe then no prediction!
Friday, March 11, 2011
Whooaa - what happened to the numbers!!?
Some of you (hopefully ;-) may have noticed the prediction range changed drastically. If you were trying to get a feel for the range in order to figure out real high and real low scorers then I apologize. We'll eventually settle into a frozen score range like +/-100 or whatever.
Well the change was warranted. I've said in the past that prices past latest statement date do not affect the prediction. Well that was a HUGE problem and it is now addressed - not entirely but well enough until the next round of models come along. It was even a problem for myself who could view the system logs and act on the prediction as soon as the system got the recently filed latest statements. For those who did not and looked one up weeks later anything was possible. The stock could have moved up or down a lot since the initial prediction date. And that makes all the difference.
Regardless, even with that handicap we've beat the S&P 500 by 0.78% per stock in the last month alone since I started tracking it in the Motley Fool CAPS - look up paranumeral. Well that is PER STOCK and I entered the maximum number of stocks I could enter one at a time without regard to the absolute value of the prediction; simply OUT/UNDERPERFORM based on +/-. And that is 200 so the total return is 167%. According to the Fool """A player's score is the total percentage return of all his picks subtracting out the S&P.""
Well the change was warranted. I've said in the past that prices past latest statement date do not affect the prediction. Well that was a HUGE problem and it is now addressed - not entirely but well enough until the next round of models come along. It was even a problem for myself who could view the system logs and act on the prediction as soon as the system got the recently filed latest statements. For those who did not and looked one up weeks later anything was possible. The stock could have moved up or down a lot since the initial prediction date. And that makes all the difference.
Regardless, even with that handicap we've beat the S&P 500 by 0.78% per stock in the last month alone since I started tracking it in the Motley Fool CAPS - look up paranumeral. Well that is PER STOCK and I entered the maximum number of stocks I could enter one at a time without regard to the absolute value of the prediction; simply OUT/UNDERPERFORM based on +/-. And that is 200 so the total return is 167%. According to the Fool """A player's score is the total percentage return of all his picks subtracting out the S&P.""
Thursday, December 9, 2010
Who, what for and a little how
Active investing is all about finding stocks that will outperform the market (index). Passive investing is basically investing in the total market or some approximation of it such as SP500, DJIA, Russell etc via an index fund. Investment advisors get paid to do active investing and they better beat the market (at least more often than not). Otherwise why pay them 1-?% to get 8% return when you can get that from an index fund which charges you 0.25-0.75%? So money managers are constantly looking for the best (relative to country, market or industry) stocks to add to their portfolios given their investment style or guidelines. Paranumeral is designed to be a tool to aid money managers, and anyone else really, in evaluating potential stocks. It does not limit the money manager to a top X list but instead allows him or her to get another opinion on whichever stock they care for. It also does not broad brush and bucket into buy, hold or sell.
Each query, currently one ticker at a time, produces one number. The closer to zero that number, the closer that stock is predicted to perform relative to the market basket of stocks in the system at the time (~6K for this quarter). The more positive/negative the number the better/worse that stock will perform relative to the market. The prediction time frame depends on the arrival of new information. In essence it outputs a prediction given the latest, and all previous, financial statements for the company and all other companies in the system. The prediction will change as soon as new statements for this company, or any other companies, deemed relevant are loaded in the system. Prices, for given company, market overall or relevant companies, after latest financial statement dates currently do not affect the prediction but may do so in the future.
Each query, currently one ticker at a time, produces one number. The closer to zero that number, the closer that stock is predicted to perform relative to the market basket of stocks in the system at the time (~6K for this quarter). The more positive/negative the number the better/worse that stock will perform relative to the market. The prediction time frame depends on the arrival of new information. In essence it outputs a prediction given the latest, and all previous, financial statements for the company and all other companies in the system. The prediction will change as soon as new statements for this company, or any other companies, deemed relevant are loaded in the system. Prices, for given company, market overall or relevant companies, after latest financial statement dates currently do not affect the prediction but may do so in the future.
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