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Jrinne
Ideas on tweaking margin in ports

All,

I have started some new models that use more buy/sell rules than before. What I am noticing is new for models I use, but probably pretty routine for many.

My ideal holding size is 15 stocks. Yesterday I essentially wanted to add a stock that was new to my buy rules but there were no sells that day. I had to add cash before the rebalance automatically bought the stock. Obviously, I could have done this manually and adding cash was not a problem.

But also, I could have missed that it did not buy that stock if I were not paying attention.

Today a different port with this same strategy only bought 12 stocks and did not fully invest (leaving some cash). I would have preferred to put 100% into cash.

I am not interested in any platform changes from P123. I will start playing with the margin. I am okay if the port goes above cash to buy the 16th or 17th stock that day. And obviously, I am capable of adding cash, changing the ideal number of stocks each day or doing a few things manually.

Thanks for any ideas or experience with this.

Jim

Great theory, "and yet it moves."
-Quote attributed to Galileo Galilei (1564-1642) gets my personal award for the best real-world use of an indirect proof or reductio ad absurdum.
`

Oct 19, 2021 8:21:40 AM       
Edit 1 times, last edit by Jrinne at Oct 19, 2021 8:25:16 AM
yuvaltaylor
Re: Ideas on tweaking margin in ports

I'm not sure I understand the question, but this simulation might help you: https://www.portfolio123.com/port_summary.jsp?portid=1652284 . This holds approximately 15 positions and only sells a position if a new one is bought. Each new position is bought at 6.25% of the portfolio. Check out the bottom two charts, the trading system (especially the buy and sell rules and the rebalancing tab), and the transactions.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Oct 19, 2021 9:04:38 PM       
Jrinne
Re: Ideas on tweaking margin in ports

Thank you Yuval,

I was not aware of PosCnt before your post.

Jim

Great theory, "and yet it moves."
-Quote attributed to Galileo Galilei (1564-1642) gets my personal award for the best real-world use of an indirect proof or reductio ad absurdum.
`

Oct 20, 2021 2:35:23 AM       
Edit 1 times, last edit by Jrinne at Oct 20, 2021 3:14:35 AM
chris319
Re: Ideas on tweaking margin in ports

If you're interested in margin, I highly recommend a book by Ralph Vince entitled Portfolio Management Formulas .

It is thick with math but you can get through that. It really opened my eyes when I read it back in 1991.

He has written several other books since 1991. I don't know if any of them are lighter on the math and emphasize ideas more.

https://www.amazon.com/Portfolio-Management-F...547387&srpt=ABIS_BOOK

Oct 20, 2021 12:40:48 PM       
Jrinne
Re: Ideas on tweaking margin in ports

Chris,

Thank you. Looking at the table of contents already makes me like this book. Not just about margin, it looks like. Some good stuff that I think is important. E.g., we do not use the geometric mean enough or at least I do not use it enough to make it intuitive.

And every time we think we see a trend we should do a runs test (which is in the book).

Best,

Jim

Great theory, "and yet it moves."
-Quote attributed to Galileo Galilei (1564-1642) gets my personal award for the best real-world use of an indirect proof or reductio ad absurdum.
`

Oct 20, 2021 1:28:56 PM