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Author Topic: Weights when purchasing  (Read 17113 times)
Victor
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« on: June 28, 2009, 04:41:44 AM »

Hello SSP,
Do the weights of each security get reset upon a new trigger?  How do we know the appropriate weights for each security if they are not equally weighted when a MTI trigger is flagged for entry?

Victor
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garilou
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« Reply #1 on: July 07, 2009, 01:08:49 AM »

Hi Victor,
I understand that the question was directed to SSP, and I am also interested by the reply that you will receive.

From previous explanations from SSP, I understand that both system work independently from each other.

The MTI DOWN signal just kinda says: "The SSP orders are so and so, but do not obey to buy orders" .
So if you look at the performances
http://www.superstockpicker.com/portfolios.php,
they are all at 0, because now the MTI is down, and all portfolios are or seem empty.
But if you look at the open orders, for example UPM v4:
http://www.superstockpicker.com/portfolio_Ultimate_Price_Momentum_v4_historical_orders.html
you can see that there ARE open orders and orders history, and performances (some positive!) declared for each stock: those are still updated daily.
For example you will see that, even if the MTI has been DOWN since a few days, Breakwater Resources Ltd. was sold only yesterday (July 6).

The stocks in a portfolio are never equally weighted, whether the MTI is UP or DOWN, since the weights are calculated with the performance.
Since the performance changes every day, theoretically, one would need to re-balance one's portfolio everyday.

So the weights would be exactly like if there was no MTI, the "traditional" SSP system would be unaffected by the MTI Up or DOWN signal.

Once the MTI signal turn UP, you just get back in, depending on the SSP portfolio that you were following, and rebuild your portfolio with the stocks that are shown as "open orders", buying the stocks with the usual SSP system as explained in "How it works". and that you know pretty well.

I am right, SSP?

Louise

PS:
I have done enough "paper trading" when I constructed a pretty sophisticated Excel sheet that recalculated the adjustments for a given portfolio to see that it really made a difference if one followed strictly the SSP system.
But in practice, I doubt that there is a single strict SSP follower: you would need to buy and sell parts of your holdings every day, even if no new order came in, because weights change with performance every day, so sometimes buy 94 more shares of one, sell 13 shares of another one... the number of shares depending on the total capital that you have decided to invest in that particular portfolio.
Even with low trading fees, this would be very difficult.

But when new "Buy"or "Sell"orders, (and when we are not under the DOWN MTI regime) it pays off to re-balance.
« Last Edit: July 07, 2009, 01:18:53 AM by garilou » Logged
Super Stock Picker
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« Reply #2 on: July 07, 2009, 08:47:44 PM »

Hi Victor and Louise,

It was not clearly stated in Victor's question, but I think that he was talking about the "+" portfolios that are emptied by a MTI DOWN signal and are reloaded by a MTI UP signal.
In that case, one would have to buy all the stocks that are present in the same portfolio without the "+" suffix (the former portfolio that does not benefit from the MTI) using the same weighting rule as usual (ie proportionally to the performance of the recommendation in the former portfolio).

So, no, the weights do not reset when the MTI triggers.
As Louise said, the former portfolios are independent from the MTI. And the new portfolios with the "+" suffix use the MTI as an on/off switch over the former portfolios. So, when the "+" portfolio get reloaded, the performance is calculated with the weights that were used in the former portfolio.

The answer from Louise was quite correct, I would just add a few clarifications:
- When the MTI signal is down, only the "+" portfolios are empty. The former ones keep operating and generate buy and sell orders.
- Regarding the rebalancing of our portfolios, some stocks have to be bought or sold to follow our system strictly only if there is a change in the portfolios constituents. If not, there is nothing to do, especially everyday. Modifications of the portfolios happen once a week or once a month.
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Victor
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« Reply #3 on: July 07, 2009, 11:55:34 PM »

Hi Louise and SSP,

Please see my other post on this.  The only thing I'd like to highlight is:
Could you post the weightings?  Ideally, when a new order (buy/sell a security - not driven by MTI) is placed the web page would show "old weights" and "new weights"

Thanks SSP for a great service.  I've been away for a while, but am checking back in again from time to time.

Cheers,

Victor
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Super Stock Picker
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« Reply #4 on: July 08, 2009, 11:49:37 AM »

Hi Victor,

Yes, we want to post the weightings on the portfolio description pages of the portfolios.

We have recently changed the holdings table so that only the ticker is now needed instead the three links we had before (chart, news and quote). So, we plan to use the free room to publish the weights here.

(Out of topic: I don't know if a lot of our members have noticed the change, but now we host a data service that gives access to a lot of financial data on US and, more importantly, Canadian stocks)

Regarding the new weights, that would be more tricky, because they are known only at the end of the session when the new buy or sell orders are to be executed. We could implement a tool on the site that would pick live quotes to determine the weights on the fly. This way, one could use this close to the end of the session to get numbers very close to what we will record with the close prices.
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Victor
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« Reply #5 on: July 08, 2009, 11:57:01 AM »

Hi SSP,

That sounds great.  I'll definitely look forward to these new features.

Thanks again for a great site.

Cheers,

Victor
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garilou
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« Reply #6 on: July 08, 2009, 10:55:52 PM »

Hi, SSP,
You wrote:
Quote
I don't know if a lot of our members have noticed the change, but now we host a data service that gives access to a lot of financial data on US and, more importantly, Canadian stocks

Just wanted to say that I had noticed the nice additions to the site, that's what I meant in my last reply in the topic "short selling portfolio".
We probably reacted to little to show you our appreciation.

Eventually adding the weights will help greatly anyone who would like to build a portfolio in the way you have thought your system, which is much more than just giving "stocks ideas"  like so many other sites do.

Thanks again,

Louise

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