great! looking forward to it
hi!
Feb 12th, 2018 11:13 pm
Feb 17th, 2018 10:45 pm
Feb 25th, 2018 12:16 am
Feb 25th, 2018 1:00 pm
Feb 25th, 2018 11:10 pm
Mar 3rd, 2018 10:33 pm
Mar 10th, 2018 11:30 pm
Mar 17th, 2018 9:12 pm
Mar 19th, 2018 3:05 pm
Mar 24th, 2018 8:42 pm
Apr 1st, 2018 9:01 am
Apr 4th, 2018 10:31 pm
Apr 4th, 2018 11:01 pm
The commission cost is $4.95 / transaction. The model includes slippage as part of the transaction cost, so the commissions look a lot higher than it was actually is. The model buys a stock at ask price and sells at bid price. The slippage (difference between bid and ask) is added as part of the transaction cost, to simulate the worst case scenario when buying stocks that are not very liquid. The end-result is that real-life portfolio for those following these models should reflect the same or better performance than the model, but not worse.Salomon1260 wrote: ↑ I'm trying to make sense of the numbers. The model has been running for slightly over 3 years, has an annual turnover of 104.72% and total trading costs of 2634.77$.
1- Are trading costs the sum of 4.95$ trades? If so, why does 2634.77$ / 4.95$ = 532.27 total transactions or roughly 179 transactions a year?
2- If the models holds up to 10 positions and has an annual turnover of 104.72%, it means it generated roughly 10 buys and 10 sells per year: (10*4.95$)+(10*4.95)= 99$/year?
I'm sure I am seeing it wrong, someone please help me with my math
I'm trading on Questrade. I'm trying to figure out if I should pay 4.95$/transaction or subscribe to a different pricing plan (buy and sell for 1 cent per share for 89.95$+tx/month). I could bill the 89.95$+tx/month to my margin account enabling me to pay less per trade in my RRSP/TFSA account.
Apr 7th, 2018 4:45 pm
Apr 7th, 2018 7:59 pm
Apr 7th, 2018 10:14 pm
Both. The point of this thread is to show that quality and valuation drives superior return overtime. To beat the market, you need to address the pitfalls of indexing. That includes buying at a fair valuation (instead of paying market price for everything), buying companies that will keep growing earnings (instead of buying in the mix companies with signs of distress) and reducing or eliminating MER. The universe used for this model is TSX, so it's only fair to compare with XIC.TO, which is the ETF for TSX index. The Canadian market is very different than the US market. The model continues to outperform the Canadian index (apples to apples) because the index is poorly diversified and it market capped weight. Other models on the website offer different drivers for both US and Canadian markets, and the US models are a better comparison to SP500. The US models have outperformed SP500 as well, performance is updated weekly on the website.airmax95 wrote: ↑ Do you primarily do this for fun or to try and beat the market? If the latter goal is your main objective, wouldn't it be easier for you to just track the S&P 500 for instance? Since you started this initiative, its grown by nearly 40% (including dividend reinvestments) compared with your 28% (plus the amount of time it takes you to research and trade). Nonetheless, I appreciate following your website which I find to be very informative and helpful.
Apr 12th, 2018 9:59 pm
Thanks for the answer. I'm guessing the annual turnover percentage in your premium models don't include weight distribution changes which would add to the total costs without changing the turnover % (further explaining the gap between costs and turnover).rodbarc wrote: ↑ The commission cost is $4.95 / transaction. The model includes slippage as part of the transaction cost, so the commissions look a lot higher than it was actually is. The model buys a stock at ask price and sells at bid price. The slippage (difference between bid and ask) is added as part of the transaction cost, to simulate the worst case scenario when buying stocks that are not very liquid. The end-result is that real-life portfolio for those following these models should reflect the same or better performance than the model, but not worse.
Rod
Apr 13th, 2018 5:23 pm
Rebalancing (keeping weights accordingly) and portfolio reconstitution (revisiting buy / sell rules) is done weekly. Rebalancing on the model is only registered when it's worth above $1,000, then it sells / buys to adjust the weight accordingly, otherwise the model doesn't rebalance (it waits the weight to be disconnected by $1,000 to take action).Salomon1260 wrote: ↑ Thanks for the answer. I'm guessing the annual turnover percentage in your premium models don't include weight distribution changes which would add to the total costs without changing the turnover % (further explaining the gap between costs and turnover).
Following a weekly rebalance and assuming position changes, when does the model buy/sell? Next business day? At what price? What if the price gaps up/down?
What is the best strategy following a rebalance to make the purchases? Would consistence be key as it would even out over time?
Apr 13th, 2018 8:48 pm
Apr 14th, 2018 12:05 am
Fred Piard is great, and he's also a member of portfolio123, which is the platform that I use to write my algorithms.Salomon1260 wrote: ↑ Thanks Rod. I love the idea of taking human emotions out of the equation. What material about algorithmic trading would you recommend reading. Any blog/book in particular? I am currently reading F. Piars's stuff.
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