Changing the Benchmark

henry

Equities Lab

Learn how to benchmark your strategy versus various benchmarks, ranging from indexes, to stocks and other strategies.

Imagine you have a large cap screen

Imagine you have a large cap screen Cutting to the chase, imagine you have a simple screen that finds reasonable large cap companies.  That screen is literally

Cutting to the chase, imagine you have a simple screen that finds reasonable large cap companies.  That screen is literally “import ohlson_o_score < -3 and mc > 10b”

Click on “® B 9”

Click on ” src=”https://www.equitieslab.com/wp-content/uploads/2018/10/e59du_2.jpg” />

 

 

 

Click on “I Trading Rules”

Click on ” src=”https://www.equitieslab.com/wp-content/uploads/2018/10/e59du_5.jpg” />

 

Click on “S&P 500”

Click on ” src=”https://www.equitieslab.com/wp-content/uploads/2018/10/e59du_6.jpg” />

 

Add AAPL for a tough benchmark.

Add AAPL for a tough benchmark. Hard to beat Apple!  Notice we added General Electric.  It's hard NOT to beat General Electric.

Hard to beat Apple!  Notice we added General Electric.  It’s hard NOT to beat General Electric.

When you type in RUI it fails.

When you type in RUI it fails. We don't have the adjusted close of the Russell 1000 in our system.  Or do we?

We don’t have the adjusted close of the Russell 1000 in our system.  Or do we?

See GE and AAPL as benchmarks, but no Russell 2000.

See GE and AAPL as benchmarks, but no Russell 2000. We're going to go to quandl to get this data.  So first, we'll click on new tab.

We’re going to go to quandl to get this data.  So first, we’ll click on new tab.

We have to call our variable something

We have to call our variable something Type in: russell_1000%.  The percent at the end ensures that it is plotted as a benchmark (i.e. on the same scale as the green and brown lines.

Type in: russell_1000%.  The percent at the end ensures that it is plotted as a benchmark (i.e. on the same scale as the green and brown lines.

Click on “plot russell IOOOO/o”

Click on ” src=”https://www.equitieslab.com/wp-content/uploads/2018/10/e59du_11.jpg” />

 

Click on “plot russell IOOOO/o”

Click on ” src=”https://www.equitieslab.com/wp-content/uploads/2018/10/e59du_12.jpg” />

 

Use Quandl to get your data

Use Quandl to get your data You can cut and paste any public permalink from Quandl into Equities Lab, but in this case, EOD data is what you want.  So, type in

You can cut and paste any public permalink from Quandl into Equities Lab, but in this case, EOD data is what you want.  So, type in “Qd_EOD.ticker.Adj_Close” where ticker is the ticker you want to follow.  IWB happens to be a Russell 1000 index fund.

Backtest your screen again

Backtest your screen again The new results are a click away.

The new results are a click away.

Check out the backtest report

Check out the backtest report The line looks pretty similar.  But if numbers are desired, check out the backtest report.

The line looks pretty similar.  But if numbers are desired, check out the backtest report.

Bonus:  Use another screen as benchmark

Bonus:  Use another screen as benchmark
Click on trading rules, to add it.

Click on trading rules, to add it.

Click on “Import Stock Screeners”

Click on This will show another backtest as a benchmark.” src=”https://www.equitieslab.com/wp-content/uploads/2018/10/e59du_17.jpg” />

This will show another backtest as a benchmark.

Observe how badly “Large company” did versus the other benchmark

Observe how badly

Large company (all companies over 10b in market cap) clearly did not do as well as our screen or the other benchmarks, so clearly all the benchmarks are doing something to outperform it.

About henry

Henry Crutcher is an avid family guy, board gamer (think Settlers of Catan, Puerto Rico, etc), computer nut, and all around geek. Hailing from Louisville, KY, he has noticed that the weather in Louisville is remarkably similar to the weather in Atlanta, GA despite the 407 miles that separate them. He has two daughters, one cat, and lots of trees. He loves the Miles Vorkosigan series from Lois McMaster Bujold, for its mix of SF, comedy and insight into how people work. He also comsumes more than his fair share of cheesy business/economics books, such as The Ascent of Money by Niall Ferguson, or Farewell to Alms, by Gregory Clark.

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