Systematic AI Investing Portfolios: Rebalance 06/02/2025

+ Design Choices on AI Factor Models (correction here, rebalance is fine!)

Small Correction within the section “Design Choices on AI Factor Models” —>
Julien my Friend catches it, Thank you!!!

”12 Month Rel and Rank and Date as a target” —> correction, will not lead to good results, 6MonthRel and 6MonthTotal already degrades (though still works, might be a good choice for mid-caps), 12 Month Rel is way to long for small caps, they move faster!

Free AI Example Models (see P.S. of this post for design choices)

https://www.portfolio123.com/sv/aiFactor/12260/overview (Big Caps)

More free AI Models are in the pipeline!

Research Group in Portfolio123.com to Auto Trade via Interactive Brokers or Tradier

Here is the research group in Portfolio123.com with the Simulated and Live Strategy Books (for paying subscribers of this blog, please use the same email address here and in P123, I add all paying subscribers of this blog to the research group, so you can access the live strategy books and auto trade):

https://www.portfolio123.com/app/group/348

Simulated Strategy Books —>

https://www.portfolio123.com/app/opener/BOOKSIM/?cat=G348

Live Strategy Books that can be auto traded via Portfolio123.com and Interactive Brokers Pro and Tradier —>

https://www.portfolio123.com/app/opener/BOOK/?cat=G348

Strategy Book 1: AI Actuals and Estimates Earnings Momentum

https://www.portfolio123.com/port_summary.jsp?portid=1830153

Corresponding Live Book

https://www.portfolio123.com/port_summary.jsp?portid=1829380

Strategy Book 2: AI Big Caps Start 05/12/2025

https://www.portfolio123.com/port_summary.jsp?portid=1853542

Corresponding Live Book

https://www.portfolio123.com/port_summary.jsp?portid=1853545

Strategy Book 3: AI Factor Small and Micro Cap Index 125 Stocks Start 5/12/2025

https://www.portfolio123.com/port_summary.jsp?portid=1853549

Corresponding Live Book

https://www.portfolio123.com/port_summary.jsp?portid=1853536

Portfolio and Transactions in Excel (this week without a paywall!)

Portfolio 1: AI Actuals and Estimates Earnings Momentum

https://1drv.ms/x/c/176299c821e7fac4/EeSUrWn22WZLje4vx3bvfGYBmnNd1EMHhVhOPU-SvUnmFg?e=U7oPAK

Portfolio 2: AI Big Caps Start 05/12/2025

https://1drv.ms/x/c/176299c821e7fac4/EQ4pKo-WmCdHp-gKpX3N_WkBS4Ti2ESqopx4Xot_uMlKfg?e=de8Q5q

Portfolio 3: AI Factor Small and Micro Cap Index 125 Stocks Start 5/12/2025

https://1drv.ms/x/c/176299c821e7fac4/EaKOm0AL1n5LmP2yU-pWtZYBnZlZEJFqQjFmN5jjMSJcBA?e=BA9G3a

Best Regards

Andreas

P.S.

AI Design Choices

Big Caps

• Use Z-Score and Dataset and 12MonthRel

• Use Z-Score and Date and 12MonthRel

• Use Rank and Date and 6 MonthRel

• Use ExtraTrees I - III

• Sweet Spot Features 100 - 200

Small Caps

• Use 3MonthTotalReturn and Rank and Date

• International Stocks (Easy to Trade North Atlantic)

• 12 Month Rel and Rank and Date —> correction, will not lead to good results, 6MonthRel and 6MonthTotal already degrades, 12 Month Rel is way to long for small caps, they move faster!

• Use LightGBM I - III

• Sweet Spot Features 100 - 200

Free AI Example Model

https://www.portfolio123.com/sv/aiFactor/12260/overview

Implementation

Train the predictor from 2003 - 2020 and use it in a ranking System, you can use

FRank("%(CurQEPSMean, CurQEPS13WkAgo)",#industry,#DESC, #ExclNA) > 50

on the buy rule to improve the portfolio strategy.

You can also build the exact same system with ZScore and Date, I have not tested Rank and Date but could be also interesting.

Combine the different Strategies (ZScore Date / ZScore Dataset in one Strategy book (and possibly hedge out via TWM 15% Position).

ZScore Dataset --> will be strong after crashes (because it also compares the stocks to its own history, for example on a value feature)

ZScore Date --> just normalizes the data and ranks the stocks (more trending strategies)

Rank and Date --> will not normalize the data (ExtraTrees and LightGBM can handle that well!), just ranks all data (including the outlier data) --> even more trending systems (it lives from outliers!).

If you combine all the above design choices in one system book you will have mean reversion and trending stocks in the portfolio at the same time, which prints a nice cap curve!