BorisNandenov’s Activity

Tue Aug 25

NL

Boards Post

BorisNandenov replied to the Mechanical Investing board. 8:18 PM

Re: RSP Question

Weird low prices occurred with a number of sector funds, including Vanguard Health Care ETF (VHT) and Vanguard Consumer Staples ETF (VDC). Maybe I should be checking the market at the open. Could be some bargains.

Date Open High Low [more]

Mon Aug 24

NL

Boards Post

BorisNandenov replied to the Mechanical Investing board. 3:43 PM

Re: GTR! Backtester Question

sma includes dividends. So, check the adjusted price in Yahoo.

Sat Aug 8

NL

Boards Post

BorisNandenov replied to the Mechanical Investing board. 3:06 PM

Re: WWL: Not Torpedoed (Mech. Screen Selection)

There is Timing, Sector Rotation, QTAA, WWL, and Mechanical Screen Selection. They have some characteristics in common, but I don't think they should be conflated. (WWL is a subset of Mechanical Screen Selection.)

The OP unfortunately threw [more]

Mon Jul 20

NL

Boards Post

BorisNandenov replied to the Mechanical Investing board. 1:11 PM

Re: friction

I use 0.5% friction in backtests (for screens with daily dollar volume greater than $1 million). This seems to match the slippage I see at Folio.

NL

Boards Post

BorisNandenov replied to the Mechanical Investing board. 12:52 PM

Re: Would an Excel macro expert help?

Don't have access to Excel right now, but sounds like some cleanup of input is needed. Two tickers (which look the same to a person) look different for the macro. TRIM() will remove leading and trailing spaces. I think UCASE() will convert to all [more]

Mon Jun 29

NL

Boards Post

BorisNandenov replied to the Mechanical Investing board. 8:12 AM

Re: Rankings Request, Bill2m: Add YEY_SIP

These are the picks for 20150626.

screen 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25
YLDEARNYEAR_SI_OP TNK NAT NEWM DKL AYR NRZ NEWT MHLD OMAB BX BANC BMA ALDW HNP AB PLOW WMC GCI NYCB VR RRD MTU WNR NAP [more]

Sun Jun 28

NL

Boards Post

BorisNandenov replied to the Mechanical Investing board. 10:37 PM

Re: Rankings Request, Bill2m: Add YEY_SIP

forgot to post link
[more]

NL

Boards Post

BorisNandenov replied to the Mechanical Investing board. 10:26 PM

Re: Rankings Request, Bill2m: Add YEY_SIP

My version with liquidity steps that can be more closely matched with Radiscript has CAGR 34, GSD 24, Sharpe 1.40.

Define {YEY_SI_Boris2}
Create [Yield]: [[SI Dividend - Indicated; lag=1 days]/[daily SI-adjusted Price; share_lag=1 days; [more]

NL

Boards Post

BorisNandenov replied to the Mechanical Investing board. 10:04 PM

Re: Rankings Request, Bill2m: Add YEY_SIP

gtr1 results for some of the above screens (no friction, 10 deep, hold 20 days, 19970902 to 20150626):

Screen CAGR GSD(20) DD(20) UI(20) Sharpe(20) AT
YLDEARNYEAR_SI_OP 31 26 15 12 1.18 5
YEY_SI_OP 31 26 15 13 1.19 [more]

NL

Boards Post

BorisNandenov replied to the Mechanical Investing board. 9:53 PM

Re: Rankings Request, Bill2m: Add YEY_SIP

My favorite version uses [SI PE-Forward EPS Est Y1] and [SI Price Change 52 week]. step6 was tuned to Top 6%.

Define {YEY_SI_Boris}
Create [Yield]: [[SI Dividend - Indicated; lag=1 days]/[daily SI-adjusted Price; share_lag=1 days; [more]

NL

Boards Post

BorisNandenov replied to the Mechanical Investing board. 9:41 PM

Re: Rankings Request, Bill2m: Add YEY_SIP

Screen in OP is:
Command Translation
Define {YLDEARNYEAR_SI_OP}
Create [cdy]: [[SI Dividend - Indicated; lag=1 days]/[Actual closing Price; share_lag=1 days; quote_lag=1 days]]
Create [cpe]: [[Actual closing Price; share_lag=1 days; [more]

NL

Boards Post

BorisNandenov replied to the Mechanical Investing board. 9:38 PM

Re: Rankings Request, Bill2m: Add YEY_SIP

Sorry for the delay, I've been busy with life....

I think these are close:

Keep :[SI Price]*[SI Volume--Average Monthly 3m]>21000
adv(1,63) > 1000000

Not exactly the same, because average dollar volume is not the [more]

Tue Jun 9

NL

Boards Post

numerous replied to the Mechanical Investing board. 9:02 PM

Re: Rankings Request, Bill2m: Add YEY_SIP

Radiscript should be
Keep :[DolVol_21day]>21000

([Volume--Average Monthly 3m] is thousands of shares)

NL

Boards Post

numerous replied to the Mechanical Investing board. 8:30 PM

Re: Rankings Request, Bill2m: Add YEY_SIP

To get a working YEY screen definition need to decide:
1) liquidity filters
2) which version of PE
3) which version of Yield
4) which version of momentum
5) what to deblank
6) how to combine value and momentum

Should [more]

Sat Jun 6

NL

Boards Post

numerous replied to the Mechanical Investing board. 3:19 PM

Re: YldEarnYear_SI depth vs. adv filter

The OP analysis concludes a $250k screen investment should go 5 deep. At $50k per trade, it might be worth considering different trade sizes. Alternatives are:

A) dollar volume>$3M, 5 deep, equal weighting (OP analysis).

B) [more]

NL

Boards Post

numerous replied to the Mechanical Investing board. 2:42 PM

Re: Stock Screening

Maybe:

out of favor stocks:
[Industry median 26 week price change] bottom 20%

out of a forming base:
[Price as % of 52 week high] < 70
[Price Change 13 week] < 10
[Price Change 13 week] > [more]

Fri Jun 5

NL

Boards Post

numerous replied to the Mechanical Investing board. 11:08 PM

Re: YldEarnYear_SI depth vs. adv filter

YEY_SI_Robbie_v2 changes Robbie's liquidity steps to match platykurtic's:
adv(1,63) > 1000000
sprc > 0

YEY_SI_Robbie_v3 changes final sort to match:
trp(1,252) top 10

YEY_SI_Robbie_v4 changes cpe to [more]

NL

Boards Post

numerous replied to the Mechanical Investing board. 10:43 PM

Re: YldEarnYear_SI depth vs. adv filter

SIP database starts Friday 19970829. NYSE was closed Monday 19970901, so the first trade date is Tuesday 19970902.

If a start date after 19970829 is used, gtr1 will not use the 19970829 SIP data. My guess is that the next date SIP data is [more]

NL

Boards Post

numerous replied to the Mechanical Investing board. 10:28 AM

Re: Rankings Request, Bill2m: Add YEY_SIP

The following field is derived and so can't be directly run in SIP.
cepsd.s [SI (d) Current EPS]

Mon Jun 1

NL

Boards Post

numerous replied to the Mechanical Investing board. 5:09 PM

Re: sector rotation

I used 12 month lookback to choose from 22 sector and international ETFs from 2011 to 2014. My 12% CAGR trailed the US market which had CAGR 14%. International market CAGR was only 1%, so I did better than a blended benchmark. Not using any sector [more]

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One star, 50 posts
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