DoesMIWork’s Activity

Sun Jul 6

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 4:15 PM

Re: Corrected S&P 500: factor test

Actually, for me, it will be a while before I hit the late 60's. Therefore, my horizon is longer, so my success/failure is "Did I beat the S&P?", nothing more, nothing less.

I feel beaten when I put in all the work, only to be [more]

Mon Jun 23

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 11:58 AM

Re: CAPE Entry point

DoesMIWork's take on options:

Two premises:
1) Options are reserved for generally larger, more liquid stocks.
2) I have yet to see a screen that is more effective at larger caps than smaller, micro caps. The reason is that smaller [more]

Sat Jun 21

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 8:36 AM

Re: put selling

Jim,

ValuEngine agrees with you. Here'w what they say:

VALUATION WARNING: Our models find that overvaluation is at levels typically seen when market pullbacks occur. Overvalued stocks now make up 77.39% of our stocks assigned a [more]

Fri Jun 20

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 2:51 PM

Re: How predictive was CAPE in the past?

My IBD screen was a beast- no valuation. It ran like something this:

1) Each second Tuesday in the month, IBD printed a list: Top New Buys of Top Mutual Funds-, I think it also had a filter of RS > 90 and EPS >90.
2) Number of new [more]

Wed Jun 18

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 11:14 PM

Re: How predictive was CAPE in the past?

Different strokes for different folks!

In my early years, I was a IBD guy- growth, EPS ,RS but no valuation

Value guys- Jim, Buffett, etc

In the late 90's I made a killing in internet stocks and IBD 99 RS and all that [more]

Mon Jun 16

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 11:23 PM

Re: How predictive was CAPE in the past?

"Starting from today's high PE (CAPE of 25, and trailing twelve month PE of 19) the prediction for total return over the the next 10 years is not rosy. "

From my very basic understanding of asset allocation, bonds is generally [more]

NL

Boards Post

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

Re: How predictive was CAPE in the past?

From the little I know, valuation is a poor timing signal. However, as alluded to by my probability density suggestion last week, the more expensive something is, the more higher the probability that it will revert. Revert to what, like you said, 5 [more]

Fri Jun 13

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 12:06 PM

Re: Mebane Faber’s CAPE technique

Joel Greenblatt said the same thing. He tried to outsmart his system's picks but couldn't. He avoided those with clearly bad news and it turned out that avoiding them caused him to underperform his own creation.

But how can one buy an Iraq [more]

Thu Jun 12

NL

Boards Post

DoesMIWork posted to the Mechanical Investing board. 12:55 PM

Unifying String Theory

MI,

PM, CAPE, etc.

Maybe we are all just looking at separate pieces of a huge puzzle. Maybe there is one big unifying theory that ties the whole thing together.

Predicting future returns are similar to finding the positions [more]

Wed Jun 11

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 12:02 PM

Re: Why do fundamentalists hate technicians.

TA works all the time, except when it doesn't.

But one can say the same time about MI. Sometimes using a lot of years of data may not give you the best short term performance. For instance, my value-with-momentum screens got slaughtered from [more]

Thu Jun 5

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 12:22 PM

Re: an easy way to use options

"Not me! I'm here to make as much money as I can, as simply as I can, with as low risk as I can."

In addition to that, I am also here to make it as fast as I can.

DoesMIWork

Wed Jun 4

NL

Boards Post

DoesMIWork posted to the Mechanical Investing board. 6:45 AM

Slippage

MI,

Here's a copy of someone else's post on portfolio on slippage:



A Comparative Study of Slippage Rates of Five R2G Ports from Different Model Designers

Purpose:

To assess the slippage rates of 5 R2G [more]

Sun Jun 1

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 7:04 PM

Re: rational?

Only God doesn't have a blind spot.

Peter Lynch said that the smartest guys may be the smartest, but they are not the best investors (such as Isaac Newton- this guy DISCOVERED calculus at the SAME RATE as we were learning it in school- how [more]

Tue May 27

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 1:19 PM

Re: PGH

"If it wasn't in the backtests, ignore it. "

Agreed. No stock will look pretty on every measuring stick. If earnings for the past four quarters wasn't a parameter used in the backtests, then the pick is what the screen [more]

Sun May 25

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 7:28 PM

Re: OT: Can we stop now

Aussi,

I don't think it's that simple. You're not including the opportunity costs- 1) the one that got away is usually the one which contributes to the massive gain 2) the stress of babysitting, and not having filled all your MI picks, and [more]

Wed May 21

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 7:27 PM

Re: OT: Can we stop now

Rayvt,

I'm with you the entire way!

We are in the MI business, not the day-trading business. The point of MI was to have a mechanical system that functions automatically, with minimal input once it's set up. The system is supposed [more]

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 12:11 PM

Re: OT: Can we stop now

I am definitely with Rayvt this! It's a numbers game. You have a lot of picks. Some, you'll get a lower price than the signal and others not so good. The law of large numbers should average things out. Assuming that your MI works, your money is made [more]

Tue May 20

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 7:15 PM

Re: OT: Can we stop now

"valid for the screens at least half the people here use."

Also, for the non-VL screens here. Liquidity is critical! One time, I had set the filter to > $400,000 average daily volume, 20 days. What the screen didn't tell me was [more]

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 7:02 PM

Re: OT: Can we stop now

"Any screen that lacks a liquidity filter is a piece of garbage "

I stand by the statement because 0 < VL <6 already filters everything except for basically the 1700 largest stocks. Just because it isn't written doesn't mean [more]

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 6:02 AM

Re: OT: Can we stop now

Elan,

That's because VL is already prefiltered. The 1700 stocks the follow closely are already pretty large. Stocks in the S&P 500 don't need any filter too because they too already prefiltered.

Entering limit orders is possible [more]

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Very First Post Re: SI Pro Screens: Post Discovery Performance I (8/30/2010)
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