DoesMIWork’s Activity

Thu Apr 30

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 1:10 PM

Re: A Weighted* View

"First off, I don't believe 30+% CAGR. 20% is what GTR1 says."

From 1989-2007, it was 30+%, AT THE POINT OF DISCOVERY- 19 years. It does not show in that backtest (29.5 or something like that), but there are other factors that can [more]

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 7:05 AM

Re: A Weighted* View

"I got CAGR = 8.45%"

I just used variant0 for demonstrative purposes. It's still a far cry from the 30+% CAGR pre-2008.

"I wonder about the WER universe, how it is selected..."

I only used WER because it [more]

Wed Apr 29

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 9:26 PM

Re: A Weighted* View

"Decision Moose isn't a screen"

same principle- follow what worked mechanically in the past. The signals are free.

"Also not a screen"

also same principle as MI. Backtest what worked in the past. Use [more]

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 12:56 PM

Re: A Weighted* View

"To my mind, the beauty and elegance of sound screens is that it removes from you the need to think about and agonize about what to buy/sell and when to do it. No decisions to be made, no second thoughts to keep you awake. When you get a signal, [more]

Wed Apr 22

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 6:59 PM

Re: 20 yr BRK.A VS EWS&P500

"Point 2: I rather not have the risks associated with 1 stock. 100 stocks just seems a lot safer to me at least."

Foliofn is the only brokerage that I know of that you can buy 100 stocks in under ten minutes/year. But it's also [more]

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 2:17 PM

Re: 20 yr BRK.A VS EWS&P500

"I thought Jim already addressed this. For example, what happens if you use 19801231 to 20141231?"

BRK.B was a lot smaller in the 80', with a much younger Buffett at the helm. I have no absolutely no disagreement whatsoever there! [more]

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 12:26 PM

Re: 20 yr BRK.A VS EWS&P500

Elan,

If you are looking for a single ticker, then RSP is better than BRK.A. Here's a 58 year backtest, with friction!

[more]

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 12:03 PM

Re: A list of backtesting tools

Our secret!

Thu Apr 9

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 1:33 PM

Re: Deep Learning Neural networks ( CAFFE)

Fran,

Neural networks contain a hidden layer of neurons that require a lot of computations. Whenever you have that many computations, just to arrive at just one number, it makes me wary. One small change in rounding in any of those numbers [more]

Mon Mar 16

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 6:58 PM

Re: Recent BCC Signals

Current Fiscal Year

DoesMIWork

Sun Mar 15

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 10:31 PM

Re: Recent BCC Signals

MI,

I've been a skeptic about market timing, but there's one from P123 that I pay attention to- the only one that I understand- one based on estimates- what's expected.

If (5 week EMA of S&P earnings estimate for Current year) [more]

Wed Mar 11

Recommendation

DoesMIWork recommended musselmant's post on the Mechanical Investing board. 9:14 PM

Re: Antonacci's Optimal Momentum in GTR1
NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 7:09 AM

Re: Learned Something

Mark,

My co-worker used to call trading losses "tuition" for learning how to be a better trader.

DoesMIWork

Sat Mar 7

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 11:39 PM

Re: O'Shaughnessy's TV last 5 years

Greenblatt's magic formula is not public either because he is lying to sell books or he's afraid of arbitrage. There's a guy who posts his market beating results here occasionally, but never fully reveals everything!

"Why exactly do you [more]

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 4:02 PM

Re: O'Shaughnessy's TV last 5 years

Arbitraged away...

Greenblatt's formula is not public...why???

DoesMIWork

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 10:11 AM

Re: O'Shaughnessy's TV last 5 years

"there is widespread fear from most that if they reveal their methods and/or results it will all come to a screeching halt"

To assume that any method won't get arbitraged away if it is public is really wishful thinking. I always [more]

Fri Mar 6

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 12:25 PM

Re: O'Shaughnessy's TV last 5 years

"I don't think the factors will be arbitraged away."

I have yet to come across an author who said that their technique can be arbitraged away- O'Shaughnessey, Magic Formula, Dual Momentum...

For any system, you should [more]

Wed Mar 4

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 2:47 PM

Re: Delving into a 49% screen

"They're also dimensionless!"

Heink,

Are you a Chemical Engineer?

DoesMIWork

Tue Mar 3

NL

Boards Post

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

Re: Delving into a 49% screen

As of last month or so, Foliofn no longer lumps the "buys" together and offsets them with "sells" anymore. All buys are now lumped together and bought at the market and all sells are now lumped together and sent to the market. [more]

NL

Boards Post

DoesMIWork replied to the Mechanical Investing board. 7:17 AM

Re: Delving into a 49% screen

"should we be paying Portfolio123 for this quality control service, or should they be paying whoever provides it? "

Portfolio123 gets their data from "Compustat Snapshot - Standard & Poors - CapitalIQ - Interactive Data - [more]

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Boards Stats & Trivia

Two stars, 250 posts
Board Posts 251
Recs Received 242
People who have rec'd these posts 101
Recs to Posts Ratio (last 30 days) N/A
Threads Started 11
Threads Started Percentage 4.38 %
Most Frequent Board Mechanical Investing
Very First Post Re: SI Pro Screens: Post Discovery Performance I (8/30/2010)
Percentage of Posts Rec'd 47.01 %
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