FLARAM’s Activity

Sun Jun 28

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:15 AM

Re: A simple will to beat 80% of the pop.

One of those gems I always try to remember when the market is running wild.

Peter Lynch
ran the Fidelity Magellan fund from 1977-1990 delivering an astonishing 29% average
annual return during his tenure. Despite his remarkable
[more]

Fri Jun 26

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:02 AM

Re: Ot identity theft protection

Does Lifelock actually provide the service they claim? The idea of a company monitoring your does
sound appealing but doing a web search on Lifelock doesn't give me any confidence.

First HankDfrmSD says for two and a half years the two [more]

Tue Jun 23

NL

Boards Post

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

Re: Ot identity theft protection

Just two months ago our credit card was hacked somehow (the last time that happened was at least
5 years ago) and the credit union cancelled it just as we were checking out at the grocery store.


Our primary credit card has been [more]

Sun Jun 21

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 4:16 PM

Re: Value Line common rank changes

What is a Value Line common rank?

I can find Value Line Timeliness, Technical, Safety, Price and Stability Ranks but no common rank.

But I'll admit I focus on SIP so I haven't spent much time on VL field definitions.

Thu Jun 18

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:40 AM

Re: Voldemort returns ...

I've always had trouble understanding V's product details and pricing. I subscribed to the investment
analyzer for several years initially using a Fidelity discount subscription. My bank changed my credit card
number for security reasons and [more]

Tue Jun 9

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 5:51 PM

Re: An investing strategy that doubles the marke

FLARAM, maybe you can extend your testing to include these rules to refine your screen.
Rule #1: EPS Growth
Rule #2: Must have positive dividend yield
Rule #3: good PE and PB ratios


Here is an attempt at adding the [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 12:17 PM

Re: NHNL

On the downside, it's too much like curve-fitting for my taste, so while I track it, I don't know if I'll ever do anything with it.
My sentiments exactly! Over the years I have seen all too many market timing indicators fall by [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:49 AM

Re: An investing strategy that doubles the marke

I ran a simple split type backtest to see if there was anything too this. The interesting part is that as I
started to look up the SIP fields needed I discovered that I had already tested a split backtest several
years ago based on some [more]

Sun Jun 7

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 3:23 PM

Re: YldEarnYear_SI depth vs. adv filter

Comparing stocks 1-5 against stocks 15-20 in the same screen isn't really useful information.

This is contrary to my evaluation of screens. If 1-5 don't perform better than 15 to 20 the screen final
sort isn't doing what it is [more]

Tue Jun 2

NL

Boards Post

FLARAM replied to the Macro Economic Trends and Risks board. 10:54 PM

Re: "Right to work"

Thanks Goffy for what I consider a more balanced management union perspective. I worked for some of the major companies Sperry, GE, Chrysler, Emerson, Lockheed and temporarily on projects within IBM, TI and Ford plus a few smaller companies for over [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 5:41 PM

Re: sector rotation

Using a Python based backtester using momentum along with weighting by inverse volatility seems to
perform better than momentum by itself. ETF replay also uses short term volatility for their example strategies. For example:
# Fidelity Sector [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 3:02 PM

Re: sector rotation

Maybe Beta is only 0.75 but the S&P over same period ('97 to present) only has CAGR of 4.6:

CAGR: 4.6
TR: 117.6
GSD(20): 19.8
DD(20): 14.7
MDD: -56.8
UI(20): 21.3
Sharpe(20):0.2
Beta(20): 1.0
TI(20): [more]

Mon Jun 1

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 6:24 PM

Re: sector rotation

Adding a small variation, why not
[more]

Sat May 30

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 7:53 PM

Re: sector rotation

Correction, I meant to say:

Also I would use a strategy for ETFs that could only be backtested for 10 years or more. Not less.

Sectors can be backtested from 1926 using Kenneth French's downloadable data. For newer ETF's one [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 4:35 PM

Re: sector rotation

To reemphasize the excellent comments by mauser96 and Rayvt based on my own experience and backtesting.

Trying a back tested data based system for a year or two does not give you much of an indication how it will work long [more]

Fri May 29

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 6:01 PM

Re: "Simple Methods to Improve the Piotrosk

Forget my idea initial attempt of using Zacks with Piotroski. Although the BT had a 30 CAGR only 51
stocks pass the zacks =1. Putting in parameters for the Piotroski it looks like for zacks = 1 the top 10 pio
goes down to a pio about 5 or 6 [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 5:04 PM

Re: "Simple Methods to Improve the Piotrosk

I don't understand why the tim.v<7 for a SIP screen.
Here from 1999 using zacks Rank 1


Screen CAGR TR GSD(20) DD(20) MDD UI(20) Sharpe(20) Beta(20) TI(20) AT Count
Piot_top10 16 1319 35 23 -70 17 0.58 1.3 13 3 19970902 [more]

Sun May 24

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:44 PM

Re: Explorations of YldEarnYear_SI

Implantation (human embryo)
Oops! Got me! I'm way too quick to accept whatever spell checker gives me.

The only problem with that is that NASDAQ data is not available until 12/14/1972
Thanks for watching over my [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 6:34 PM

Re: Explorations of YldEarnYear_SI

Add BCC timing all the way back to 1927 and it doesn't completely save you during the depression but it certainly helps.
CAGR only drops a percent but Max draw down is reduced to -48.5% from -83% (still terrible but 51% left vs 17% [more]

Fri May 22

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 6:12 PM

Re: Explorations of YldEarnYear_SI

So, a good liquidity filter might be starting around daily dollar volume of 30 times your target position size.

This is good advice. But my position size was much smaller in 1987

My position size was much smaller many [more]

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