FLARAM’s Activity

Fri Aug 7

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 12:16 PM

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

I realized that WWL has been mis-conceptualized. It's been presented as a handful of different strategies that you switch back & forth between based on another set of rules. But that's not it. It's actually ONE strategy with a whole lotta [more]

Thu Aug 6

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:04 AM

Re: Si Pro Longer than Monthly

Robbie;
The "simpler way" is to just follow the instructions you see in bold red font next to the "Save to URL" link when your backtest finishes, which are:

(Right-Click and select "Copy Link Location"
[more]

Wed Aug 5

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:13 PM

Re: Si Pro Longer than Monthly

Adding a weekly BCC bear catcher signal to a one year hold trending value.
I was never comfortable using the final sort on momentum for a full year hold. So instead of taking the top 10% Value factor I used the top 10% momentum first then made [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 5:18 PM

Re: Si Pro Longer than Monthly

There are several SIP Value screens that hold up with even 1 year holds. However those same screens do better with shorter holds even considering trading slippage. I run all my screens weekly but use a hold till drop that typically gives me an [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:16 AM

Re: WWL or not

Wow! I thought I was the only one still using WWL techniques.

I have been choosing screens based on a combination of WWL and long term performance factors since 2005. Eliminating data mined screens seems essential to making this work. Wes's [more]

Sat Aug 1

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 1:32 PM

Re: Recent BCC Signals

Incidentally, isn't the QTAA method based on a similar idea, that is, move a portion of your funds in or out as signals dictate

Faber references Fundadvice in his Archive for Nov 2006 the " [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:42 AM

Re: Recent BCC Signals

Speaking of FundAdvice's timing method. The last update I had from them was in October 2006 when they stopped posting their signals. Up until then they had done a nice job of reducing draw downs while maintaining returns. Is anyone aware of someone [more]

Fri Jul 31

NL

Boards Post

FLARAM replied to the Berkshire Hathaway board. 11:29 PM

Re: Finding businesses with extreme pricing powe

I have always been impressed by the economics of the WD-40 Company, WDFC.
No debt, so ROE=ROA probably around 27% this year.


Interesting I once had a conversation with the CEO of a very large and famous consumer [more]

Wed Jul 29

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:23 PM

Re: New ideas for a screen

Is this the same Keith Fitz-Gerald is selling advice on investing in this market when before the presidential elections he was predicting Keith Fitz-Gerald, a member of the team with a long track record of astoundingly accurate market predictions. [more]

Wed Jul 22

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:19 PM

Re: What's wrong with this screen ?

There's even a book hashing over possible factors.
http://www.amazon.com/What-Works-Street-Fourth-Edition/dp/00......

Which just back to the more [more]

Mon Jul 20

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 2:14 PM

Re: two new screens

I believe that if one were to choose the factors by how they had done in the last 9m to a year the overall performance could be improved
Strike that idea! I tested it manually and discovered for whatever reason the composite works better [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 1:41 PM

Re: two new screens

Rayvt and others using Trending Value:
Did you notice the figure 1 in O'Shaughnessy's article showing the "Value Composite: Performance by Factor". What struck me is that the individual factors doing well tend to do well for several [more]

Sun Jul 19

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:38 PM

Re: two new screens

Huh? This is the AAII -- as in "The American Association of Individual Investors", and they've never heard of James O'Shaughnessy or read his book What Works on Wall Street??

They know about O'Shaughnessy and have several of [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:27 AM

Re: two new screens

In AAII's July ejournal Computerized Investing [subscription required] results of a backtest 2/99 to 6/15 were published. I can't figure out how to post the results data & graph but here's part of a summary: . . .Both revised screens had [more]

Fri Jul 17

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:35 AM

Re: two new screens

I'm a big supporter of the AAII. Bought a lifetime membership and have subscribed to Stock Investor from way on back when I relied on the monthly CD's delivered by snail mail.

However they have never endorsed the type of MI investing used by [more]

Thu Jul 9

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:08 PM

Re: return of capital, not return on capital

Going forward I doubt these simple ways will work as well as they did in the past.

Unfortunately I'll have to concede that the future never exactly follows the past. Back tests by
nature only allow us to find strategies that have [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 12:33 PM

Re: return of capital, not return on capital

I am trying to learn Python (at age 80) and figuring something out that actually interests me would be helpful

Never too late, I'm not that far from 80. First if you haven't already I recommend the Anaconda Python
distribution. [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:25 AM

Re: return of capital, not return on capital

I like the QTAA portfolio.

I won't argue with that. I like it too! I follow his blog, read his books and suck in as much as I can.
I can't find the post but I believe his paper in now the most downloaded on SSRN.

RAM

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:05 AM

Re: return of capital, not return on capital

Thought I should add some perspective to the above complex mean variance portfolio.
From 1991-10-28:
GSPC alone 7.2 CAGR, -57% MDD
Classic 60/40 GSPC/VBMFX 7.0 CAGR -36% MDD
3 mo moment GSPC/VBMFX 7.3 CAGR -16% MDD
Mean [more]

Wed Jul 8

NL

Boards Post

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

Re: return of capital, not return on capital

No I haven't used this. I have been experimenting with different strategies biased toward safety and less work as opposed to the individual stock screens over the last few months.

Philippe Morissette has open sourced a very nice python [more]

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