FLARAM’s Activity

Yesterday

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Boards Post

FLARAM replied to the Macro Economic Trends and Risks board. 3 hours ago

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]

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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]

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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

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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

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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]

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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

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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]

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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

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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]

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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

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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]

Thu May 21

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FLARAM replied to the Mechanical Investing board. 9:52 PM

Re: The next GTR1?

the tools used by this MI community are "crowd-sourced" using a good number of well-prepared minds.

Very true in itself but the level of well-preparedness of the community is also a function of the tools the [more]

Tue May 19

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Boards Post

FLARAM replied to the Mechanical Investing board. 10:25 PM

Re: another simple asset rotation

TopLineFirst

I can't reproduce your results with these fund using rrs(1,84) top 1, HP=5 and minHold for 4 periods.

Try [more]

Mon May 18

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Boards Post

FLARAM replied to the Mechanical Investing board. 11:00 PM

Re: another simple asset rotation

Always hold for a minimum of 4 * 5 = 20 market days.
After min holding period check every week for potential trades.
Prevents whiplash but finds more optimum trade dates.

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Boards Post

FLARAM replied to the Mechanical Investing board. 6:55 PM

Re: another simple asset rotation

Map
Your rrs(1,84) top 1 screen works nicely for such a simple test.
I replaced the ETFs with a Vanguard mix similar to the ones the ones the Bogleheads used for fixed
diverse allocations. {VTSMX}{VIVAX}{VTRIX}{VEIEX}{VFISX}{VBMFX}{VUSTX} [more]

Fri May 15

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Boards Post

FLARAM replied to the Mechanical Investing board. 12:43 PM

Re: On the Arezi / Fed model...

That’s why he thinks that “any company that has an economist has one employee too many.”

What's the definition of an economist?

Wikipedia
Buffett enrolled at Columbia Business School after learning that Benjamin Graham [more]

Thu May 14

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Boards Post

FLARAM replied to the Mechanical Investing board. 2:59 PM

Re: How this POS (IMH) got on GentleScreamers...

Is this extra work and expense critical to these screens working right?

Maybe and maybe not. It might be a function of how much money you have at risk.

Portfolio123 perceived a similar problem with their Thomson Reuters data, [more]

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Boards Post

FLARAM replied to the Mechanical Investing board. 10:08 AM

Re: How this POS (IMH) got on GentleScreamers...

Are you trying to Run Screener with out putting in a Stock Investor password (Hashcode)
that would give you the error.
You do not have permission for SI screening.

Without a subscription to SI Pro you can run the backtester [more]

Fri May 8

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Boards Post

FLARAM replied to the Mechanical Investing board. 1:43 PM

Re: OT: "The Best Predictor Of Market Retur

We have known for a long time that Short Interest was one of the better factors. At the present time
GTR1 doesn't have up to date short interest. The SIP data had several SI fields until March 2007 when
they dropped it. When I inquired AAII [more]

Thu May 7

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Boards Post

FLARAM replied to the Mechanical Investing board. 4:20 PM

Re: Triple MA Crossover

Triple MA crossover suggests using weekly frequency of SMA 4wk,9wk & 18wk. Bullish when 4w and 9w are above the 18w. Bearish when 4w and 9w are below the 18w.

This seems a little ambiguous to me.

4w > 18w 9w > [more]

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