FLARAM’s Activity

Yesterday

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 48 minutes ago

Re: O'Shaughnessy's TV last 5 years

Correction: I stated in a post in this thread on 3/5 that TV had a 13.6 CAGR from 5/10/2010
till the present compared to the equal weight S&P's 16.9 CAGR. I got an email stating that
they did not get the same numbers. So I reran the tests [more]

Mon May 4

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 7:08 PM

Re: asset rotation fails?

Nothing I've found works all the time! Momentum, Low P/E, P/B, P/S, Free Cash Flow and many others
seem to have some logic behind them and if you can hold on have worked more often than not. But
most of these are good at picking big losers [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 4:11 PM

Re: asset rotation fails?

The WSJ is behind the times, they published their paper on the second of last month.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2589043

RAM

Sat May 2

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:21 AM

Re: Long-term value MI?

Do you have a feeling for whether the SiPro database has sufficient data fields to do this?

SiPro has over 2000 fields of data per company updated weekly. The built in screener does allow
the user to create custom fields even [more]

Thu Apr 30

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:45 AM

Re: A Weighted* View

Rayve, I agree with your O'Shaughnessy Summery:

"Jim O’Shaughnessy: finding good strategies that have performed well over multiple market cycles –
and then having the ability to stick with them through thick and thin, even when
[more]

Wed Apr 29

NL

Boards Post

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

Re: A Weighted* View

I've been looking at neural networks, from Ward Systems

I went down that path many years ago when Ward senior was still alive. I tried the trader package but
I quickly changed to their trilogy package which requires more [more]

NL

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FLARAM replied to the Mechanical Investing board. 12:05 PM

Re: Long-term value MI?

I took O'S's Trending Value screen as created by Robbie (as far as I remember now)

Robbie has done so much that it's easy to assume if it's complex it must be from him.
However in this case MarginOfBuffett built a Trending Value [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:55 AM

Re: Long-term value MI?

Is the data from the book, or from a backtester?
The data is from GTR1, the book doesn't give results after '09.

Here is a link to Trending Value with BCC bear catchers hold 25:
CAGR 24.24, GSD 21.4,AT 1.56
[more]

NL

Boards Post

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

Re: Long-term value MI?

You could go back to O'Shaughnessy's What Works On Wall Street forth edition's Trending Value
one year hold screen.

Hold 25 from 9/2/97 till present:
CAGR 20, GSD 26.5, Annual turnover 0.95, MDD -60%, UI 15.3

S&P buy and [more]

Tue Apr 28

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 4:43 PM

Re: Biff!! Powww!!!

NHTC was around in OTC markets for awhile, so SIP would have that data

Yes SIP has the data. Here is the data from 1 year ago.

Ticker Company Country Exchange price price_date
NHTC Natural Health Trends Corp. United [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 12:24 PM

Re: Biff!! Powww!!!

My real question is how to easily recognize that a stock does not have 252 days of Nasdaq/NYSE/Amex price history from a source other than Robbie's screener?

If you are using Stock Investor Pro there are several ways you could check [more]

Mon Apr 27

NL

Boards Post

FLARAM posted to the Mechanical Investing board. 12:36 PM

Zee's Screens from 07

On 10/30/2005 Zeelotes posted a list of Gold Screens from VL and SIP. Twelve of the fifteen gold
screens came from SIP and only 3 from VL. In 2007 he updated the list.

Screens 2004 CAGR Rank Level GSD(D) Rank Level Sharpe [more]

Fri Apr 24

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:06 AM

Re: SI-Pro subscription - great pricing offer

Interesting paper "An Analysis of Value Line's Ability to Forcast Long-Run Returns" by
Benesh and Perfect of FSU (in Gator vernacular "Free Shoe University") :-)

Seriously though this paper published in 1997 was [more]

Wed Apr 22

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 3:53 PM

Re: SI-Pro subscription - great pricing offer

The only field that keeps me holding on is their 3-5 year forward price target fields

Stock Investor doesn't have the same target fields as VL but it does have:
Buffett Price Growth-EPS Gr.
Data Table Name: BPG_EPS
Data [more]

Thu Apr 16

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:48 PM

Re: Biff!! Powww!!!

it's pretty clear we got caught in a pump and dump scheme ourselves

Looks like someone did the same pump and dump whit NHTC back in early September 2014, same
price and volume.

Got me too, but I never double up on any [more]

NL

Boards Post

FLARAM posted to the Mechanical Investing board. 11:28 AM

MI Slippage Problem

TGMark reported his performance using almost exactly the same SIP screens I am using.
http://boards.fool.com/2014-results-31563054.aspx?sort=threa...

Just [more]

Sun Apr 12

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:16 PM

Re: 9 Years MI

I had been trading daily for a few years before I discovered this board in early '04. Before I discovered
this board I was using momentum interaction between US and other countries and short term mean
reversion using neural net [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:32 AM

Re: 9 Years MI

Mark

and now use six SiPro screens (variants of 3PTRV, Advanced, RS100, BI, Up5X3, WK_Voom), 3 deep,
with overlaps, 9 day hold, and daily updating using GTR1 picks.
The BI screen is on the chopping block.


Very close [more]

Thu Apr 9

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:59 PM

Re: OT: Mungos Musings forever?

Monaco life expectancy figures are distorted. First of all the birth rate is one of the lowest in the
world at 6.85 per 1000 persons. There are few young people that can afford to live in that type
of environment. The typical millionaires [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:54 AM

Re: Deep Learning Neural networks ( CAFFE)

I have plenty of time, I have the nowledge, as I have been thorugh a couple of university level
machine lerning courses


I thought I had the time and knowledge when I retired 14 years ago but the task ahead of you is
more [more]

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