FLARAM’s Activity

Yesterday

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 7:56 PM

Re: Delving into a 49% screen

claims low price is bad
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2566290
Controlled for size we find that high price stockis outperform low price [more]

Fri Feb 27

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 4:56 PM

Re: 17.5 Yr SIP Factor histograms

For those unable to open the Excel SS here is the raw data without graphics.

Factor HldWks Avg 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 Slope Rsq Corrl
mlt.PSPS 4 3.9 10.1 9.0 8.2 8.8 7.4 7.0 5.7 7.2 5.3 5.7 3.6 3.7 2.8 [more]

NL

Boards Post

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

17.5 Yr SIP Factor histograms

I took many of the popular Stock Investor Pro factors used in screen and generated 20 bin gain histograms for the
last 17.5 year of data I have collected.

Equities were limited to those with:
Price > 3, Daily Dollar Vol > [more]

Thu Feb 26

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 12:46 PM

Re: Investigating a simple enhancement to YldEar

It would be interesting to compare performance of SP1500 EW to VL1700 EW on GTR1

From GTR1
sp1500.a = 1
Hold 252 days 19941003 to 20150225
CAGR 12.73, GSD 22, MDD -58.64, UI 12, AT .24
[more]

Mon Feb 23

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 2:30 PM

Re: HTD losses

There have been several posts on whether one should hold after a stock goes down rather than up.
My conclusion is if you are using a combination of fundamentals and relative strength why wouldn't you
consider this an opportunity to by more at [more]

Fri Feb 20

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 6:32 PM

Re: Fool Ads

I use Ad Blocker Plus

Thanks I just loaded it into chrome, it worked.
I didn't mind the ads when they didn't intrude into my space but
this was too much.

RAM

NL

Boards Post

FLARAM posted to the Mechanical Investing board. 6:11 PM

Fool Ads

Is anyone else suddenly getting M Fool adds on top of the messages
making them unreadable. Checked w/ explorer and chrome.

RAM

Wed Feb 18

NL

Boards Post

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

Re: Maybe the market is overvalued

In addition, a lot of Nobel Prize winners actually get slaughtered in the market? Wasn't Keynes one of those guys

He had a few stumbles but evolved into a great investor.

John Maynard Keynes’s Own Portfolio Not Too [more]

Fri Feb 13

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 5:43 PM

Re: VL Investment Analyzer

If you intend to invest more than $250k using Value Line screens then $2500 would only be a 1% hit.
However you may want to consider AAII's Stock Investor Pro at $200 + $50 membership fees. I subscribed to
both VL and SIP for many years. I [more]

Wed Feb 11

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:53 AM

Re: Limiting exchanges in MI Backtester

The equities returned are from the Value Line ~1700 stocks.
But as gritton stated for his backtester:

Q Why don't the ticker symbols match what I know them to be?
A In order to make sure I don't run afoul of Value Line's
[more]

Mon Feb 2

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:03 PM

Re: Variable Hedging in ETF Rotation

DoesMIWork

Some of your funds have start dates after, some as late at 2011, which I have issues with.
I initially shared your concerns but: I believe that the basic sector momentum has been backtested from around 1926.
It [more]

Tue Jan 27

NL

Boards Post

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

Re: Screen Construction

Don't forget JimZipCode made an approximation of Timeliness for SIP screens back in 2006.
[more]

Mon Jan 19

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Boards Post

FLARAM replied to the Mechanical Investing board. 12:06 PM

Re: Stop Loss?

Correction!! I mistyped the results, I should have said
the returns dropped from 32.7 to 27.6 not 37.7 to 27.6.
Still a reduction but not as dramatic.
RAM

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:52 AM

Re: trailing stops

Per rgearyiii's suggestion I just ran the sip version of 3pt_Relative_Value screen using a stop loss 0f 8%.

For a hold 10 1987 to 2015 CAGR only dropped from 37.7 without a stop loss to 27.65 with. It looks like
for this case a stop loss [more]

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 9:50 AM

Re: Stop Loss?

How would you backtest an investment strategy with a stop-loss component realistically? Would you not need minute-by-minute price data for the stocks that might be involved?

Quantopian has the data, excellent backtesting tools and the [more]

Sun Jan 4

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:21 AM

Re: Annuals vs. S&P 500 - a data point

I don't think the point is that annual holds do not work at all but in most cases even the best annual
screens do better with shorter holds. Value screens do decently with annual holds.

I just picked a few example SIP screens that I [more]

Thu Jan 1

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:45 AM

Re: did anyone beat the S&P?

One year comparisons are worthless. A better question is have you beaten the S&P over the last
5, 10 or 15 years. This hasn't been an outstanding year for me but I have most defiantly outperformed
over the long run.

RAM

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 10:53 AM

Re: folio's K1 list

K1 forms are also required for many commodity ETF's like:
DBA Agriculture Fund, DBB Base Metals Fund, DBE Energy Fund, CANE Sugar Fund

As well as many Trusts however most REITs don't require K1s.

Most K1 tax forms are straight [more]

Tue Dec 30

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 12:02 PM

Re: CAPE and Faber fans buy Russia and Greece?

Well you can follow Faber's Global Value Fund (GVAL).
3/3/2014 24.91, 12/29/2014 19.91 - down 20%
Current holdings are not in Russia or Greece but scattered around in a lot of small
diversified foreign equities. Brazil seems to be one of [more]

Mon Dec 22

NL

Boards Post

FLARAM replied to the Mechanical Investing board. 11:02 AM

Re: SI Screen Taxonomy / Field Map

FlyingCircus's taxonomy Field Map spreadsheet' sorted by field usage:

SI Volume--Average Daily 10d]  40
SI Market Cap Q1]  28
SI Price Change 26 week 18
SI Volume--Average Monthly 3m] 18
SI Price Change 52 [more]

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Big red star, 1000 posts Old School Fool
Board Posts 1067
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