TGMark’s Activity

Thu Jul 24

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Boards Post

TGMark replied to the Mechanical Investing board. 8:38 PM

Re: Timing on Blend

It sure looks like DBE-45 is a decent bet!

I went back and, for that good looking DBE-45 signal, looked at the bearish periods and the advantage by going to cash compared to staying invested:

Start End #days [more]

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TGMark replied to the Mechanical Investing board. 4:57 PM

Re: Timing on Blend

FlyingCircus and Rayvt:
Think of it as being able to re-enter the market with $450K instead of $250K, and how many years it took to accumulate that $200K that vaporized in 6 months. This is about defending your pile!
Either way, it's
[more]

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TGMark replied to the Mechanical Investing board. 11:56 AM

Re: Poll: What is the Size of your MI Portfolio?

Anyone in the 49% trading large MI portfolios (>500k) feel comfortable discussing friction in round trips with popular 5 stock value line monthly screens. I have not been paying enough attention to this issue and am curious what I what sort of [more]

Tue Jul 22

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TGMark replied to the Mechanical Investing board. 8:53 AM

Re: Timing on Blend

Exactly correct, and - exactly the point. Avoiding that one single event would have preserved billions of dollars in people's wealth - portfolio values. It was worth all of the effort and "missed upside" of any minor whipsaws along the [more]

Mon Jul 21

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Boards Post

TGMark replied to the Mechanical Investing board. 8:54 AM

Re: Timing on Blend

Definition of NH/NL? Daily or an average over a period of time?

Just what Robbie had defined http://boards.fool.com/gtr1-and-market-timing-30354312.aspx
As [more]

Sun Jul 20

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TGMark replied to the Mechanical Investing board. 10:24 PM

Re: Timing on Blend

heink posted:

Or... perhaps you could bring half of your ships back to port when half of your indicators says to exit the market.

With some spreadsheet manipulation, it's possible to say something about that. Using the [more]

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TGMark replied to the Mechanical Investing board. 8:04 PM

Re: Timing on Blend

Mark, great analysis and post. Thank you. That said, I am drawing a different conclusion than "it is probably best to skip the timing."

With NH/NL < 1 and 99-day high, the MDD was reduced 40%; although the DDD3 was
[more]

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TGMark replied to the Mechanical Investing board. 8:54 AM

Re: Beware All SI Pro TTM Fields

Since they seem to have trouble adding numbers, one wonders how much trouble they have just accurately transferring fundamental data from their data vendor into their weekly update package...


Mark

Sat Jul 19

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Boards Post

TGMark posted to the Mechanical Investing board. 11:53 PM

Timing on Blend

Tpoto:

So the 99 day new high method says clear sailing for a while.
The NH/NL method says to stay in port, no clear sailing.

Assuming that neither method is perfect,
what happens if you run a simulation that says
get
[more]

Thu Jul 17

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Boards Post

TGMark replied to the Mechanical Investing board. 9:59 AM

Re: High Price Requirement vs Timing

To wit, change the code in the 3PTRV screen to use both the, 'near a new
high',and, 'increasing volume' code, as you touch on in post 251903.


Maybe this isn't what you mean, but 3PTRV already includes both of those lines you [more]

Wed Jul 16

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Boards Post

TGMark replied to the Mechanical Investing board. 8:13 PM

Re: High Price Requirement vs Timing

I've almost always settled on the "optimum" NH-NL threshold as being non-zero; usually around -20 or so.
In terms of NH/NL ratio, the optimum threshold is something like 0.7 rather than 1.0.

Interesting. Is there a backtest
[more]

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TGMark replied to the Mechanical Investing board. 7:57 PM

Re: High Price Requirement vs Timing

3ptRelVal has three steps that require the stock to have better value metrics than its industry; these remain even without the near-high requirement. On the other hand, what's left of Advanced? Basically just a recent increase in [more]

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Boards Post

TGMark replied to the Mechanical Investing board. 7:32 PM

Re: High Price Requirement vs Timing

Statistics are calculated from 19260104 to 20140715 over daily closing portfolio values for all 20 cycles.

1926? Now that's a backtest...

For those interested in the Advanced screen, I posted a fair amount about it in [more]

Tue Jul 15

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Boards Post

TGMark replied to the Mechanical Investing board. 7:41 PM

Re: High Price Requirement vs Timing

Well, here's a shocker to me.

I'm starting a similar analysis on some other screens.
Here's the table, repeated from the first post, showing how the high price requirement affects the 3PTRV screen:

3PTRV 1997-2014, 0.4% [more]

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Boards Post

TGMark posted to the Mechanical Investing board. 5:08 PM

High Price Requirement vs Timing

From another thread... A couple of the SiPro screens I use have that behavior already; they just stop picking stocks when the market tanks.

Most of the times, the screens behave this way due to the requirement that a stock's price be [more]

Mon Jul 14

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Boards Post

TGMark replied to the Mechanical Investing board. 7:33 PM

Re: Now what?

To me, this is one of the attractive things about the class of screens like Optimal Momentum and Flexible Asset Allocation of Antonacci, Keller & van Putten, et. al. These have some sort of shortish-term T-bills as one of the asset classes in [more]

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TGMark replied to the Mechanical Investing board. 4:30 PM

Re: Now what?

As for me, I know that in early parts of my investment career there were times when I just froze.

The next major slide will be trouble for me. I don't have a "final" decision about whether I'll follow timing signals or not. [more]

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Boards Post

TGMark replied to the Mechanical Investing board. 12:52 PM

Re: Now what?

Smaller stocks, less widely followed, is the only real edge we have...

Sometimes, I think this is 95% of the reason the screens do well. Use a VOOM sort, and keep the liquidity requirements on the low side, and that's about [more]

Sun Jul 13

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Boards Post

TGMark replied to the Mechanical Investing board. 5:40 PM

Re: Liquidity Measure

I don't apply any filters, even though my positions are fairly large. If it's listed among the 1700 VL stocks, it should be good enough. And that includes the occasional Chinese stock. I've never seen VL list a Russian stock.

With [more]

Wed Jul 9

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Boards Post

TGMark replied to the Mechanical Investing board. 8:42 PM

Re: more on usefulness of CAPE and MI

If the best trader of all time invested $10,000 in 1990 and beat the S&P 500 every year by forty percent, net of taxes he would have amassed only $69,197, less than the buy and hold investor (not even factoring in trading [more]

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Big red star, 1000 posts Old School Fool
Board Posts 1152
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