TGMark’s Activity

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NL

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TGMark replied to the Mechanical Investing board. 3 hours ago

Re: More interesting predictions

I think we're being a little harsh on predictions. Sure, I tend to ignore predictions, having learned how difficult the real world is to understand and predict, especially when humans are involved. But OTOH, the ability to mentally model something, [more]

Wed Sep 10

NL

Boards Post

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

Re: 2 bagger

It looks like it's going back up. Looking at the trading activity in NHTC over the last few weeks, it sure looks like the market is being very inefficient.


Mark

Mon Sep 8

NL

Boards Post

TGMark replied to the Mechanical Investing board. 9:13 PM

Re: Portfolio construction methods

They might also have somewhat different ideas about the appropriate discount rate to use, though that's rarely dominant.

In figuring future cash flows from sales of electricity from solar arrays (typically going out 20 or 25 years), [more]

NL

Boards Post

TGMark replied to the Mechanical Investing board. 3:40 PM

Re: 2 bagger

I have been lurking for a couple of years, while becoming ever more frustrated with the general silliness of the Climate Change board. It occurred to me that a return to MI might be good for my sanity.

Yes, you can help us come to [more]

NL

Boards Post

TGMark replied to the Mechanical Investing board. 12:08 PM

Re: gtr1 reproduction of real world results

I don't see how a 3 day hold, for example, can be done
except for screens with a momentum sort at the end.


Momentum sorts are fairly common in SiPro screens, but to be clear, even with that, I certainly wouldn't propose anything [more]

NL

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TGMark replied to the Mechanical Investing board. 10:20 AM

Re: gtr1 reproduction of real world results

Do you mean you double-up on overlaps? (Or triple-up, or whatever.)

Yes.

Using picktally() in GTR1, Robbie has shown that generally, you get better results by weighting according to the number of times a pick appears in a [more]

Sun Sep 7

NL

Boards Post

TGMark replied to the Mechanical Investing board. 8:59 AM

Re: gtr1 reproduction of real world results

So are you saying that for spreads, you do better with two 5000.00 trades, versus one 10,000.00 trade.
Or maybe the 5,000.00 trades should be spread over two days.


Generally yes, but it depends on the liquidity of the stock you [more]

Sat Sep 6

NL

Boards Post

TGMark replied to the Mechanical Investing board. 9:34 PM

Re: gtr1 reproduction of real world results

I intended to suggest that your results might improve using longer holds to reduce trading costs.

For my typical blend of five SiPro screens, three deep, I made this graph showing Return vs Hold Period, for different friction levels [more]

NL

Boards Post

TGMark replied to the Mechanical Investing board. 11:53 AM

Re: gtr1 reproduction of real world results

Even with $0 commision there is still trading friction. The SEC fee and the bid-ask spread take a nibble out of every trade. Even a teensy cost adds up when you compound it 10,000 times.

This is in an IRA, I hope? I can't imagine filing a
[more]

Fri Sep 5

NL

Boards Post

TGMark replied to the Mechanical Investing board. 11:46 PM

Re: gtr1 reproduction of real world results

I wondered if you can tell me what screens you use, since you are clearly doing MI the right way.

I use my own variants of 3PT Relative Value, Advanced, RS-100, BI, Up5X3, and sometimes WK_Voom (not lately though). Mostly the [more]

NL

Boards Post

TGMark replied to the Mechanical Investing board. 3:49 PM

Re: Portfolio construction methods

How do you go about increasing the cash percentage when the VIX goes above 15? it looks like VIX has spiked a number of times over 15, but for short periods. Whipsaw could be a problem if one treats the thresholds mechanically.

This only [more]

Thu Sep 4

NL

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TGMark replied to the Mechanical Investing board. 6:03 PM

Re: gtr1 reproduction of real world results

AstroPhool concludes that real world implementation failed because of "execution costs of these trades".

Speaking as someone who has 8.5 years of continuous use of SiPro screens (and many of the same ones that Astrophool [more]

Tue Aug 26

NL

Boards Post

TGMark replied to the Mechanical Investing board. 8:41 PM

Re: CAPE: Am I Missing Something?

For most MI-screen users I would suppose that the portfolios by default contain many US stocks that are potentially "overvalued" aka high growth, notable exception being YEY. The smaller cap SI screens especially.

Here's [more]

Sun Aug 24

NL

Boards Post

TGMark replied to the Mechanical Investing board. 9:37 PM

Re: When is the CAPE "too high"?

I'm quite proud of this pic though.
http://stonewellfunds.com/CAPE_PredictivePower.jpg
Forward about-ten-year real total returns for start dates from April 1938 to
[more]

Sat Aug 23

NL

Boards Post

TGMark replied to the Mechanical Investing board. 10:34 AM

Re: OT: Well, that's a relief!

Still predicting S&P 700?

I predict 900.

This reminds me of when I first started paying attention to financial matters in the mid-late '90's. A good friend and I would stand around the water cooler talking about our [more]

Thu Aug 21

NL

Boards Post

TGMark replied to the Mechanical Investing board. 10:35 AM

Re: Bear Catchers Combined

The SP500 just hit a new high, at least according to my spreadsheets. The previous high was 1991.39 on 7/24.

Mark

Tue Aug 19

NL

Boards Post

TGMark replied to the Mechanical Investing board. 5:23 PM

Re: NH/NL

If you change to a 45 day rule, you have to decide whether you're changing one or both parameters.

When I looked at timing on a blend in [more]

NL

Boards Post

TGMark replied to the Mechanical Investing board. 1:15 PM

Re: NH/NL

Would you mind sharing on how you get "signals/year" information from GTR1?

Brute force. For each run, I export the daily portfolio values, which has the signal state, to a spreadsheet. Then I add a column to calculate the [more]

NL

Boards Post

TGMark replied to the Mechanical Investing board. 11:44 AM

Re: NH/NL

I ran GTR1 for ^GSPC from 19710208 for combination of NHNL with DBE-45 and DBE-99 and noticed that DBE-99 is a better choice.

Yes, that seems to be the case for ^GPSC. But for a blend of SiPro screens, it looks like a shorter [more]

Mon Aug 18

NL

Boards Post

TGMark replied to the Mechanical Investing board. 10:26 PM

Re: NH/NL

In this case I'm ignoring NH-NL for a bit because I believe in the mystical powers of the recent index highs.
Usually you're relatively safe for a couple of months after a fresh high.


I ignored NH/NL too. For fun, I checked what [more]

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Boards Stats & Trivia

Big red star, 1000 posts Old School Fool
Board Posts 1176
Recs Received 2805
People who have rec'd these posts 376
Recs to Posts Ratio (last 30 days) 4.30
Threads Started 103
Threads Started Percentage 8.76 %
Most Frequent Board Mechanical Investing
Very First Post MI Question (11/30/2000)
Percentage of Posts Rec'd 56.29 %
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