TMT33’s Activity

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TMT33 replied to the Mechanical Investing board. 1:29 PM

Re: 200 DMA as a Timing Signal

From the article- However, the objective of this blog is to show that the choice of the 200-day moving average is not special.

The author did not say the 100 DMA was preferred, he simply pointed out that in his sample period, it was [more]

Thu Jul 2

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TMT33 replied to the Mechanical Investing board. 6:13 PM

Re: S&P Up or Down

A simple momentum strategy selecting the top 20 from the S&P 500, returned 16.7% during the previous secular bear market from 1966 thru 1981.The S&P 500 returned 1.8% and the equal weight S&P 500 returned 10.3%

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TMT33 replied to the Mechanical Investing board. 1:24 PM

Re: S&P Up or Down

One interesting thing, the S&P 500 return from 12/31/1999 to 6/30/2015 has been around 2.2% CAGR. Over that same period, YEY has returned a CAGR of 22%. I'd be interested to see if quant screens demonstrated similar out-performance during the [more]

Tue Jun 30

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TMT33 replied to the Mechanical Investing board. 1:46 PM

Re: S&P Up or Down

and interestingly enough, BRK-A gained 52% from 3/1/2000 until 10/9/2002 while the S&P 500 lost 44%

Tue Jun 2

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TMT33 replied to the Mechanical Investing board. 9:45 PM

Re: sector rotation

I ran this with FLARAM's Fidelity Select List combined with one I was playing with earlier today in GTR1. CAGR: 19.258087 TR: 8101.346191 GSD(20): 24.998224 DD(20): 15.584035 MDD: -42.010242 UI(20): 13.154109 Sharpe(20): 0.780419 Beta(20): [more]

Mon Jun 1

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TMT33 replied to the Mechanical Investing board. 12:21 PM

Re: sector rotation

Slightly OT, but I find it odd that a one month lookback works on business sector ETF's and mutual funds (collections of stocks) but not on individual stocks themselves

NL

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TMT33 replied to the Mechanical Investing board. 11:19 AM

Re: sector rotation

The article suggests a one month lookback. I just did some quick testing on the Fama French 10 sectors (stolen from another post) and got market beating results over a variety of different time periods

Sun Apr 12

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TMT33 replied to the Mechanical Investing board. 3:52 PM

Re: 10 investment newsletters

Very nice, 24.93% CAGR from 1994

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Two stars, 250 posts Old School Fool
Board Posts 498
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Very First Post Foolish Workshop (8/25/1998)
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