elann’s Activity

Yesterday

NL

Boards Post

elann replied to the Mechanical Investing board. 9:27 AM

Re: Screen Construction

You'll also find the reverse-engineered Timeliness calculation which is the basis for all the RS"W" screens.

Not as far as I remember. I put together the RSW formula to approximate the relative strength ratings in IBD. I [more]

Sat Jan 24

NL

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elann posted to the Mechanical Investing board. 10:17 PM

Arezi Ratio for Jan 26


* 1/5 1/12 1/19 1/26/15
S&P 500 Index 2058.2 2044.81 2019.42 2051.82
Trailing 12 month PE 18.80 18.54 18.31 18.60
Trail Earnings yield 5.32% 5.39% 5.46% 5.38%
Forward 12 month PE 15.26 15.16 14.97 15.21
Fwd Earnings [more]

Sat Jan 17

NL

Boards Post

elann replied to the Mechanical Investing board. 12:13 PM

Re: Stop Loss?

Thanks for kibitzing, Bryan, really appreciate the input. /sarcasm There's a difference between logic and fact. Those are both pretty well established stats, facts.

Another tiresome rehash of the stop loss discussion, complete with snark
[more]

NL

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elann posted to the Mechanical Investing board. 2:00 AM

Arezi Ratio for Jan 19


* 12/29 1/5 1/12 1/19/15
S&P 500 Index 2088.77 2058.2 2044.81 2019.42
Trailing 12 month PE 19.11 18.80 18.54 18.31
Trail Earnings yield 5.23% 5.32% 5.39% 5.46%
Forward 12 month PE 15.51 15.26 15.16 14.97
Fwd [more]

Fri Jan 9

NL

Boards Post

elann replied to the Mechanical Investing board. 5:04 PM

Re: Calculating Actual ROI the Right Way

The main benefit of eliminating up years would be to lower one's expectations of the future central mean (CAGR).

Does anyone backtest with a primary purpose of creating an expectation for future return?

I think doing so [more]

Tue Jan 6

NL

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elann replied to the Mechanical Investing board. 10:57 PM

Re: Rankings

Does that mean you select "Connect" instead of "work offline" when you log in to VLIA v3.0?

Yes, and then click Update in the left hand menu bar.


Just to be sure, I tried doing the usual download again a [more]

NL

Boards Post

elann replied to the Mechanical Investing board. 10:32 PM

Re: Rankings

Does that mean you select "Connect" instead of "work offline" when you log in to VLIA v3.0?

Yes, and then click Update in the left hand menu bar.

Elan

NL

Boards Post

elann replied to the Mechanical Investing board. 3:09 PM

Re: Rankings

I just did an update by connecting the VL software directly, rather than downloading the file, and it seemed to get good data.

Elan

NL

Boards Post

elann replied to the Mechanical Investing board. 2:53 PM

Re: Rankings

I just got a call back from VL that the problem is fixed. Downloaded again and the problem is still there. Has anyone had better luck?

Elan

Mon Jan 5

NL

Boards Post

elann replied to the Mechanical Investing board. 8:45 PM

Re: Rankings

As of this hour the database is still corrupted. Given the company's attitude toward its customers, I very much doubt that anyone is working through the night to fix it.

Elan

NL

Boards Post

elann replied to the Mechanical Investing board. 5:59 PM

Re: Calculating Actual ROI the Right Way

To add to Elan's point .... so far I've declined to extend any of my backtests to include 2013. Adding a recent +32% year (the S&P500 total return including dividends) will just distort the statistics and give an overly optimistic [more]

NL

Boards Post

elann replied to the Mechanical Investing board. 4:35 PM

Re: Calculating Actual ROI the Right Way

How many years do you commit to a new screen before reevaluating?

I reevaluate every three years or so, when the mood strikes me. I never look only at recent performance or give it special weight. I re-test all the candidate screens [more]

NL

Boards Post

elann posted to the Mechanical Investing board. 1:50 AM

Arezi Ratio for Jan 5


* 12/15 12/22 12/29 1/5/15
S&P 500 Index 2002.33 2070.65 2088.77 2058.2
Trailing 12 month PE 18.41 18.99 19.11 18.80
Trail Earnings yield 5.43% 5.27% 5.23% 5.32%
Forward 12 month PE 14.93 15.41 15.51 15.26
Fwd [more]

Sun Jan 4

NL

Boards Post

elann replied to the Mechanical Investing board. 6:36 PM

Re: Calculating Actual ROI the Right Way

Metrics apply only to a backtest. In a real-life portfolio, it's not "risk" but "loss".

So you run a screen a few years and instead of using your real life results you just use the current backtest data to evaluate if
[more]

NL

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elann replied to the Mechanical Investing board. 3:57 PM

Re: did anyone beat the S&P?

elann, IIRC you used to run an options portfolio (6/3) as well. Are you still doing this and are results available?

Yes. You got me curious too, so I checked.


2012 2.2%
2013 137.3%
2014 [more]

NL

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

Re: Calculating Actual ROI the Right Way

I can't say much about Jim's take on "return on capital at risk" -- it's pedantically correct, but not really what people are looking for. To me, it seems that people would wind up getting a true answer to a meaningless question -- that [more]

NL

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elann replied to the Mechanical Investing board. 3:30 PM

Re: Benchmark port final summary for 2014

You still reply to those letters? I lump them in with the letters from car dealers telling me that they are looking to buy used cars just like the one I own for top top dollar.

I once did reply to such a letter. According to the info in
[more]

Fri Jan 2

NL

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elann replied to the Mechanical Investing board. 4:24 PM

Re: did anyone beat the S&P?

My annual returns for the last three years:


MI S&P
2012 11.94 16.00
2013 29.66 32.41
2014 8.98 13.69


Consistent under-performance. I think it's mostly attributable to my holding a considerable [more]

Thu Jan 1

NL

Boards Post

elann replied to the Mechanical Investing board. 11:40 PM

Re: Benchmark port final summary for 2014

Pen & paper is always available and on-line, never crashes, etc. Anyway, it takes the same amount of work to write the trade info in a paper form as it does to type it into a computer. Worst thing is that doing CTRL-F to find something in [more]

Wed Dec 31

NL

Boards Post

elann replied to the Mechanical Investing board. 6:43 PM

Re: folio versus ib

In either case, you still have to go into your account and submit orders. What I want is to be able to enter orders on Sunday, and have them released to market at a set time, say Monday at 2 pm, or Wednesday at 11 am, with no further action [more]

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