klouche’s Activity

Wed Jul 22

NL

Boards Post

klouche replied to the Mechanical Investing board. 1:21 PM

Re: What's wrong with this screen ?

Since 19991231 not as well with CAGR of 12+.

However, would be a good part of a blend.

Some things work well for decades, then not as well for decades.

Wed Jul 8

NL

Boards Post

klouche replied to the Mechanical Investing board. 5:10 PM

Re: return of capital, not return on capital

Sure, just stay out of the market half the year:


Avg Min Max SD
CAGR: 18.66 18.38 18.86 0.16
TR:
GSD(2: 18.68 18.62 18.78 0.06
DD(20): 9.68 9.57 9.83 0.09
MDD: (44.7) (47.7) (41.2) 2.20
UI(20): 8.81 [more]

Tue Jun 30

NL

Boards Post

klouche replied to the Mechanical Investing board. 11:43 AM

Re: Another Assault on Cap-Weighting

Not a bad article!

That was a good article, short and to the point.

Plus, plotting CAGR vs. maximum drawdowns is creative.

Since last year I have been taking a similar approach with a portion of my capital. Invest [more]

Sun Jun 28

NL

Boards Post

klouche replied to the Mechanical Investing board. 5:42 PM

Re: Buying the Dips

I asked Robbie to check a zero UI I got in a similar test, that had drawdown.

I added QQQ and GLD, two slightly non correlating assets, plus a stop gain and three day hold. Turnover reduces to 41x or every six days. When the Bear Catcher is [more]

Fri Jun 26

NL

Boards Post

klouche posted to the Mechanical Investing board. 5:05 PM

Buying the Dips

Here's a variation, using dips in rising asset class values for gain. A bullet, with 75 round trips per year. However, often, brokerages allow trades of popular ETFs without commission. Focusing in on 2007-2015 but earlier is good also, just relies [more]

Mon Jun 22

NL

Boards Post

klouche replied to the Mechanical Investing board. 4:34 PM

Re: Robotic mechanical investing?


"We are all doing the same thing"
http://globalslant.com/2015/06/black-box-trading-why-they-al......


They are saying 3.5 to 5% return [more]

Mon Jun 15

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:31 PM

Re: Income Trading: Short Strangles in SPY

Another strategy is to initiate the covered call.

Buy SPY, write an ATM call.

1. Should your timing signal trigger as SPY goes down, such as BCC or a simple 200 day MA, cover the call-write and sell SPY. You win the difference in [more]

Wed Jun 10

NL

Boards Post

klouche replied to the Mechanical Investing board. 6:00 PM

Re: Ivy Crosses

However, in the 63 day time frame other asset classes usually eclipse RSP and SPY, then retreat.

RSP is in my universe, but has not been picked because EFA, RYE, VNQ etc. have better 63 day returns at the time of rebalance. Then they [more]

Tue Jun 9

NL

Boards Post

klouche replied to the Mechanical Investing board. 6:49 PM

Re: The "Zone of Death": GTR1 test request

Try this for SPY:

[more]

Mon Jun 8

NL

Boards Post

klouche replied to the Mechanical Investing board. 11:32 AM

Re: Ivy Crosses

The two year chart of SPY or RSP is a thing of beauty. It outperforms in a smooth way the the other asset classes in that time frame.

However, in the 63 day time frame other asset classes usually eclipse RSP and SPY, then retreat. This is [more]

Wed Jun 3

NL

Boards Post

klouche replied to the Mechanical Investing board. 4:43 PM

Re: sector rotation

Here's the best I can do with the S&P500 sector universe using every advantage and perhaps gimmicks available in GTR1. Such as super long lags, stop gain, bear catchers.

For the bullet, much better return / risk than SPY benchmark [more]

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:41 PM

Re: sector rotation

That may be true when the universe is Sectors which are mostly closely correlated. But when the universe is non-correlated "Asset Rotation" its a different ball game.

Correlation is key.

We've known that sector [more]

Tue Jun 2

NL

Boards Post

klouche replied to the Mechanical Investing board. 3:01 PM

Re: sector rotation

End date removal. sheesh.

Here's smaller universe, same period mostly, much lower beta with bear catchers:

[more]

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:48 PM

Re: sector rotation

Can anyone get this screen to run as a screener only?

I'm getting a not authorized for data error in GTR1, even though there is no ValueLine, Sipro etc. fields used.

Mon Jun 1

NL

Boards Post

klouche replied to the Mechanical Investing board. 6:01 PM

Re: sector rotation

Your universe with 63 day look back, hold 3 for 21 days.


[more]

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:51 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

The volatility of one stock is higher than the group of them. A [more]

NL

Boards Post

klouche replied to the Mechanical Investing board. 11:46 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

Be careful of apples and [more]

Sun May 31

NL

Boards Post

klouche replied to the Mechanical Investing board. 7:37 PM

Re: sector rotation

Started to experiment with this in 2004 but it was when GTR1 made available access to Yahoo data that enough confidence was gained to get in with 60% of my portfolio(april-2014).

Second that. I know GTR1 can access so much data that [more]

NL

Boards Post

klouche replied to the Mechanical Investing board. 1:10 AM

Re: sector rotation

The short time I've been doing GTR1 researched / screened sector rotation is 14 months: 8.3 % annualized. SPY did 13.3 % annualized the same period.

So it is working as advertised. Low slippage, no bad fills, low turnover.

There's [more]

Thu May 28

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:42 PM

Re: GTR1 question: For the experts

I'm no expert, but I can tweak.

Added what has become the "standard" (to me) BCC to your screen.

BCC=0 Increases Sharpe by 0.1. You can test BCC=1 to 7 for other combinations of the three signals. Or use 8 to test no BCC. [more]

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