klouche’s Activity

Thu Apr 21

NL

Boards Post

klouche posted to the Mechanical Investing board. 1:45 PM

Mechanical Decision Making Meta-Analysis

http://zaldlab.psy.vanderbilt.edu/resources/wmg00pa.pdf

Perhaps we are on to something.

The above is a meta analysis of studies of mechanical decision making [more]

Mon Apr 18

NL

Boards Post

klouche posted to the Mechanical Investing board. 2:13 PM

Some redeeming value for market cap weighting.

Perhaps:


----------------------------DOW Weightings -------------------------

Index 30EW 30DivW Dogs DogsDivW Dogs CapW
CAGR: 9.76 11.05 12.49 13.09 13.61 12.00
TR: 6097 10314 18086 23357 28735 15200
GSD(20: [more]

Sun Apr 17

NL

Boards Post

klouche replied to the Mechanical Investing board. 5:45 PM

Re: Beating the Chimps

I would recommend MI readers access the Twitter feed of Seeking Alpha blog and Mebane Faber. The Chimp picking stocks and the Portfolio Chart threads I started came from there.

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:15 PM

Re: Beating the Chimps

The take away for me is that SPY is too easy a benchmark if the chimp can beat it. RSP i.e. equal weight should be the mark to determine if the MI effort is worth it. Unless I have billions AUM, that is.

Sat Apr 16

NL

Boards Post

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

Beating the Chimps

A fun read here:

http://www.followingthetrend.com/2016/04/you-cant-beat-all-t...

Author illustrates that market cap weighting is not only inferior, [more]

Mon Apr 11

NL

Boards Post

klouche replied to the Mechanical Investing board. 2:20 PM

Re: Asset Blending Backtester

See the above with BCC=0

[more]

NL

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klouche replied to the Mechanical Investing board. 10:47 AM

Re: Asset Blending Backtester

HTD to top two

First time out buy the top asset by 84 day price appreciation.

Then wait until that asset falls to third or fourth place, then sell and buy the first place in 84 day price appreciation asset at that point in [more]

Sat Apr 9

NL

Boards Post

klouche posted to the Mechanical Investing board. 11:22 PM

Asset Blending Backtester

Check out https://portfoliocharts.com/ for background. This is an asset blend backtester (back to 1972) with some useful analytics, not the least of which is a Safe / Sustainable Withdrawal Rate [more]

Mon Mar 28

NL

Boards Post

klouche replied to the Mechanical Investing board. 1:45 AM

Re: Bear Catcher II Bug Fix

Robbie, thanks for your attention to detail.

Using the S&P500 since 19981231, new vs. old BCC:


NEW OLD
CAGR: 12.7 11.9
TR: 677.3 589.3
GSD(20: 14.2 13.8
GDD(20: 8.1 8.0
GDDD3: 6.6 7.0 [more]

Thu Mar 24

NL

Boards Post

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

Re: Amplified RS Weighting

1. In the GTR1 example, step 5 is "top 2". Typo? Curious that with an 84 day lookback, top 2 and top 20 have almost identical CAGRs.

The OP used 20, the example GTR1 URL was from my most recent tweak.

2. In step [more]

Wed Mar 23

NL

Boards Post

klouche posted to the Mechanical Investing board. 8:03 PM

Amplified RS Weighting

Background: Let's say you have universe of four stock tickers A,B,C and D and after a period of time "A" loses 10%, through "D" gains 20% per below. Furthermore, calculate the square of the square of the return; then you have an [more]

Sun Mar 20

NL

Boards Post

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

Re: More simple stuff: S&P500 Dividend Play

mea culpa

The previous post, my testing used the GTR1 weighting option, where the stock positions were weighted by level of dividend. An experiment that copied into the URL I posted. Plus all variants used HTD which was not intended, though [more]

NL

Boards Post

klouche replied to the Mechanical Investing board. 11:50 AM

Re: More simple stuff: S&P500 Dividend Play

Here's the full spectrum of CAGR vs. Dividend band, 25 buckets of 20 stocks each:


param0 Variant BCC No BCC

20 24 13.03 9.60
40 23 13.26 11.68
60 22 13.58 12.52
80 21 13.29 12.12
100 20 10.16 9.65 [more]

Sat Mar 19

NL

Boards Post

klouche posted to the Mechanical Investing board. 11:02 PM

More simple stuff: S&P500 Dividend Play

Basically, the S&P500, top dividend stocks, from rank 51st to 70th highest dividend. The very top dividend stocks are likely to be in trouble. However, HTD if stock held wanders above 51st place in dividend rank. With and without BCC tested, [more]

Wed Mar 9

NL

Boards Post

klouche replied to the Mechanical Investing board. 1:53 PM

Re: Recent BCC Signals

And according to Robbie's BCC implementation, NH/NL went Bullish on Monday, 20160307

Which means the latest whipsaw in BCC timing cost 0.5%, using SPY on open prices the next day. Not a bad price for insurance every few years.

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