klouche’s Activity

Tue Oct 14

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Boards Post

klouche replied to the Mechanical Investing board. 3:44 PM

Re: How to determine Bear Catcher Combined value

Addendum:

Cap Weighted vs. Equal Weighted, SP500 1971-2014


Cap Weighted Equal Weighted
B&H BCC=0 B&H BCC=0
CAGR: 10.3 11.8 13.4 14.3
TR: 7,250 13,262 24,174 34,701
GSD: 17.9 14.3 21.1 16.2 [more]

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klouche replied to the Mechanical Investing board. 3:26 PM

Re: How to determine Bear Catcher Combined value

First thanks to Robbie for the correction and detail. Especially the outline of the care that went into consideration of what was a 52 week high when there was little volume and prices were in fractions. This opened up the 1970's for backtest timing [more]

Mon Oct 13

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klouche posted to the Mechanical Investing board. 5:25 PM

How to determine Bear Catcher Combined value

The Bear Catcher Combined signal name was defined by Robbie Geary III, to identify periods when to be out of the market. It is the combination of three timing indicators. It returns a value of 0, 1, 2, 3, 4, 5, 6, or 7. In backtests, when BCC = 0; it [more]

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klouche replied to the Mechanical Investing board. 12:22 PM

Re: Recent BCC Signals

Larry,

Thanks for posting these. Do you have a link to submit this realtime? Does it require a subscription?

Fri Oct 10

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Boards Post

klouche replied to the Mechanical Investing board. 2:32 PM

Re: OT beat the market, effort free

Taken to an extreme, you simply have a quant screen, and end up back at the MI board.

Perhaps the endgame for MI will be ETFs weighted by similar screening factors we use here.

Wed Oct 8

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klouche replied to the Mechanical Investing board. 4:10 PM

Re: October

From your link, look at utilities for the May to October period. Not bad 3% gain, better than flat or loss. Plus substantial dividends. It has worked for me in 2014, however plan to switch in the last week of the month to everything but utilities.

Tue Oct 7

NL

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klouche replied to the Mechanical Investing board. 5:25 PM

Re: October

Still, it looks like it would take another 3% decline in order for the "go away in May" trade to work. Which it might. Not a very profitable trade, but it does shed some risk.

Sun Sep 21

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klouche replied to the Mechanical Investing board. 12:12 AM

Re: GTR1: RS1M-hold3m in a small 401K universe I

25 year backtest of a 7 asset class universe


Avg Min Max SD
CAGR: 16.31 14.82 18.00 0.83
TR: 4,846 3,393 6,958 924
GSD: 12.82 12.12 13.57 0.38
DD(20): 7.12 6.38 8.52 0.45
MDD: (24.0) (39.3) (19.6) 4.23 [more]

Fri Sep 19

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klouche replied to the Mechanical Investing board. 7:57 PM

Re: GTR1: RS1M-hold3m in a small 401K universe I

I use this universe with legacy holdings for old entries, for backtests back to early 1999. Prior to 1999, US large caps would likely dominate and track the indexes, but I have not tested.

[more]

Mon Sep 8

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Boards Post

klouche replied to the Mechanical Investing board. 1:17 PM

Re: Recent BCC Signals

So the only misfire was in late 2011, for around 1.5% slippage. Well worth a few of these, if it catches anything like another 2008 or 2002.

Fri Aug 29

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Boards Post

klouche replied to the Mechanical Investing board. 3:25 PM

Re: Dogs of the DOW

R Geary tested the Dogs recently back to 1926 using top 10 yield variation.

Search for it at http://www.datahelper.com/mi/search.phtml

Wed Aug 27

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Boards Post

klouche replied to the Mechanical Investing board. 3:02 PM

Re: Another contra to doom-n-gloom

Oh. Dated April 2009.

Yeah, I fell for it.

Sun Jul 27

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klouche replied to the Mechanical Investing board. 2:56 PM

Re: A study on the Bear-Catchers v2

This would be a good time to compare MI in general to RSP (or synthetic RSP) over similar time frames.

I would do, but am away from an opportunity to do so.

Wed Jul 23

NL

Boards Post

klouche replied to the Mechanical Investing board. 6:04 PM

Re: A study on the Bear-Catchers

Thanks for this effort and presentation.

I was able to further summarize what you did by extracting, removing the short screens and comparing each of the six bear catcher combinations to "Normal" or no bear catcher. Presented below [more]

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