klouche’s Activity

Tue Apr 22

NL

Boards Post

klouche replied to the Mechanical Investing board. 4:11 PM

Re: Tpoto's 4

A few years of experience and many backtest later has indicated that fewer(<10) uncorrelated components(ETF's) has outperformed these momentum type ETF screens. Guessing that more just dilutes or creates noise.

As to the best lookback,
[more]

Sat Apr 19

NL

Boards Post

klouche replied to the Mechanical Investing board. 11:44 AM

Re: QTAA 6 GTR1 5yr Backtest

Know that I really appreciate the quick modifications and posts you have put up for some of the stuff I've been working on, and I've enjoyed reading your submissions through the years. You normally get me thinking which is a good thing. This one [more]

Fri Apr 18

NL

Boards Post

klouche replied to the Mechanical Investing board. 1:33 PM

Re: QTAA 6 GTR1 5yr Backtest

Eric,

I don't know how one could apply a bear catcher in GTR1 to eliminate some ETFs while taking the top 2 of those not eliminated. If anyone's figured that out, please let us know.

That would be the "Picktally" [more]

NL

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klouche replied to the Mechanical Investing board. 10:12 AM

Re: QTAA 6 GTR1 5yr Backtest

Rather than a blend to soften 2008 for this 13 member universe, I prefer the bear catcher which has been tested back to the early 1970's.

2008-2014
Avg Min Max SD
CAGR: 19.9 16.8 22.3 1.7
TR: 213.0 164.8 252.8 27.5 [more]

Thu Apr 17

NL

Boards Post

klouche replied to the Mechanical Investing board. 5:19 PM

Re: QTAA gtr1 long backtest code OK?

Looks correct as a blend, but here is an alternative way of doing the blend, but also you are able to select portions based on testing values. Since some were 5, 10 or 15 in the blend, I just repeated the fund 2 or three times accordingly. So the [more]

NL

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klouche replied to the Mechanical Investing board. 12:53 PM

Re: QTAA 6 GTR1 5yr Backtest

GDM:

I swapped out your universe with similar components that can be backtested back to the mid 1990's.


ISHARES CORE MSCI TOTAL INTERNATIONAL STOCK ETF FEXPX
ISHARES MICROCAP ETF MMCFX
ISHARES CORE S&P TOTAL [more]

Tue Apr 15

NL

Boards Post

klouche replied to the Mechanical Investing board. 1:35 PM

Re: high risk high cagr zacks screen

I hacked this screen:

Market Cap top 16% (1 standard deviation)
Added Bear Catchers
Weekly hold
HTD to step 4
Zeroed out slippage


Avg Min Max SD
CAGR: 26.18 25.57 27.06 0.64
TR: 2,642 2,454 2,919 [more]

Sat Apr 12

NL

Boards Post

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

Re: Help with Signals

any help would be most appreciated..

Ok, here's the deal.

Build a screen in GTR1 with HTD, post the URL (use Firefox etc., not IE). I'll add bear-catchers to it and post it back.

There are some screens that don't [more]

Thu Apr 10

NL

Boards Post

klouche posted to the Mechanical Investing board. 3:14 PM

20 Years of Fidelity Style

Inspired by tpoto's list of Funds, I built this universe which has much data back to mid 1993:

{FCNTX}{FDGFX}{FFTYX}{FMCSX}{FSLCX}{FSLSX}{FRESX}{FIUIX}

It represents Fidelity "Style" funds (Cap, Growth, Value) plus Real [more]

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:27 PM

Re: simple fidelity switch test

A good point.

Substituting in FIDSX for the Financials, which has a long history, makes the risk adjusted return worse.

This is a good two item universe screen with bear catcher since 1993.

NL

Boards Post

klouche replied to the Mechanical Investing board. 10:45 AM

Re: simple fidelity switch test

I think you tweaked my tweak and got better numbers:


Avg
CAGR: 15.240176
TR: 1903.098389
GSD(126): 12.108689
DD(126): 3.541806
MDD: -26.558207
UI(126): 3.976995
Sharpe(126): 1.027638
Beta(126): [more]

Wed Apr 9

NL

Boards Post

klouche replied to the Mechanical Investing board. 6:14 PM

Re: simple fidelity switch test

Some tweaks, OK alot of tweaks; get Sharpe up to 0.91, but same universe.

Yes bear catcher added, it seems to be a must have on pure momentum screens. It does not hurt pre 2000 returns either.


Avg
CAGR: 15.24
TR: [more]

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:49 AM

Re: 14-yr test: 33% cagr with 15 dd 1.2 sharpe

Substituting "sp500.a=1" for the market cap top 90% step brings CAGR down to 5-6%. This return is basically SPY return for the period, so the screen does not add much value.

Tue Apr 8

NL

Boards Post

klouche replied to the Mechanical Investing board. 3:53 PM

Re: Retirement Screen?

Kevin H;

See 249924 as the start screen. I agree with Rayvt that SH is likely to cause more harm than good in a future downward excursion.

Kevin L

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:39 PM

Re: Retirement Screen?

Removing {SH} and substituting {Cash} in the universe reduces CAGR and Sharpe somewhat, but UI is attractive. More start variance, less trading. Now there is one (of 45) negative year/start occasion.


Avg Min Max SD
CAGR: [more]

Mon Apr 7

NL

Boards Post

klouche replied to the Mechanical Investing board. 9:43 PM

Re: Retirement Screen?

A simple tweak: HTD until out of the top 5, set a profit latch of 5%.

Result: higher return, less trading, tastes great!


Avg Min Max SD
CAGR: 16.51 13.38 17.93 1.65
TR: 311.0 217.7 356.3 49.85
GSD: 13.20 [more]

NL

Boards Post

klouche posted to the Mechanical Investing board. 1:30 PM

Retirement Screen?

Inspired by this on the Yahoo MI Group. Faber's universe in ETFs, no down years for any start date, Sharpe 1.08, UI 3.2, CAGR 15.1 since 2005. This is what Bernie Madoff was selling.


Avg Min Max SD
CAGR: 15.07 13.30 17.81 [more]

NL

Boards Post

klouche replied to the Mechanical Investing board. 10:23 AM

Re: Another simple screen for the deep value cro

A remarkable quality of these screens with value components is that the bear catcher has little effect on risk, or return. The value component is doing the risk abatement.

Here's the screen with Bear Catcher added.

[more]

Thu Apr 3

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:33 PM

Re: GTR1 and Hindenburg Omens

I've asked the Fool admins to delete the previous fat finger exercise.

"HO" only increases SPY return by 0.2% at the optimum setting.

"BCC" increases SPY by 1.9%.


[more]

Mon Mar 31

NL

Boards Post

klouche posted to the Mechanical Investing board. 10:06 AM

Beware Placing Market Orders

On “60 Minutes” last night they interviewed stock exchange administrators. The gist of the story was that third parties are intervening on trades to scalp a few cents. While they did not explain it this way, here’s how I interpret how it [more]

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