klouche’s Activity

Today

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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]

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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.

Yesterday

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]

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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]

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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

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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]

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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

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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]

Tue May 26

NL

Boards Post

klouche replied to the Mechanical Investing board. 1:04 PM

Re: Explorations of YldEarnYear_SI

Looking at Robbie's Return vs. Liquidity grid, it appears that the bounce back of the less liquid, after decline, exceeds the cap weighted bounce back, significantly.

To explore, used the grid in this way:

If the past cap weighted [more]

Thu May 21

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Boards Post

klouche replied to the Mechanical Investing board. 3:10 PM

Re: Explorations of YldEarnYear_SI

Make the components S&P500 members, add HTD to ratio step, take away slippage, you get a much better return than equal weight all 500, over the same time period (Sharpe 0.86 vs. 0.57). Plus turnover per position is 1.73 (5 positions).

[more]

Tue May 19

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klouche replied to the Mechanical Investing board. 6:24 PM

Re: another simple asset rotation

Using this Universe

{VTSMX}{VIVAX}{VTRIX}{VEIEX}{VFISX}{VBMFX}{VUSTX}



1994-2007

Days lookback 84

Avg Min Max SD
CAGR: 14.4 12.9 15.6 1.0
TR: 504.4 404.1 591.1 66.1
GSD(20: 17.2 17.0 [more]

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klouche replied to the Mechanical Investing board. 12:55 PM

Re: another simple asset rotation

Here's the comparison between Mutuals and ETF equivalents over the same time period. Return takes a hit, but risk adjusted metrics are surprisingly similar meaning the Mutuals are doing more than taking high [more]

Mon May 18

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

Re: another simple asset rotation

Sharpe = 1.39.

This is why I have some funds in a similar system.

Sharpe won't be this high when trading is taken back to 1999 by attaching equivalent mutual funds for earlier periods, but the mutuals tend to underperform the ETFs.

Wed Apr 8

NL

Boards Post

klouche replied to the Mechanical Investing board. 2:18 PM

Re: Journal Communications (JRN)

Everybody on the board, estimate how much trading friction you incur in the average month. Send that dollar amount to the MI treasury, who will send it to Robbie as a gift. (Jamie has done a huge amount too, of course, but it's almost unfathomable [more]

Tue Mar 17

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Boards Post

klouche replied to the Mechanical Investing board. 6:13 PM

Re: Buffet's Pain

The asterisk is next to the row for the years 2008 to 2014 -- corresponding to the first row in your original table.

This goes to show that even if you have a backtest that kills the indexes over the long term, it can go through [more]

NL

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klouche posted to the Mechanical Investing board. 1:52 PM

Buffet's Pain

Many (us and hedge fund managers)are beating themselves up for not keeping up with the S&P500 lately. Well, neither is Warren Buffet.

Business Insider pointed me to the annual letter, page 23. I took the data and isolated 2008 to 2014 [more]

Mon Mar 16

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:32 PM

Re: Antonacci's Optimal Momentum in GTR1

Can you give a more specific detail as how you would make the additions to the universe? A more mechanical description?

Also what was your reasoning to have first 63 days look back then 210 days then 63 days look back? Wouldn't it make
[more]

Sun Mar 15

NL

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klouche replied to the Mechanical Investing board. 1:06 PM

Re: Antonacci's Optimal Momentum in GTR1

Use Firefox. IE limits URL length.

NL

Boards Post

klouche replied to the Mechanical Investing board. 11:20 AM

Re: Antonacci's Optimal Momentum in GTR1

Here's a ~14 asset universe whittled down to 7 then to 5 then to 2. Using the bear catcher:

1990-2015
Avg
CAGR: 19.05
TR: 8,446.94
GSD(20: 17.89
DD(20): 10.14
MDD: (32.11)
UI(20): 6.82
Sharpe: 0.96 [more]

Sat Mar 14

NL

Boards Post

klouche replied to the Mechanical Investing board. 7:45 PM

Re: SectorSurfer

It looks like they have produced ETF based, asset class screens similar to what many of us have done in GTR1.

Nice dashboard, but I like a more basic tool where everything is based on controls that are visible.

Plus their standard [more]

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