klouche’s Activity

Mon Aug 24

NL

Boards Post

klouche replied to the Mechanical Investing board. 3:41 PM

Re: A Propane Proposition

{SPH}{APU}{FGP} are UP today, shortly before the close, on average. RYE (equal weight energy) down 5.5%.

I guess a 10% dividend looks smart and will revert to a 7-8% dividend after rising.

I did not look at the actual financial [more]

Thu Aug 20

NL

Boards Post

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

Re: A Propane Proposition

As to the propane stock tickers, the lower price should be an advantage for the distributors. Gallons should be increasing with the lower prices. Price declines are not really justified, IMHO, just like the sell offs in many of the pipeline MLPs. [more]

Tue Aug 18

NL

Boards Post

klouche posted to the Mechanical Investing board. 3:50 PM

A Propane Proposition

These are companies that distribute propane gas to customers. Sort of a utility, but less regulated. Looking at the past 20 years of three of them: SPH, APU and FGP they pay a huge dividend, averaging 9.4%. The dividend is steady, and by itself [more]

Sat Aug 15

NL

Boards Post

klouche replied to the Mechanical Investing board. 7:49 PM

Re: Hacking YLDEARNYEAR_SI

Wouldn't that screen for the bottom 20% by volume?

You are correct. The donor screen had >=50 and I switched the sign direction in my testing. With the original >=50 and Bear Catcher, UI below 5:


Avg Min Max [more]

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klouche replied to the Mechanical Investing board. 5:20 PM

Re: Hacking YLDEARNYEAR_SI

Adding Bear Catcher calms things as anticipated:


Avg Min Max SD
CAGR: 29.38 27.87 31.79 1.51
TR: 5,536 4,521 7,299 1,068
GSD(2: 19.58 18.58 20.44 0.63
DD(20): 8.93 8.15 9.60 0.54
MDD: (24.1) (28.2) (20.7) [more]

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klouche posted to the Mechanical Investing board. 1:44 PM

Hacking YLDEARNYEAR_SI

Inspired by this screen, I decided to simplify by removing the earning component. That is, yield is enough of an attraction. Some pretty good results, using:

1. Top 35% in volume (around 2,000 stocks)
2. Top 150 in yield
3. Five day [more]

Wed Aug 5

NL

Boards Post

klouche replied to the Mechanical Investing board. 5:55 PM

Re: Si Pro Longer than Monthly

Here's a variation of Trending Value with five starts, minimum hold term of 52 weeks, bear catcher, slippage. CAGR in 30s, Sharpe around 1. Only holds eight stocks because 25 forces the screen to approach market like metrics.

[more]

Thu Jul 30

NL

Boards Post

klouche replied to the Mechanical Investing board. 3:34 PM

Re: Stop Loss revisited. Again.

If they are backtesting a stop loss on even medium cap stocks, they will not get the executions assumed. They will be filled lower.

On indexes, a simple switch to cash on momentum, with lag produces superior improvement to stop loss / gain [more]

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]

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Big red star, 1000 posts Old School Fool
Board Posts 2046
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