klouche

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klouche replied to the Mechanical Investing board. 7:33 PM

Re: PTSD or?

Probably because these CFP series 7 licensed pros got their clients out of equities in February 2009.

Where's that revolver?

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klouche replied to the Mechanical Investing board. 8:52 AM

Re: Too big to succeed?

I think Fidelity select sector funds was on Mungofitch's wish list. And now, is it open for him to participate as a none US person? Great :^{)

I was making a point that the iShares or Guggenheim funds can be used as proxies for [more]

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klouche replied to the Mechanical Investing board. 9:21 PM

Re: Too big to succeed?

As requested, Again in different format but same formula.

Nice layout.

I've also ran the returns for the closest Fidelity Sector Fund for the same time period vs. the Guggenheim and iShares funds. Fidelity was a slight loser [more]

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klouche replied to the Mechanical Investing board. 11:59 AM

Re: Too big to succeed?

So, what to do with this info? One obvious conclusion is to bias investments toward small cap, or at least against mega cap.

Go to GTR1 and build a simple screen of buy and hold all stocks of various market cap strata.

I [more]

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klouche replied to the Mechanical Investing board. 11:31 AM

Re: Difference between screens and real life res

Assuming that a 20% decline would put us in the bottom valuation quartile. What does the grid look like from there?

I've been using 85 years of Fama French sector data: health, energy, non durables and utilities. An 83% probability of [more]

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klouche replied to the Mechanical Investing board. 8:32 AM

Re: Difference between screens and real life res

FWIW, here are the same stats for the monthly timing system posted here
http://boards.fool.com/monthly-timing-29448264.aspx
Same interval, same measurement method, [more]

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klouche replied to the Mechanical Investing board. 4:13 PM

Re: TA-based MI, anyone?

one of three exit conditions is met: (1) the stop-loss order is triggered, (2) the current close is above the close five days ago, or (3) the current close is the highest close in the past five days.

Thanks for sharing. Looks like you [more]

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klouche replied to the Mechanical Investing board. 3:40 PM

Re: First year MI, 4/9/2012 to 4/8/2013

LOWPE_ZLTDA
PEG-Minimalist
PIH_CSO_simple
YLDEARNYEAR
YLDEARNYEAR2

Thanks for sharing.

Any idea what a blend of these five was over the time period?

It would give you (us) an idea of [more]

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klouche replied to the Mechanical Investing board. 11:05 AM

Re: All time high

Using the no dividend Yahoo data for days since last peak when market reaches an alltime high.

General thoughts:
If the new high is less than two months since the previous, average return for the next 252 days is 10.2%
If the new [more]

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

Re: All time high

The average return in the subsequent year averaged -2.4%, or -10.6% below the average starting day.

Without looking at the data, my guess is two of the four times were in the 1970,s (1972, 1978) and another was 2007. The current [more]

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

Re: "sell in may": a walk-forward back

http://marketsci.wordpress.com/

I think this guy lurks here. Terminology is similar, his blog is like reading this board.

I became aware of the May-October pattern around 1990. It [more]

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klouche replied to the Mechanical Investing board. 9:32 PM

Re: VL Screens Translated to GTR1

Thanks Larry and Robbie.

Just eyeballing three screens with low GSD, and blending them; I get a Sharpe of 1.32. Not bad over this time period. Only problem: lost 3% in 1999; hard to take in that era.

Avg Min Max SD
CAGR: [more]

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klouche replied to the Mechanical Investing board. 10:43 PM

Re: A zacks screen

Ticker 2004-05-28 2012-11-30 ROI CAGR
SPY $94.42 $141.15 49.5% 4.8%
RSP $30.84 $52.14 69.1% 6.4%
^GSPC $1,120.68 $1,416.18 26.4% 2.8%

I would think RSP would be your benchmark, since your strategy is an [more]

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

Re: DrBob2 Question on your Shrinkage Screen

On the more optimistic side, the SIPro index (created at the beginning of 2006, a full seven years ago) has beaten SPY and the other broad ETFs.

CAGRs for all start dates:
[more]

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klouche replied to the Mechanical Investing board. 9:08 AM

Re: DrBob2 Question on your Shrinkage Screen

Other than that, it doesn't appear that the GTR1 backtester would have offered any warnings about this screen in February 2008.

Conclusion: it is not likely that screens we develop now, will provide performace advantage in the next [more]

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klouche replied to the Mechanical Investing board. 5:52 PM

Re: STB Validation Attempt

To put some closure on this thread:

After trying a variety of index price series, there is no common advantage. That is, no single approach works for multiple price series. No approach worked for SPY.

The related 2 Ratios approach [more]

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klouche replied to the Mechanical Investing board. 10:39 PM

Re: 2 ratios

Here's what I get testing 19 years of SPY, monthly data:


=IF(OR(B14/B8>$E$6,B8/B2>$E$7),1,0)

Recent 0.975
Old 1.04

B&H Gated
8.1% 12.8% CAGR
0.164 0.126 GSDm
0.311 0.777 [more]

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klouche replied to the Mechanical Investing board. 9:10 AM

Re: STB Validation Attempt

So I guess there are certain market conditions where it works good.

This is what I'm finding also. The the "certain markets" mean high GSD markets. I'm testing ILF (Brazil) and find that the sensitivity to how long to stay [more]

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klouche posted to the Mechanical Investing board. 5:08 PM

STB Validation Attempt

This is an attempt to validate the STB system mentioned in 241859 and earlier by Alicia.

In summary, for the Nasdaq since 1985; when the trend system indicated to be in the market, returns were 42.5%.

The system uses a pair of [more]

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klouche replied to the Mechanical Investing board. 7:53 PM

Re: Equal Weighting for All

Update on the theme. Using GTR1, this time choosing the mid caps, that is capitalization 1000th to 501st, then selecting the twelve industries the results improve.



Avg Min Max SD
CAGR: 10.44 10.21 10.71 0.14
TR: [more]