musselmant

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musselmant replied to the Mechanical Investing board. 5:37 PM

Re: messin with Sasquatch, er, the S&P

1. S&P 500
2. add bottom 250 beta
3. then add bottom 125 EV/EBITDA
4. then add bottom 65 sma5/sma200
5. then add top 30 MCap
6. then add top 15 Yld
7. then add bottom 10 EV/EBITDA
8. then add bottom 5 [more]

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musselmant posted to the Mechanical Investing board. 5:34 PM

messin with Sasquatch, er, the S&P

You can mess with the S&P 500 list and get it down to 5 stocks traded monthly with better cagr, gsd, drawdown, ulcer index, sharpe, beta, and treynor index, at the cost of higher turnover.




1. S&P 500
2. add [more]

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musselmant posted to the Mechanical Investing board. 9:38 PM

trending value with zacks

Remember "Trending Value"?
Here is the trending value screen as a monthly with good liquidity limits (3 major exchanges, top 90% market cap, price > $10, price x volume > $100,000, stock available for 6 months or more). [more]

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musselmant replied to the Mechanical Investing board. 11:29 AM

Re: Difference between screens and real life results

1. unknown unknowns (I hate to paraphrase you know who, but it was a great phrase)
2. black swans (if different than #1)
3. taxes
4. spreads
5. commissions
6. inflation
7. bad data used in tests
8. failure to average all [more]

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musselmant replied to the Mechanical Investing board. 6:03 PM

Re: A zacks screen

Zacks' backtester at present has a survivor bias in its S&P criteria, so you can't backtest a screen using that.

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musselmant replied to the Mechanical Investing board. 10:54 AM

Re: Outperformance longevity

Default start=19881205 for PIH Default start=19860106 for YldEarnYr

Default end=20130311 used

http://gtr1.backtest.org/2011/tim.v: [more]

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musselmant replied to the Mechanical Investing board. 9:38 PM

Re: Overlaps.. 3/8

Default start=19881205 for PIH Default start=19860106 for YldEarnYr
Default end=20130311 used

[more]

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musselmant posted to the Mechanical Investing board. 12:16 AM

guru results

per gurufocus:
...ignore those funds which had less than eight five-year rolling returns from 1980 or their inception date, whichever comes first, to 2012...



Table 5: Percentage of Years When Guru Outperformed the Market [more]

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musselmant replied to the Mechanical Investing board. 2:55 PM

Re: STB Validation Attempt

Per Yahoo charts QQQ and the Nasdaq are virtually identical since 2000.
In the last 5 years QQQ outperformed by about 10%.
In the last 1 year by about 2%.

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musselmant replied to the Mechanical Investing board. 5:02 PM

Re: performance of screens

People set forth performance for weekly, monthly, quarterly, annual screens; for #1 stock, 3, 5, 10, 20 or more stocks deep; with draw-downs, recent performance, standard deviation, sharpe ratios, performance during bear markets; people break down [more]