musselmant

Tom Musselman

musselmant’s Activity

Yesterday

NL

Boards Post

musselmant replied to the Mechanical Investing board. 2:17 PM

Re: more on usefulness of CAPE and MI

http://awealthofcommonsense.com/bought-near-market-bottoms/

More on why simply buying when you have money may be pretty close to trying to guess bottoms anyway.

Wed Jul 9

NL

Boards Post

musselmant replied to the Mechanical Investing board. 10:52 PM

Re: more on usefulness of CAPE and MI

Ignore my #s in last post (hadn't used friction calculator in a while)

monthly trade of 10 stocks with 5 turnover turns 13.75% cagr into 6.8% after 35% tax, $1 commission, .25% spread

Looks like you need 20% cagr [more]

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musselmant replied to the Mechanical Investing board. 9:39 PM

Re: more on usefulness of CAPE and MI

per Robbie's S&P with dividends (no taxes, spreads, commissions) gave 9.8% since 19891229.

[more]

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musselmant posted to the Mechanical Investing board. 5:26 PM

more on usefulness of CAPE and MI

Barry Ritholtz at bloomberg notes

" CAPE, which measures the average inflation-adjusted earnings during the past 10 years, is at the other end of the scale. At 25.6, its valuation is very high. However, since 1990 the metric has only [more]

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musselmant replied to the Mechanical Investing board. 5:16 PM

Re: O'Shaugnessy podcast interview 8/30 on bloom

other podcasts of interest by Michael Covel (Turtle Trading)
http://www.trendfollowing.com/podcasts/

includes Larry Williams, Mebane Faber, Jack Schwager and others people on here [more]

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Boards Post

musselmant replied to the Mechanical Investing board. 4:28 PM

Re: Corrected S&P 500: factor test

if you go to S&P's website you can compile the dates (or use wikipedia) and run your test on relation of date added to your theory

but I already ran same test on non-S%P largest 500 mcap stocks, and all the same factors that didn't work [more]

Tue Jul 8

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Boards Post

musselmant replied to the Mechanical Investing board. 7:31 PM

Re: O'Shaugnessy podcast interview 8/30 on bloomberg

it seems to be called "Masters in Business" so look for that; I don't use itunes but aassume it has a searchable database

NL

Boards Post

musselmant replied to the Mechanical Investing board. 5:49 PM

Re: O'Shaugnessy podcast interview 8/30 on bloom

I don't work; I haunt this board.
(cut and paste; I didn't change all the grammar)

NL

Boards Post

musselmant posted to the Mechanical Investing board. 4:10 PM

O'Shaugnessy podcast interview 8/30 on bloomberg

Barry Ritholtz will be podcasting interviews on Bloomberg Radio — 1130 AM in NYC and on Sirius XM nationally. It will be downloadable on Apple iTunes and on the Bloomberg Radio App. You can also stream it from [more]

Sat Jul 5

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Boards Post

musselmant replied to the Mechanical Investing board. 11:03 PM

Re: most technical/timing indicators destroyed

although based on my experience, I could see how eating cheese in bed might have fatal consequences (depending your bedmate).

And as for murder in Kentucky and divorce.....I guess it depends on the sequential order.


Now if you [more]

Fri Jul 4

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Boards Post

musselmant posted to the Mechanical Investing board. 1:19 PM

momentum didn't work for non-S&P largest 500

Momentum is a failure with non-S&P 500 largest 500 market cap stocks, too, since 1999 (and S&P 500 is superior to non-S&P 500 largest 500 stocks anyway per test):



non-S&P 500 but largest mcap 500 (.4% friction [more]

Thu Jul 3

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Boards Post

musselmant replied to the Mechanical Investing board. 11:50 PM

Re: Corrected S&P 500: factor test

as the below shows, momentum does not always "work".
Depends on:
a. universe being tested
b. time period being tested
c. holding period being tested
d. whether testing quintiles, deciles, [more]

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Boards Post

musselmant replied to the Mechanical Investing board. 11:13 PM

Re: most technical/timing indicators destroyed

to be fair to the writers, they don't claim that any had value; they only mentionned these in passing as the only ones that had sharpe>1 or above average alpha, without advocating them, nor setting forth extent of any signal performance

NL

Boards Post

musselmant posted to the Mechanical Investing board. 6:00 PM

most technical/timing indicators destroyed

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2449344

"Technical Market Indicators: An Overview", Jiali Fang, Yafeng Qin, and Ben Jacobsen

Seems [more]

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Boards Post

musselmant replied to the Mechanical Investing board. 11:41 AM

Re: Corrected S&P 500: factor test

https://groups.google.com/forum/#!topic/mechanicalinvesting/...
has detail, including the bad non-posted results

Also know that while I created an [more]

Wed Jul 2

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Boards Post

musselmant replied to the Mechanical Investing board. 11:27 AM

Re: Corrected S&P 500: factor test

I also tested:
1 week return best and worst
2 weeks ago (week before last) best and worst
20 days return best and worst
20 days skip 20 days best and worst (i.e. 20 days before most recent 20)
12 week return
All of those [more]

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Boards Post

musselmant replied to the Mechanical Investing board. 11:09 AM

Re: Corrected S&P 500: factor test

get jumbled when I paste to that program so here is data in groups:



# of stocks days held cagr
TrendingValue 100 252 13.8
20 14.2
5 14.7
50 252 14.9
20 14.9
5 15.2
20 252 15.2
20 [more]

Tue Jul 1

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Boards Post

musselmant posted to the Mechanical Investing board. 11:17 PM

Corrected S&P 500: factor test

This is the info I should have presented (previous post was cut and paste from a test against the zacks universe, NOT the S&P 500 universe. That's what I get for testing too many ideas in the same day).

S&P returned 10.1% since 1999 [more]

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Boards Post

musselmant replied to the Mechanical Investing board. 11:02 AM

Re: S&P single factor analysis

Looks like I posted results of using zacks ranked stocks as first step instead of S&P 500 stocks, since that generates 20% (I didn't save links and was tested various universes before adding all the value quintiles)

Relative performance [more]

Sun Jun 29

NL

Boards Post

musselmant replied to the Mechanical Investing board. 11:27 PM

Re: S&P single factor analysis


20 day hold, .4% friction
Largest 500 mcap non-S&P: vs. S&P 500 then:
low 50 p/sales:

cagr 18.5 20.5
gsd 28.2
dd 18.9
sh .74
tr 14.1
ul 14.6
beta 1.3
mdd -65

same, 252 day [more]

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Three stars, 500 posts Old School Fool
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Very First Post new ideas worthless w/o backtests (10/21/1998)
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