musselmant

Tom Musselman

musselmant’s Activity

Fri Jan 29

NL

Boards Post

musselmant posted to the Mechanical Investing board. 11:08 AM

best bear strategy: stay invested?

http://www.barrons.com/articles/best-bear-market-strategy-re...

I don't subscribe but if any of you get Barrons maybe you can report [more]

Wed Jan 27

NL

Boards Post

musselmant replied to the Mechanical Investing board. 4:11 PM

Re: test of value and momentum factors by mcap

I also looked at 5 day hold momentum deciles broken down further by lowest 100 stocks within each such decile by P/S ratio compared to industry P/S ratios, and in comparison just by low P/S without regard to industry. Being low for its industry is [more]

Mon Jan 25

NL

Boards Post

musselmant posted to the Mechanical Investing board. 9:20 PM

gtr for industry median?

If price/sales is
MktCap product(sprc(1,1),csoq1d.s)
MCAll if(shraq1.s=null,MktCap,product(sprc(1,1),shraq1.s))
PS ratio(MCAll,sales12m.s)

I'm trying to get the gtrspeak for PS < industry median.

I lost a hard drive [more]

NL

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musselmant replied to the Mechanical Investing board. 4:38 PM

Re: Momentum Quality

Back when people re-created IBD's RS rank they weighted various time periods and combined them to successfully (if I recall) come up with returns akin to IBD's ranking system. Keep in mind that academics claim that the last 4 weeks are mean-reverting [more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 2:07 PM

Re: test of value and momentum factors by mcap

I also tested 200 day momentum within each ev/ebitda value decile, from ev/ebitda cheapest decile #1 up to most expensive.


ev/ebita decile cagr mom top 100
1 13.6
2 13.9
3 14.7
4 13.1
5 9.0
6 10.0 [more]

NL

Boards Post

musselmant posted to the Mechanical Investing board. 1:23 PM

test of value and momentum factors by mcap

This is a gtr study of the academic literature-stated proposition that value only works in the smallest cap universe; I used a generous liquidity set of criteria, and then divided that universe into deciles, and then tested
each market cap [more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 10:47 AM

Re: Momentum Quality

You could just require that given periods (1, 2, 3,4,5,10,20,30 60, whatever # of days) all be positive.

Fri Jan 22

NL

Boards Post

musselmant replied to the Mechanical Investing board. 6:27 PM

Re: better timing rule: MA200 plus economic down

He uses FRED data, which is adjusted often later, so his test is probably not a real-time test as investors would do in real time using data as available at the time. How much this changes the results is thus unknown. But I take the general point [more]

Tue Jan 19

NL

Boards Post

musselmant replied to the Mechanical Investing board. 4:08 PM

Re: new screen: earnings est gap

Here are various hold dates with your drop the #1 version; I've added a column for all stocks in the industry in the same largest 3000 stocks to match liquidity of the other tests, plus all industries for comparison. It looks like the screen doubles [more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 1:17 PM

Re: new screen: earnings est gap

[more]

Mon Jan 18

NL

Boards Post

musselmant replied to the Mechanical Investing board. 7:10 PM

Re: new screen: earnings est gap

Haven't tried many other criteria yet. Not really cherry-picked nor any interesting story. I just knew from academic research about dispersion of earnings estimates and surprises. The only surprise was:
a) prior surprise was better than the [more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 1:39 PM

Re: new screen: earnings est gap

ok, this one is good enough to stand up to your friction choice


CAGR 35.72
GSD(20) 20.36
GDD(20; 0%) 8.10
Sharpe(20) 1.71
TI(20) 52.29
UI(20) 2.94
Beta(20) .62
AT 9.00
mdd -16.35

2015 [more]

NL

Boards Post

musselmant posted to the Mechanical Investing board. 1:27 PM

better timing rule: MA200 plus economic downturn

http://www.philosophicaleconomics.com/2016/01/gtt/

creates a timing rule tied to retail sales and production downturns as superior to MA200 rule

NL

Boards Post

musselmant replied to the Mechanical Investing board. 12:59 PM

Re: new screen: earnings est gap

[more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 12:46 PM

Re: new screen: earnings est gap

and you can improve it with a low beta step:

21 day hold pre-friction 20081208 to 20160115:

CAGR 30.90
GSD(20) 19.60
GDD(20; 0%) 8.68
Sharpe(20) 1.57
TI(20) 46.04
UI(20) 3.93
Beta(20) .62
AT [more]

NL

Boards Post

musselmant posted to the Mechanical Investing board. 11:47 AM

new screen: earnings est gap

I took the base of one of Robbie's industry momentum screens without the momentum, limited it to stocks priced >$5 and with the largest 2000 volume in the last 63 days, and then added:
a) the 20 with the biggest gap between high and low eps [more]

Tue Jan 12

NL

Boards Post

musselmant replied to the Mechanical Investing board. 10:49 PM

Re: Best Sectors By Month from CXO

Btw choosing Fidelity Select equivalents in 2015 would have generated a -11.5% return for 2015 following this method (last trading day of the prior month to the last trading day of the month in question).

That's a 19.5% difference just for [more]

NL

Boards Post

musselmant posted to the Mechanical Investing board. 1:29 PM

more evidence:>1 value metric best

http://news.morningstar.com/articlenet/article.aspx?id=73580...

akin to Trending Value's idea that limited period backtests can give a wrong idea about which value [more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 10:17 AM

Re: Rolling Returns: Blends vs SP500

http://www.bsam.com/2016/01/11/monthly-commentary-december-2...

Nothing worked lately; let's hope it's an aberration.

Sat Jan 9

NL

Boards Post

musselmant replied to the Mechanical Investing board. 12:33 PM

Re: Interesting old post

Insurance cos., mutual funds, etc. are investing billions and can't invest in micro and small caps lest they end up buying the whole companies. We still have the advantage in those domains. Let them compete with Warren Buffett for the [more]

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Big red star, 1000 posts Old School Fool
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Very First Post new ideas worthless w/o backtests (10/21/1998)
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