musselmant

Tom Musselman

musselmant’s Activity

Today

NL

Boards Post

musselmant replied to the Mechanical Investing board. 3 hours ago

Re: Zee's Screens from 07

you can adjust the backtest friction as if it were taxes, too

Sun Apr 19

NL

Boards Post

musselmant replied to the Mechanical Investing board. 9:42 PM

Re: Biff!! Powww!!!

In 2014:
During the usual sell in May period, the exchange-traded funds SPY (SPY) and QQQ (QQQ) -- which track the S&P 500 (^GPSC) and Nasdaq (^IXIC) indexes respectively -- SPY rose 6 percent, and QQQ was up 14 percent during the "stay [more]

Thu Apr 16

NL

Boards Post

musselmant replied to the Mechanical Investing board. 3:15 PM

Re: Perfect Low Volatility screen

Here's one using fscore 20020304 forward 5 stocks hold 22 days. I can either increase the CAGR or lower the gsd and dd but not both.




cagr 28.3
gsd 26.5
dd 16.1
sharpe 1.1
treynor 31
ulcer 13
beta [more]

Wed Apr 15

NL

Boards Post

musselmant replied to the Mechanical Investing board. 11:42 PM

Re: Perfect Low Volatility screen

my post in English:

1. Inflation-adjusted daily dollar-volume over 63 days >= $100,0000
2. MktCap > $100 mill
3. Actual closing Price > $1
4. Listed for at least a year (no IPOs)
5. Inflation-adjusted average dollar [more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 5:57 PM

Re: Perfect Low Volatility screen

I'm not complaining; you are one of the few people here looking for new screens, and good ones, too.

Please post your gtr link; I am getting CAGRs of 25 with various criteria applied to F=9 stocks, but not together with such low gsd and dd.

NL

Boards Post

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

Re: Perfect Low Volatility screen

With generous liquidity criteria there are only an average of 31 Piotroski score=9 stocks at each 22 day trading period 20020304 forward.

[more]

Mon Apr 13

NL

Boards Post

musselmant replied to the Mechanical Investing board. 10:28 AM

Re: 20 yr BRK.A VS EWS&P500

The risk is his death; what are the odds the people he has trained/watched for years will duplicate the same results. Maybe Leucadia or other Warren-watcher will be better.

Fri Apr 10

Wed Apr 8

Tue Apr 7

NL

Boards Post

musselmant replied to the Mechanical Investing board. 10:56 AM

Re: Allocation strategy based on trailing Sharpe

You can gtr test ratio(tr(1,200),gsd(1,200)) and the like as an approximation for sharpe.

Wed Apr 1

NL

Boards Post

musselmant replied to the Mechanical Investing board. 5:51 PM

Re: backtests for 54 AAII screens

Thanks for the work.
I don't think I've seen gtr screen defs. for quite all of these.
If you have them in a shareable file please share/post so people (I am a people) can play and rearrange.

Tue Mar 31

NL

Boards Post

musselmant replied to the Mechanical Investing board. 7:48 PM

Re: weekly traded factor test for SI Pro Fields

Can't get spacing to work.
Here are decile criteria that beat universe of liquid stocks during each criterion's relevant data period, by at least 4.4% CAGR.



Receivables Turnover arturn12m.s
Buyback Yield [more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 7:34 PM

Re: weekly traded factor test for SI Pro Fields

pre>
1. I've corrected typos in the gtr definitions
2. I've added 20 day hold top 300 and bottom 300 columns
3. I've added TOP or BOTTOM showing which direction the criteria works
4. I've indicated which 20 day holds worked best [more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 2:36 PM

Re: weekly traded factor test for SI Pro Fields

here is the weekly traded test of top 300 or bottom 300 by alphabetical listing in gtr (I copied and pasted a few which didn't seem to be in alphabetical order so those appear twice in the list.

This time with gtr field if you want to create [more]

NL

Boards Post

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

Re: weekly traded factor test for SI Pro Fields

Here is what I was hoping people would do with the data.

I took one of the criteria that did well in my factor test and used it to create a 20 day hold screen.

Liquidity, then:



a. SI Buyback Yield-Average 5 [more]

Mon Mar 30

NL

Boards Post

musselmant replied to the Mechanical Investing board. 10:30 PM

Re: weekly traded factor test for SI Pro Fields

I've made corrections and added a column showing all criteria where the top or bottom 300 stocks from the subset of liquid stocks outperformed liquid stocks by 3% or more from the start of the data available for that criteria to the [more]

NL

Boards Post

musselmant posted to the Mechanical Investing board. 7:33 PM

weekly traded factor test for SI Pro Fields

If people are looking for new screen criteria to combine this may help.

I tested weekly holds for most of the individual SI Pro Fields to see what the top and bottom deciles their CAGR was. Some of the fields are in fact multi-factor in [more]

Fri Mar 20

Thu Mar 19

Show More Activity ...

CAPS Stats & Trivia

CAPS Player Rating < 20
Player Rank 0 out of 75222
Score 0.00
Score Change Today 0
Accuracy 0.00%
Active Picks 0
Total Picks 0
Best Pick ( 0)
Worst Pick ( 0)
Average Score per Pick 0.00
Charms Earned 0
Highest Rated Favorite No Favorites Selected
Go to musselmant’s CAPS page

Boards Stats & Trivia

Big red star, 1000 posts Old School Fool
Board Posts 1034
Recs Received 2345
People who have rec'd these posts 448
Recs to Posts Ratio (last 30 days) 3.60
Threads Started 233
Threads Started Percentage 22.53 %
Most Frequent Board Mechanical Investing
Very First Post new ideas worthless w/o backtests (10/21/1998)
Percentage of Posts Rec'd 57.25 %
Show musselmant’s 10 Latest Posts