musselmant

Tom Musselman

musselmant’s Activity

Thu Apr 21

NL

Boards Post

musselmant replied to the Mechanical Investing board. 1:32 PM

Re: % invested in stocks

Valuation metrics come in and out of fashion and picking the wrong one can cost you BIG time so you are better off using O'S's Trending Value type averaging of such metrics to avoid underperforming for years at a time.

Tue Apr 19

NL

Boards Post

musselmant replied to the Mechanical Investing board. 6:52 PM

Re: OT: Speaking of Eq-wt

It's lost to the S&P from inception to date.

Mon Apr 18

NL

Boards Post

musselmant replied to the Mechanical Investing board. 11:45 PM

Re: Beating the Chimps

I would think "market cap weighting" is a stand-in for multi-year momentum (that's how they got big). So maybe it is a matter of regime change:
a) when there is a rotation to stocks with poorer multi-year momentum, equal weight
b) [more]

NL

Boards Post

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

Re: Beating the Chimps

[more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 12:18 PM

Re: OT How do fund giants stay in business

See women's face creams, homeopathy, chiropracters, horoscopes, the gold standard....

Mon Apr 11

NL

Boards Post

musselmant posted to the Mechanical Investing board. 12:02 PM

another no commission broker

robinhood

No margin yet; makes money off your unused cash

Tue Apr 5

Fri Apr 1

NL

Boards Post

musselmant posted to the Mechanical Investing board. 2:41 PM

more bad news for moving averages for timing

“Revisiting the Profitability of Market Timing with Moving Averages”, Valeriy Zakamulin suggest no actual statistical advantage to SMA

[more]

Mon Mar 28

NL

Boards Post

musselmant replied to the Mechanical Investing board. 11:10 AM

Re: OT: Correct Approach to Country ETF Rotation?

There is a January 2014 paper entitled “Value, Size and Momentum across Countries” by Adam Zaremba and Przemyslaw Konieczka investigating country-level value, size and momentum premiums and concluding that a long/short trade based on last 12 month [more]

NL

Boards Post

musselmant replied to the Mechanical Investing board. 11:04 AM

Re: RRS and XG Screens

Someone did an RRS add-on for Excel years ago but I've lost track of it after a number of crashed computers; maybe someone can dig it up.

Sun Mar 20

NL

Boards Post

musselmant replied to the Mechanical Investing board. 9:58 PM

Re: More simple stuff: S&P500 Dividend Play

"Prior to the financial crisis bottom (pre-2009), the higher yielders were cheaper than the next bucket (2-4% yield) 92% of the time. Since 2009, they’ve only been cheaper 30% of the time."

[more]

Tue Mar 8

NL

Boards Post

musselmant replied to the Mechanical Investing board. 12:17 PM

Re: When to stop using a screen

[more]

Wed Mar 2

NL

Boards Post

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

Re: Users On This Mechanical Investing Board

R-
Have you found any 123 screens unique to your use of it rather than re-tests of screens from here?

Tue Mar 1

NL

Boards Post

musselmant replied to the Mechanical Investing board. 6:55 PM

Re: Will gamma lead to new screens?

You can use gtr to create screens with accelerating momentum; nothing special in my tests compared to simple momentum. You can take a series of subsets of subsets, with each requiring momentum in a more recent period, or weight them as you like. [more]

Wed Feb 24

NL

Boards Post

musselmant replied to the Mechanical Investing board. 2:51 PM

Re: backtest on news sentiment

And interestingly low media attention is also a good thing:

On www.google.com/trends using a modified approach consisting of firm name in combination with the word “stock” as a search [more]

NL

Boards Post

musselmant posted to the Mechanical Investing board. 2:39 PM

backtest on news sentiment

https://dl.dropboxusercontent.com/u/70792051/BacktestReport_...
check out p. 18-19

Reports backtest (over a short data period, true) using [more]

NL

Boards Post

musselmant posted to the Mechanical Investing board. 10:41 AM

free commission trading

https://robinhood.com/

Don't know anything about them at all; if you know more post.

Mon Feb 22

NL

Boards Post

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

Re: Real Return Forecasts

Go find their estimates made in 1999 for the next 7 years, or 2007. Accurate predictions? Let us know.

This is like predicting the weather over the next 7 years. You know what hemisphere and latitude you are in and the weather for that area [more]

Wed Feb 17

NL

Boards Post

musselmant replied to the Mechanical Investing board. 9:41 PM

Re: more factors/criteria tested

I created 2 sub-universes of all stocks, one based on minimal liquidity requirements, and then a further subset of those liquid stocks for only stocks for which data also existed allowing calculation of all rations (p/sales, p/e, etc.), which cut the [more]

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Big red star, 1000 posts Old School Fool
Board Posts 1204
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Threads Started 270
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Very First Post new ideas worthless w/o backtests (10/21/1998)
Percentage of Posts Rec'd 59.14 %
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