numerous’ Activity

Fri Sep 26

NL

Boards Post

numerous replied to the Mechanical Investing board. 6:58 PM

Re: PDLI auditor dumped them

The trusts have been around 25+ years and, AFAIK, are not going to disappear in the next couple of months or years.

GNI is going to disappear April 6, 2015. This stock was badly mispriced for years, then someone noticed the expiration [more]

Sat Sep 13

NL

Boards Post

numerous replied to the Mechanical Investing board. 1:06 AM

Re: things you should know the difference betwee

All this WER talk got my attention. Better than SPY, but not as good as YldEarnYear.

screen hold_period CAGR_avg GSD CAGR_min CAGR_max
WER_PE monthly 12 31 5 22
WER_RS/PE monthly 11 32 4 21
YldEarnYear monthly [more]

Fri Sep 12

NL

Boards Post

numerous replied to the Mechanical Investing board. 7:24 PM

Re: things you should know the difference betwee

Argggg, the internet is flaming agin. I have learned many things from tpoto, please keep posting. ilmostro likes WER forever, fine, please keep posting. Some ppl are monogamous, some players, fine. There are many roads to Dublin. Last I checked there [more]

Thu Sep 11

NL

Boards Post

numerous replied to the Mechanical Investing board. 1:59 PM

Re: gtr1 reproduction of real world results

Ran AstroPhool's blend from OP. Not much difference in CAGR between 20 day and 10 day holding periods (with 0.5% friction).

holding period CAGR GSD DD Sharpe AT
20 31 23 13 1.29 9.6
10 32 23 13 1.35 16.4
[more]

NL

Boards Post

numerous replied to the Mechanical Investing board. 1:40 PM

Re: gtr1 reproduction of real world results

I looked at returns for 3pt_Relative_Value for various holding periods. Dropoff with longer holding was slightly less than TGMark's blend above (with no friction).

ratio 3pt_Relative_Value TGMark
16 day:3day 77% 75%
20 [more]

NL

Boards Post

numerous replied to the Mechanical Investing board. 11:42 AM

Re: revised SIP screens to fix P/CF

Using SI Pro's incorrect PCF reduces CAGR significantly. It's like using a random number to throw away most of the top picks, and so has similar results as going deeper into 3pt_Relative_Value_nocf.

screen hold CAGR GSD DD Sharpe AT [more]

Wed Sep 10

NL

Boards Post

numerous replied to the Mechanical Investing board. 8:45 PM

Re: revised SIP screens to fix P/CF

These are the top 25 picks August 29 for {3pt_Relative_Value_nocf} from SIPro. Only six overlap with {3pt_Relative_Value} SI rankings [more]

NL

Boards Post

numerous replied to the Mechanical Investing board. 7:53 PM

Re: revised SIP screens to fix P/CF

Define {High_Relative_Value_nocf}
Uses [SI Price] [SI Market Cap Q1] [SI Volume--Average Daily 10d] [SI Price--high 52 week] [SI PE] [SI Ind PE] [SI Price/FCFPS] [SI Ind Price/FCFPS] [SI Volume--Average Daily 10d] [SI Volume--Average Monthly 3m] [more]

NL

Boards Post

numerous replied to the Mechanical Investing board. 12:36 PM

Re: revised SIP screens to fix P/CF

Define {3pt_Relative_Value_nocf}
;
Uses [SI Price] [SI Market Cap Q1] [SI Volume--Average Daily 10d] [SI Price--high 52 week] [SI PE] [SI Ind PE] [SI Price/Sales] [SI Ind Price/Sales] [SI Volume--Average Daily 10d] [SI Volume--Average Monthly [more]

Tue Sep 9

NL

Boards Post

numerous replied to the Mechanical Investing board. 5:19 PM

Re: revised SIP screens to fix P/CF

A gtr1 backtest of {78RPM_rev2} is below, with similar results as the GTR1 Helper version. The SIPro version of {78RPM} can't be backtested easily.

GTR1 Helper version of {78RPM} (uses gtr1 implementation of PCF)
19.1 CAGR, 33.1 GSD [more]

NL

Boards Post

numerous replied to the Mechanical Investing board. 5:12 PM

Re: revised SIP screens to fix P/CF

Four year returns of the affected screens is below, calculated using Weekly Ledgers.

screen #_stocks trailing results CAGR
78RPM__(SIPRO) 10 68% 14%
Up_5%__(SIPRO) 10 100% 19%
SPY 10 103% 19%
QQQQ 10 133% [more]

NL

Boards Post

numerous replied to the Mechanical Investing board. 2:02 PM

Re: revised SIP screens to fix P/CF

Define {78RPM_rev2}
Uses [SI Price] [SI Volume--Average Daily 10d] [SI Price as % of 52 Week High] [SI Price Change 26 week] [SI Exchange] [SI Income After Taxes 12m] [SI Market Cap Q1] [SI Depreciation 12m]
Deblank [SI Price] [SI [more]

NL

Boards Post

numerous replied to the Mechanical Investing board. 10:57 AM

Re: revised SIP screens to fix P/CF

The problem is the database used for backtesting is different before 2010. So the backtest results will not say anything about the current screen.

It is like backtesting a screen for low [Price/Earnings] up to 2010, then switching the [more]

Mon Sep 8

NL

Boards Post

numerous posted to the Mechanical Investing board. 6:27 PM

revised SIP screens to fix P/CF

The SIPro definition of cash flow per share changed in 2010. See http://boards.fool.com/up5x3-torpedoed-31066701.aspx for background. Some standard SI screens need to be updated to [more]

NL

Boards Post

numerous replied to the Mechanical Investing board. 12:43 PM

Re: gtr1 reproduction of real world results

please tell me if the issue(s) with p/cf haven been addressed in the weekly rankings.

Not that I know of. What do you use the weekly rankings for? The post you link to lists 8 SIPRO screens that use p/cf. I think these should be kept [more]

NL

Boards Post

numerous replied to the Mechanical Investing board. 12:35 PM

Re: gtr1 reproduction of real world results

Wow, nice chart. I want a chart like that for my screens; another project :). TGMark's chart shows how friction affects ideal holding period. Friction of zero is unattainable. Friction of 0.2% might be attainable for small accounts with dollar volume [more]

Sat Sep 6

NL

Boards Post

numerous replied to the Mechanical Investing board. 12:58 PM

Re: 5 Stock SI Pro Screens Format Comparison

what is DOZ format?

Answered in the OP: "These tests are for 5 stock screens with a 20 market day hold except in the Dozens format each stock gets held for 25 market days with one traded each week."

So, in both [more]

Fri Sep 5

NL

Boards Post

numerous replied to the Mechanical Investing board. 1:35 PM

Re: a new screen decontructing Advanced

please explain what these do/say in English:
linear(1,ord(1),-1,Q1End) <= 252
linear(1,Q1End,-252,1,1,dsio(1),-1,ord(1)) >= 0


The first step checks for stale quarterly reports.
The second step checks for corporate [more]

NL

Boards Post

numerous posted to the Mechanical Investing board. 8:16 AM

a new screen decontructing Advanced

The standard SIP screen Advanced has a very high CAGR of 40 and a very high GSD of 42. I looked at some variations using the same factors: H52, VolRat, Price, PC52wk, and POCF. The best I found was H52volPOI with 34 CAGR, 22 GSD.

[more]

Thu Sep 4

NL

Boards Post

numerous posted to the Mechanical Investing board. 5:27 PM

gtr1 reproduction of real world results

AstroPhool was generous enough to post results in 2011 at
http://boards.fool.com/3-what-were-your-own-quotrealquot-res... , with a real world CAGR of [more]

Show More Activity ...

CAPS Stats & Trivia

CAPS Player Rating 69.31
Player Rank 23040 out of 75065
Score 2082.14
Score Change Today -116.31
Accuracy 38.10%
Active Picks 200
Total Picks 886
Best Pick GMCR (+407.27)
Worst Pick EZPW (-108.04)
Average Score per Pick 2.35
Charms Earned 6
Highest Rated Favorite roberttsf
Go to numerous’ CAPS page

Boards Stats & Trivia

One star, 50 posts
Board Posts 142
Recs Received 344
People who have rec'd these posts 96
Recs to Posts Ratio (last 30 days) N/A
Threads Started 18
Threads Started Percentage 12.68 %
Most Frequent Board Mechanical Investing
Very First Post IQNT (1/3/2013)
Percentage of Posts Rec'd 71.13 %
Show numerous’ 10 Latest Posts