numerous’ Activity

Yesterday

NL

Boards Post

numerous replied to the Mechanical Investing board. 11:21 AM

Re: Biff!! Powww!!!

I just noticed this NHTC topic, and it raised a question about 1 year price history (which really has nothing to do with the large recent drop). My understanding is that High Relative Value and other similar screens have a dspo(1) > 252 [more]

Fri Apr 24

NL

Boards Post

numerous replied to the Mechanical Investing board. 10:43 AM

Re: backtests for 17 SIP screens

----- notes on sector and industry exclusions -------------
WK_Voom excludes financial sector and REIT industry. This can be done using ".a" fields:
RealEstOps: if(styp.a=18!48,1,if(sic.a=6510!6512!6531!6798,1,0))
Financial: [more]

NL

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numerous replied to the Mechanical Investing board. 10:35 AM

Re: backtests for 17 SIP screens

The url for WK_Voom above has some mistakes. Need to: 1. exclude Finance Sector, 2. use derived cash flow fields, 3. deblank fields, 4. use Q1 PCF. I also added .c fields to extend the backtest to 1987. WK_Voom Radiscipt definition can be found at [more]

Wed Apr 8

NL

Boards Post

numerous replied to the Mechanical Investing board. 11:35 AM

Re: 10 Year Backtests to 2015 Feb

gtr1 URL's for these screens are at:

http://boards.fool.com/5-stock-vl-vs-dozens-31414837.aspx
[more]

Sun Apr 5

NL

Boards Post

numerous replied to the Mechanical Investing board. 11:53 PM

Re: A second new screen

Screen CAGR TR GSD(20) DD(20) MDD UI(20) Sharpe(20) Beta(20) TI(20) AT StartDate EndDate URL
ROE_PS_COP 17 1616 26 17 -59 19 0.73 0.9 18 5 19970902 20150402 [more]

Sat Apr 4

NL

Boards Post

numerous replied to the Mechanical Investing board. 1:00 PM

Re: 10 Year Backtests to 2015 Feb

Is there any way to know which screens are short screens?
All of these screens are long. There are backtests of some short screens at:
[more]

Fri Apr 3

NL

Boards Post

numerous replied to the Mechanical Investing board. 3:45 PM

Re: 10 Year Backtests to 2015 Feb

I have the data for VL hold 5 so thought I would post.

Backtest results for the last 10 years from gtr1 for standard screens (VL monthly hold 5, SIP monthly hold 10) and AAII screens (monthly hold variable) are below. Sorted by Sharpe [more]

NL

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numerous replied to the Mechanical Investing board. 2:19 PM

Re: 10 Year Backtests to 2015 Feb

Interestingly, YEY is not very high up.

YEY h10 above had Sharpe 0.64. For hold 5, YEY Sharpe was 0.86. YEY2 had similar results.
[more]

Thu Apr 2

NL

Boards Post

numerous posted to the Mechanical Investing board. 8:37 PM

10 Year Backtests to 2015 Feb

Backtest results for the last 10 years from gtr1 for standard screens (monthly hold 10) and AAII screens (monthly hold variable) are below. Sorted by Sharpe ratio. (year_added is first year in Weekly Ledgers if applicable.)

Screen [more]

NL

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numerous replied to the Mechanical Investing board. 1:42 PM

Re: backtests for 17 SIP screens

Note that I did not create many of these gtr1 urls. I just collected what others have shared, and added a few to finish the list.

NL

Boards Post

numerous replied to the Mechanical Investing board. 12:38 PM

Re: Quarterly Screens

Looking at screens with low turnover might be useful. For example, PIH_CSO_simple traded monthly had AT 4 and CAGR 32. Traded quarterly, CAGR was 29.

AT is Annualized turnover. AT=4 means the portfolio turns over 4 times in a year, or once [more]

NL

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numerous replied to the Mechanical Investing board. 12:10 PM

Re: < Boom! >

You can use the WEBSERVICE function in Excel 2013. Or in earlier versions of Excel, you can build a Excel user defined function such as:

Function StockPrice(ByVal ticker As String)
strURL = " [more]

Wed Apr 1

NL

Boards Post

numerous replied to the Mechanical Investing board. 7:42 PM

Re: backtests for 54 AAII screens

Here are a few urls so people can check the code if interested. Note that I did not look in detail at each screen, so improvements can probably be made.

[more]

NL

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numerous replied to the Mechanical Investing board. 6:30 PM

Re: backtests for 54 AAII screens

I don't feel comfortable posting all of the urls. I can post a few, just let me know which ones are of interest. Or I can email you the urls.

I used an Excel macro to generate the urls from the SIP user files. The macro is only 277 lines [more]

NL

Boards Post

numerous posted to the Mechanical Investing board. 5:40 PM

backtests for 54 AAII screens

Results from gtr1 for 54 AAII screens are listed below. There is general agreement between these results and the AAII website. Screens with high AAII 10 year return also have high gtr1 CAGR. So a sorted list will look similar using either measure. [more]

NL

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numerous posted to the Mechanical Investing board. 3:46 PM

backtests for 17 SIP screens

lohill has posted gtr1 results for most standard screens. Some additional long SIP screens are posted below.

35 SIP screens at [more]

NL

Boards Post

numerous replied to the Mechanical Investing board. 12:37 PM

Re: A new screen

Similar outperformance before and after discovery:

monthly h10:
CAGR 17 from 19970902 to 20070904 (SPY was 11)
CAGR 12 from 20070904 to 20150331 (SPY was 7)

NL

Boards Post

numerous replied to the Mechanical Investing board. 10:00 AM

Re: A new screen

[more]

Tue Mar 31

NL

Boards Post

numerous replied to the Mechanical Investing board. 8:02 PM

Re: PEG13 Screen

Generally you need a subscription to generate screen picks. Where do you get your stock data (e.g. price, volume, PE)? Screens will be different for each data source.

Thu Mar 5

NL

Boards Post

numerous replied to the Mechanical Investing board. 8:14 PM

Re: O'Shaughnessy's TV last 5 years

What would trp(1,126)top 20% have done by itself for a 3mo hold from 5/10/2010?
10.5/26.3 compared to SP500EW of 16.9/15.2, not a good 5 years for momentum performance.


I would expect these to be arbitraged away at some point. [more]

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