Recent content by Equities Lab

Sorry about that -- I'll omit the link next time!

Ehh, maybe. How long are you holding it for? When I gather everything on this thread, I get: PE > 100 market cap > 100b up at least 40% YTD Had a day worse than 50% of its peers in technology. When I backtest this for a weekly holding period, I see that when it strikes it looks good. If you...

If you used reasonable allowance for slippage (say 0.1% for large caps, or 0.5% for small caps), would that be enough to help the tool model usefully? If not, what else should I look out for?

I am a dodo -- I used the wrong ticker! IEF was what I was looking for. The ticker I wanted was IEF -- the 7-10 year treasury ETF. Here's the replaced picture. The green line is JEPI, and the S&P500 is the brown line. The "Screener" in this case happens to be the one that matches only...

In theory JEPI is supposed to be a bond fund, but looking at the stock price versus some other bond ETF's, it certainly looks to have more equity-like performance. Not sure that that matters much, but it is worth keeping in mind if you are using it as a hedge against an uncertain market.

Do backtests here refer to simulated trades on one stock, or simulated trades for a whole basket of trades? And what are popular backtest tools?

First off -- How am I computing Piotroski? I've pasted the formula below, so if I've made any errors, please let me know! Further, I'm using Morningstar data, with a stock universe of US equities that have more than $500k daily trading volume and a value (any value at all, even negative) for...

FWIW, High piotroski stocks still outperform their baseline in the last five years, for both stocks over 500m in market cap, and for stocks over 5b in market cap. If anyone wants to see a more complete analysis, with pretty pics, let me know and I will post it.

I'm pretty sure that both Portfolio123 (https://www.portfolio123.com) and EquitiesLab (https://www.equitieslab.com) have current and historical piotroski scores.

Have you looked at Equities Lab? In my (biased) opinion, it's a very good choice. It has fundamental and technical indicators, a powerful expression language, and beautiful analytics that make the results more useful. It also backtests and simulates portfolios. Metastock and Amibroker both...

Don't you end up being responsible for the entire loss, which could be more than the value of your account if it blows up? If not, I see a business model here: 1. Find a strategy that goes to -10x half the time, and goes to 10x the other half. 2. Do it several times, with different accounts...

Hed -- no question that IB is the best at shorting stock. I've not been able to make money at shorting stocks, even with screens that clearly show strategies that lose tons of money each year (not so easy to come up with). The problems are several: 1. If the stock delists, you can't get out...