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Mc102> Here is the monthly performance data for Jan 1989-Dec 2005 for the top 15 stocks per holding period (1 month).

Equal allocation to the picks. So for the 1-10 ranked portfolio, each pick is ~10% of it. For 1-20 each is ~5% of it.

First week's results from the marketocracy fund (accounts for slippage+commissions): S&P: -1.53% NASD: -1.81% Dow: -1.04% Rank 1-10: -2.1% Rank 1-20: -0.94% Not too bad. The focused 1-10 picks took a big hit due to GT and TKR plummets after earnings (approx -15% on both). The...

Exactly. Its all in the odds. I am reading this book called the Theory of Poker. Pretty solid book from what I can see. Spends like the first 30 pages basically emphasizing about positive expectation on bets and the need for discipline.

Talk about a bad time to start up the model. Two big losers on GT and TKR due to earnings announcements. The 20 stock portfolio faring better than the 10 stock from diversification. Jim> I will post that over this weekend when I can do a deep scan backtest.

MC> Just did the averaging since 1989-2005: January 6% February 5% March 1% April 7% May 4% June 0% July 3% August 2% September 1% October 3% November 5% December 3% So based off of this I would say it will do pretty well in February. Worried about June though.

To set some sort of a reference point, here is where I got filled on a marketocracy fund. All positions will be liquidated at the open on 24th February. PBR: PETROLEO BRASILEIRO 89.6 BER: BERKLEY W R CP 48.97 CRDN: CERADYNE INC 57.51 TKR: TIMKEN CO 36.20 NEWP: NEWPORT CP 17.11 VRTX...

Sounds great man. Hope that acct hits 200% returns for the year since the start of this journal.

Was that based on your trading model or more of a discretionary trade? Great to see profits either ways tho :)

Yes I did it correctly. Its not that striking but it does lower it: Standard Deviation With short benchmark: 6.18 Long model only: 7.2

Yes I have read O'Shaughnessy's book. Its pretty top notch stuff. I believe he is at one of the big ibanks now after he sold off his fund to Hennessey. You might want to check this link from Harry Domash out if you are interested in O'Shaughnessy's work...

For long model? Just flip to the first post.

Yes. The long model short benchmark, seems to have lower monthly return volatility than the simple long model alone. But it doesnt have the blockbuster months like the long only system.

granville>I got the data from a friend as a database. I programmed the backtester in vb (pretty simple program but did get help on some of the tricky coding). It spits out the output in excel. Here is the long model only performance: Equity Graph (Jan 1989-Dec 2005) Monthly returns...

Well here are some monthly backtest graphs for equal dollar Long model, short benchmark. The equity curve (Jan 1989-Dec 2005) And here is the month return chart (Jan 1989-Dec 2005)

None of the above. There is a simple criteria to determine the model's universe (approx. 2000 stocks at the present). The criteria is simple volume, capitalization etc. After that the model generates a list based on fundamental and simple momentum criteria (no advanced technical...

Well this can definitely be done. This may be one method of making the model market neutral. However, should it be done through simple dollar amounts or by incorporating the picks volatility as well (for example, say the model shows a beta of 1.5 so should we short a proportionally more of the...

Yes I just generated some results. Although annualized the bottom ranked stocks tend to do poorly compared to the top, during strong growth cycles many of the lower ranked stocks were the dot coms. The bottom ranked stocks outperform the top ranked (which tend to be more value oriented than the...

This is what I have been thinking of doing: Long say the top 5 stocks and short the bottom 5 stocks to get a market neutral environment. I will run some tests and post the results here. Its less of a pair trading strategy than more of a market neutral long/short strategy. Naturally, I would...

Stop losses> No stop losses were used to generate those results. Considering the performance of the historical tests, disaster stops losses may be used. Exit strategy> Very simple. Liquidate all positions on the last friday of the month at the closing. The goal was to build a low maintainence...