By the way, one more thing about the backtest. The date represents the return for the 20 days ahead. For example '12/31/2004' shows the return from this date till 1/28/2005. Also keep in mind that the annual returns are non-cumulative, the cumulative returns are quite a bit higher.
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50% Annual Returns
- Thread starter alphastocks
- Start date
Check out CKCM this morning, whoaa.
alphastocks,
What is your initial stock universe that you choose your stocks from? e.g. Valuelne timeliness 1 and 2, Investor Business Daily Weekend In Review stocks, Zacks etc.
If none of these, what source do you use for objective fundamental data?
BTW, congratulations on your results.
Richard
What is your initial stock universe that you choose your stocks from? e.g. Valuelne timeliness 1 and 2, Investor Business Daily Weekend In Review stocks, Zacks etc.
If none of these, what source do you use for objective fundamental data?
BTW, congratulations on your results.
Richard
Quote from rickty:
alphastocks,
What is your initial stock universe that you choose your stocks from? e.g. Valuelne timeliness 1 and 2, Investor Business Daily Weekend In Review stocks, Zacks etc.
If none of these, what source do you use for objective fundamental data?
BTW, congratulations on your results.
Richard
It's not really that simple. I have experimented with ValueLine, Zacks and several other magic rankings, without much luck. I use primarily Zacks for fundamental data, just because it allows me to backtest, however the filter I use is homebrewed and the result of many years of 'searching for the Holy Grail'. I use TradeStation for the technical component.
Quote from alphastocks:
As far as hedging out market risk the simplest thing to do is to use up to 2x leverage (normal for most retail accounts, expect IRA's) and short the MDY (S&P Midcap Trackers). I say the MDY because the stocks in the portfolio are mostly small to mid cap. A combination of this short hedge with the long portfolio will do very well indeed and it is very simple.
I use a combination of shorting stocks and writing calls. The calls are NOT on the stocks in the longs portfolio, rather naked calls on stocks that are resistant to strong upside moves and that provide ample premium. They are usually out of the money by 1 increment and about 40-60 days from expiration. For example I am short CMI ID (120 Sep Calls on CMI) at 4.5, which provided 3.8% yield.
Mr Alpha,if you speak the truth,let me be the first to congradulate you on a trading job well done!!!!!!!!!
There are a couple of questions i have,if you would be so kind...
It appears as though you are implying that you use 2x leverage.Am i correct??
It appears as you then sell the MDY against it.Do you sell 2x leverage as well,(equal notional amount)?
Do you not care about the beta of the portfolio??
Are your 50% returns UNLEVERAGED??
Do they include the short MDY's,or is that just your long stock return??
Quote from taowave:
Mr Alpha,if you speak the truth,let me be the first to congradulate you on a trading job well done!!!!!!!!!
There are a couple of questions i have,if you would be so kind...
It appears as though you are implying that you use 2x leverage.Am i correct??
It appears as you then sell the MDY against it.Do you sell 2x leverage as well,(equal notional amount)?
Do you not care about the beta of the portfolio??
Are your 50% returns UNLEVERAGED??
Do they include the short MDY's,or is that just your long stock return??
These are some very good questions that I should probably have touched on before.
First of all the long portfolio and the returns posted on this forum are unleveraged and unhedged.
However in addition to the long portfolio I also run a hedge portfolio that is not included in my posts as of yet, look at it as two different strategies. Now, in order to be 100% invested in the long portfolio, plus invested in the hedge portfolio in the same account I utilize up to 2x leverage. By the way I do not hedge using the MDY's, that was just a suggestion for those who are not comfortable shorting individual stocks.
Let's look at an example:
Out of a 100,000 dollar account I will have $5,000 invested in each stock for a total of 100,000. I will also have close to $90,000 invested in the shorts for a total of $190,000.
I am considering posting my short portfolio here as well, just wanted to see what the feedback was for the longs first.
For those who will/can't short the longs is where the juice is, but keep in mind that in a market sell off they could suffer.
And, no I don't care about the Beta of the portfolio. To try to find a perfect hedge for a long portfolio is impossible, unless you buy puts on all your longs and spend most of your profits on premium.
Basically if you are looking to make 50+% per year you must be willing to take some risks. if you want to participate in the markets in any way you must understand and accept the risks involved.
One last thing: INVESTING IN THE STOCK MARKET IS RISKY AND THERE ARE NO GUARANTEES don't let anyone tell you otherwise.
Quote from alphastocks:
These are some very good questions that I should probably have touched on before.
First of all the long portfolio and the returns posted on this forum are unleveraged and unhedged.
However in addition to the long portfolio I also run a hedge portfolio that is not included in my posts as of yet, look at it as two different strategies. Now, in order to be 100% invested in the long portfolio, plus invested in the hedge portfolio in the same account I utilize up to 2x leverage. By the way I do not hedge using the MDY's, that was just a suggestion for those who are not comfortable shorting individual stocks.
Let's look at an example:
Out of a 100,000 dollar account I will have $5,000 invested in each stock for a total of 100,000. I will also have close to $90,000 invested in the shorts for a total of $190,000.
I am considering posting my short portfolio here as well, just wanted to see what the feedback was for the longs first.
For those who will/can't short the longs is where the juice is, but keep in mind that in a market sell off they could suffer.
And, no I don't care about the Beta of the portfolio. To try to find a perfect hedge for a long portfolio is impossible, unless you buy puts on all your longs and spend most of your profits on premium.
Basically if you are looking to make 50+% per year you must be willing to take some risks. if you want to participate in the markets in any way you must understand and accept the risks involved.
One last thing: INVESTING IN THE STOCK MARKET IS RISKY AND THERE ARE NO GUARANTEES don't let anyone tell you otherwise.
Thank you for your time and honesty.
I happen to trade the near exact strategy,though i am a bit more derivative oriented, and your stock performance is nearly 2X my return..That is why I asked if your returns were 2x leveraged!!
Would you say your outstanding performance is due to your fundamental picks or is it the technical timing??
If you dont mind me asking,what is your Sharpe and Recovery ratio and why arent you out there raising money??
Quote from taowave:
Thank you for your time and honesty.
I happen to trade the near exact strategy,though i am a bit more derivative oriented, and your stock performance is nearly 2X my return..That is why I asked if your returns were 2x leveraged!!
Would you say your outstanding performance is due to your fundamental picks or is it the technical timing??
If you dont mind me asking,what is your Sharpe and Recovery ratio and why arent you out there raising money??
The backtested performance is probably 80% from the fundamentals.
Using a risk free rate of 5% the Sharpe comes in at around 10, not sure how to caluculate the Recovery ratio.
Believe me I have tought long and hard about what to do with this strategy. The thing is my previous job was trading for a hedge fund and the headache of managing OPM is something that I am not sure that I want. So honestly, I am not sure where I am going with this.
Quote from alphastocks:
The backtested performance is probably 80% from the fundamentals.
Using a risk free rate of 5% the Sharpe comes in at around 10, not sure how to caluculate the Recovery ratio.
Believe me I have tought long and hard about what to do with this strategy. The thing is my previous job was trading for a hedge fund and the headache of managing OTM is something that I am not sure that I want. So honestly, I am not sure where I am going with this.
Sharpe of 10??? For the long portfolio or the hedged portfolio?
That is near impossible with a 20 day hold....
Recovery ratio is Net return/max system drawdown..
You should recheck your Sharpe....
Use the monthly data in the backtest I posted earlier and check it, it is very possible I calculated it incorrectly.
Basically I used the following formula: Annualized Return (68.1%)-risk free rate (5%)/Std Dev of monthly returns (6).
I get 10, that is long only, unleveraged.
It could be that I used the wrong formula, I thought I remember it was something like that.
Basically I used the following formula: Annualized Return (68.1%)-risk free rate (5%)/Std Dev of monthly returns (6).
I get 10, that is long only, unleveraged.
It could be that I used the wrong formula, I thought I remember it was something like that.