Full documentation of my streak of 44 consecutive profitable trades of 15% or better

Can we please keep this on topic? I was interested in comments on my quantitative momentum model that I invented when I was a graduate student.
 
Quote from mrmarket:

Can we please keep this on topic? I was interested in comments on my quantitative momentum model that I invented when I was a graduate student.
More...

I will put this back on topic. Here is a question that will need an answer from you Mr. M in order for me to evaluate your winning trades with more detail when applied to practical real world investing methodologies. That question will need for me to begin with a scenario: Lets say Investor X has 100K to invest with all in cash. Furthermore, lets say Investor X is using your quantitative momentum model. What would the rules of the quantitative momentum model be regarding % allocation of capital per trade? In other words for illustration purposes:

-Investor X has 100K to begin investing with in cash
-Model comes up with its first buy signal.
-How much money of that 100k goes in to that first buy signal?
Is it 5%, 10%, or 100%?

Now I would venture to guess that its not 100% as your 44 winning trades posted have many trades that are still "in play" for lack of better words at the same time. Thus in anticipation of this and the fact that you agree that diversification is as a major rule of your model, it stands to reason that Investor X would never put 100% in one buy signal. Investor X would always have cash ready on hand for multiply buy signals.

So with all this said do you have a % amount of capital that you will place into each buy signal? Also do you have a maximum amount of buy signals that the portfolio is willing to carry at one time, thus allowing you to be 100% invested before turnover to the next buy signal?

If you would kindly answer these questions it would allow me to further continue discussions with you, in an intelligent and more informed manner, about other aspects of your model. Thank you.
 
Quote from ChartingMarkets:



I will put this back on topic. Here is a question that will need an answer from you Mr. M in order for me to evaluate your winning trades with more detail when applied to practical real world investing methodologies. That question will need for me to begin with a scenario: Lets say Investor X has 100K to invest with all in cash. Furthermore, lets say Investor X is using your quantitative momentum model. What would the rules of the quantitative momentum model be regarding % allocation of capital per trade? In other words for illustration purposes:

-Investor X has 100K to begin investing with in cash
-Model comes up with its first buy signal.
-How much money of that 100k goes in to that first buy signal?
Is it 5%, 10%, or 100%?

Now I would venture to guess that its not 100% as your 44 winning trades posted have many trades that are still "in play" for lack of better words at the same time. Thus in anticipation of this and the fact that you agree that diversification is as a major rule of your model, it stands to reason that Investor X would never put 100% in one buy signal. Investor X would always have cash ready on hand for multiply buy signals.

So with all this said do you have a % amount of capital that you will place into each buy signal? Also do you have a maximum amount of buy signals that the portfolio is willing to carry at one time, thus allowing you to be 100% invested before turnover to the next buy signal?

If you would kindly answer these questions it would allow me to further continue discussions with you, in an intelligent and more informed manner, about other aspects of your model. Thank you.
More...

CM...these are great questions and I'll try to answer them.

Typically I carry between 10 and 14 positions. If I'm on a hot streak and my stocks are hitting my targets fast, I may dip below 10 positions. I don't remember holding more than 14 though.

I try not to buy more than 2 or 3 stocks per week so I don't overload my portfolio with positions that may be overexposed to some systematic risk that is specific to that week.

The way it works is, when I sell a stock, I run my model and I reinvest my original capital and profits from my last sale into a new stock.

So the amount of money in each stock will vary but I think it is safe to say that usually I have about 7 to 15% of my trading capital in any one stock at a time.

The reason I say "trading capital" is that I also have other capital of mine at work in things like Limited Partnerships, real estate, commodity futures, cash, bonds, "buy and die" stocks and mutual funds.

The "trading capital" is where I've been focusing 99.9% of my discussions here and on other internet forums (including my own). The other assets I have aren't nearly as interesting as this stuff, in my opinion.

Good questions....thanks for letting me answer them. Hope that helped.
 
Quote from mrmarket:



CM...these are great questions and I'll try to answer them.

Typically I carry between 10 and 14 positions. If I'm on a hot streak and my stocks are hitting my targets fast, I may dip below 10 positions. I don't remember holding more than 14 though.

I try not to buy more than 2 or 3 stocks per week so I don't overload my portfolio with positions that may be overexposed to some systematic risk that is specific to that week.

The way it works is, when I sell a stock, I run my model and I reinvest my original capital and profits from my last sale into a new stock.

So the amount of money in each stock will vary but I think it is safe to say that usually I have about 7 to 15% of my trading capital in any one stock at a time.

The reason I say "trading capital" is that I also have other capital of mine at work in things like Limited Partnerships, real estate, commodity futures, cash, bonds, "buy and die" stocks and mutual funds.

The "trading capital" is where I've been focusing 99.9% of my discussions here and on other internet forums (including my own). The other assets I have aren't nearly as interesting as this stuff, in my opinion.

Good questions....thanks for letting me answer them. Hope that helped.
More...

Excellent thanks Mr. M for the answers to those questions. Now with those answers I am able to make a guesstimate as to the effectiveness of your model as to total return and annualized return %'s.

I assumed one more thing, that is not stated here on your thread of the 44 "winning" and thus closed positions. That assumption is that you have about 6-7 open positions that are still in the "minus" column, that date way back, one of them being HELE for example. (This is from you aol website). Now I went towards the middle of the road and said that you hold about 10 positions at a time. Obviously a buy signal is only generated from your model and it can not be forced if there is nothing that the model approves of. I will further assume that the 44 winning signals and the remaining open positions/signals on your aol site comprise all of the signals in total that have been made since Jan 2002 beginning.

Now with holding 10 signals at a time and taking in to account the average overlapping time of signals in play. Taking in to account that you sell with a fixed 15% gain on each signal. Taking in to account that you reinvest profits and capital into the next signal. Taking in to account that there are about 50-52 total signals generated over roughly 2 years time now (23 months). Taking in to account that there are roughly 6-7 open positions/signals not at target and moreover currently at losses. Taking in to account that I roughly took the middle of the road of your maximum holds of 7-14 and said 10 max at one time. My analysis and number crunching leads me to conclude with a high confidence level that Investor X's total return over 2 years on 100k beginning dollars would be:

68,000 dollars or a total return of 68% over 2 years and which would equate in to a roughly 29.60% annual return on investment from starting from Jan 2002 to present day.

For comparison purposes: drawdowns against the entire portfolio did not exceed more than 10k at any one time on the entire 100k. This is a terrific achievement. Furthermore, your return hands down beats the total return of the Nasdaq market which is (1.3)% during this same holding period. I would say its safe to assume you kicked the crap out of any mutual fund I can think of during that time. (Except Gold Funds)
Things to keep in mind though: Did you surpass the nasdaq in performance this year? I would say you equaled it or surpassed it by a very small amount. However over the longer view there is no way logically that the indices would be able to keep up with your 29.60% growth rate per year over the long haul. Thus making your method superior.
Folks these are the numbers I have crunched them and I am satisfied with them. I used middle of the road for the variable of the maximum amount held at once and I used 10% as the amount of capital invested per signal. These assumptions were made with the help of Mr. Market's answers

Mr. Market good job. As far as I'm concerned this thread is closed unless Mr. M we have someting further to discuss.
 
Quote from ChartingMarkets:



Excellent thanks Mr. M for the answers to those questions. Now with those answers I am able to make a guesstimate as to the effectiveness of your model as to total return and annualized return %'s.

I assumed one more thing, that is not stated here on your thread of the 44 "winning" and thus closed positions. That assumption is that you have about 6-7 open positions that are still in the "minus" column, that date way back, one of them being HELE for example. (This is from you aol website). Now I went towards the middle of the road and said that you hold about 10 positions at a time. Obviously a buy signal is only generated from your model and it can not be forced if there is nothing that the model approves of. I will further assume that the 44 winning signals and the remaining open positions/signals on your aol site comprise all of the signals in total that have been made since Jan 2002 beginning.

Now with holding 10 signals at a time and taking in to account the average overlapping time of signals in play. Taking in to account that you sell with a fixed 15% gain on each signal. Taking in to account that you reinvest profits and capital into the next signal. Taking in to account that there are about 50-52 total signals generated over roughly 2 years time now (23 months). Taking in to account that there are roughly 6-7 open positions/signals not at target and moreover currently at losses. Taking in to account that I roughly took the middle of the road of your maximum holds of 7-14 and said 10 max at one time. My analysis and number crunching leads me to conclude with a high confidence level that Investor X's total return over 2 years on 100k beginning dollars would be:

68,000 dollars or a total return of 68% over 2 years and which would equate in to a roughly 29.60% annual return on investment from starting from Jan 2002 to present day.

For comparison purposes: drawdowns against the entire portfolio did not exceed more than 10k at any one time on the entire 100k. This is a terrific achievement. Furthermore, your return hands down beats the total return of the Nasdaq market which is (1.3)% during this same holding period. I would say its safe to assume you kicked the crap out of any mutual fund I can think of during that time. (Except Gold Funds)
Things to keep in mind though: Did you surpass the nasdaq in performance this year? I would say you equaled it or surpassed it by a very small amount. However over the longer view there is no way logically that the indices would be able to keep up with your 29.60% growth rate per year over the long haul. Thus making your method superior.
Folks these are the numbers I have crunched them and I am satisfied with them. I used middle of the road for the variable of the maximum amount held at once and I used 10% as the amount of capital invested per signal. These assumptions were made with the help of Mr. Market's answers

Mr. Market good job. As far as I'm concerned this thread is closed unless Mr. M we have someting further to discuss.
More...


Nice job...I hope I see you in my forum someday.
 
You must log in or register to reply here.
Back
Top