How to identify smooth winners

F

fortuna

Hello everybody,

I am trying to use an indicator which identifies stocks that out perform the market in up trends and hold well in down trend.

I thought about using a positive and negative beta. but not that useful

I tried with a sharpe ratio, but not that great

I know navellier is using a quantitative grade, may be it could be the solution


happy to know your ideas

regards

fortuna
 
how about simple math..something like % change relative to market\industry\sector for same period of time? but... to save you some time-whatever you find-it will work fine...for about 50% of the time..there is no smooth winners. imo-you have to dig much deeper to find them. i'm certain,that there is should be more than 1 variable in any WINNING system.
 
Quote from fortuna:

Hello everybody,

I am trying to use an indicator which identifies stocks that out perform the market in up trends and hold well in down trend.

I thought about using a positive and negative beta. but not that useful

I tried with a sharpe ratio, but not that great

I know navellier is using a quantitative grade, may be it could be the solution


happy to know your ideas

regards

fortuna
More...
Try the Sortino ratio. It makes more sense than Sharpe. Good luck.
 
Quote from fortuna:

I thought about using a positive and negative beta. but not that useful
I tried with a sharpe ratio, but not that great
I know navellier is using a quantitative grade,
More...
Sell top decile positive 12-month momentum stocks in bottom decile positive 12-month momenum industries. Buy bottom decile positive 12-month momentum stocks in top decile positive 12-month momenum industries. Maintain risk-parity (scale inversely to average long and short basket vols).

Average monthly alpha ~ 1.5%, better than 95% of established hedge funds.
 
Quote from fortuna:

Hello everybody,

I am trying to use an indicator which identifies stocks that out perform the market in up trends and hold well in down trend.


happy to know your ideas

regards

fortuna
More...
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Mr fortuna;
since you may find the former[out performers during uptrends] much more common];than ''hold well in downtrend.''

I would dig deeper also.Even when[or if] you find a group of stocks , like DIA,many years may pass, to smooth out a profit, holding in downtrends .One reason is bear markets[downtrends] tend to be anything but smooth.:cool:
 
thanks for response

There is an article from modigliani in which he invents the M2 risk a adjusted performance measure.
 
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