Stock Model
- Thread starter nitro
- Start date
Best SPX performers in 2011:
http://www.cnbc.com/id/44702708
WPI, -2
GR, 2
BIIB, -1
HUM, 4
ISRG, -1
VFC, 2
CERN, -3
CMG, -3
MA, -3
COG, -4
http://www.cnbc.com/id/44702708
WPI, -2
GR, 2
BIIB, -1
HUM, 4
ISRG, -1
VFC, 2
CERN, -3
CMG, -3
MA, -3
COG, -4
The trades are up 1.75% since inception. I have added the portfolio to Google portfolio thinking that people could follow it there, but I don't see a way to share a portfolio. Oh well. if I figure it out I will give a link.
One thing, I am confident in the numbers that the model is giving. But that is only a fraction of what it takes to succeed. You also need some timing, and the right weights (and selection in general), as well as overall macro direction. So this is probably 1/4 of what is needed for success!!! In my FV thread, you can get overall macro direction, that cuts it down to 1/2. The weights I will be giving sometime soon. But timing is not to be underestimated.
For example, since FV is leaning pretty short, I timed it so that I would get the longs on selloffs, and get the shorts on rallies. That is the extent of my timing. That worked this time (sort of), but if the market had imploded without the short side on, well, you get the point...
There are many ways to trade this model. The way I am trading it is only one way.
One thing, I am confident in the numbers that the model is giving. But that is only a fraction of what it takes to succeed. You also need some timing, and the right weights (and selection in general), as well as overall macro direction. So this is probably 1/4 of what is needed for success!!! In my FV thread, you can get overall macro direction, that cuts it down to 1/2. The weights I will be giving sometime soon. But timing is not to be underestimated.
For example, since FV is leaning pretty short, I timed it so that I would get the longs on selloffs, and get the shorts on rallies. That is the extent of my timing. That worked this time (sort of), but if the market had imploded without the short side on, well, you get the point...
There are many ways to trade this model. The way I am trading it is only one way.
One more thing about the above statement, in a real world hard core scenario, you would want to Monte Carlo test portfolios for differing market environments. So you would test, -30, -20, -10, -5, 0, +5, +10, +20, +30 general economic downturns/upturns. This way, you could see what portfolios maintained their correlations in different environments. Easy to say, not so easy to do.
So there you have it, even knowing a stocks rank will get you maybe a fifth of the way to the way a quantitative hedge fund would structure a portfolio.
So there you have it, even knowing a stocks rank will get you maybe a fifth of the way to the way a quantitative hedge fund would structure a portfolio.
Rank TNH
Is there a market for stock models? Examples?
