Systematic US Equities Investing

mahras2 · Mar 16, 2006

Quote from gkishot:

By how much this is ahead of SP500 index so far?

Sorry forgot the benchmark:

(Start date: January 30th 2006)
Model: +5.2%
S&P 500: +1.68%

Also keep in mind that Marketocracy takes out 50 bucks a day from the hypothetical fund as a management fee to create a highly realistic experience for a mutual fund. Not that big of a deal but trying to present a transparent performance result here.

mahras2 · Mar 24, 2006

All positions to be liquidated on March 31st to rebalance for the month of April.

mahras2 · Mar 26, 2006

A friend of mine had a domain which was not being used so I decided to put information regarding the model on the website for easy to use reference.

www.aeroscapital.com

Of course discussion of the strategy will continue in this thread. Hope this is helpful.

mahras2 · Apr 1, 2006

March returns:

Model: +5.84%
S&P500: +0.42%

Since start of journal:

Model: +9.60%
S&P500: +0.86%

April list posted on http://www.aeroscapital.com

Note: View website for description regarding the calculation of performance figures.

pepper_john · Apr 3, 2006

Congratulation.

I followed a similar method but with less success. Will try to understand the difference.

mahras2 · Apr 3, 2006

Quote from pepper_john:

Congratulation.

I followed a similar method but with less success. Will try to understand the difference.

Thanks.

ssternlight · Apr 3, 2006

Are you seeing much slippage from the opening price? $100K/position can be a bit much to load right at the open on some of those picks.

mahras2 · Apr 3, 2006

Quote from ssternlight:

Are you seeing much slippage from the opening price? $100K/position can be a bit much to load right at the open on some of those picks.

Yes some slippage has occured. Net of all expenses based on Marketocracy's simulator (which is pretty good) the total return has been 8.1%.

I went live with this strategy this month and didn't experience any slippage today. Of course my trade size was significantly less than a 100K each trade

.

Bitstream · Apr 3, 2006

now that u are invested in a long term strategy will u still be daytradin'?

thx

mahras2 · Apr 3, 2006

Quote from Bitstream:

now that u are invested in a long term strategy will u still be daytradin'?

thx

Yes. Keep in mind those are also automated models as well. I do happen to place few short term swing trades as well. However, those focus exclusively in the FX markets.

BTW guys keep on throwing out ideas and opinions you may have.