Systematic US Equities Investing

[mahras2]

Quote from IV_Trader:

mahras2 , did you ever heard of Baseline co ?
They have a feature called "different time periods" where one can roll back and see any data ( all the key stats that you mentioned ) as its was THEN. Perfect for your type of back testing .
Thompson Financial bought them a couple of years ago .

I have never heard of baseline co. But that sounds very interesting. Do you know whether they have fundamental data from before 1986? Now that would be excellent for more backtesting.

 

[riskarb]

Quote from IV_Trader:

mahras2 , did you ever heard of Baseline co ?
They have a feature called "different time periods" where one can roll back and see any data ( all the key stats that you mentioned ) as its was THEN. Perfect for your type of back testing .
Thompson Financial bought them a couple of years ago .

 

[IV_Trader]

Quote from mahras2:

I have never heard of baseline co. But that sounds very interesting. Do you know whether they have fundamental data from before 1986? Now that would be excellent for more backtesting.

Not sure how far back the data goes... I will ask around.

 

[mahras2]

Quote from IV_Trader:

Not sure how far back the data goes... I will ask around.

Thanks. Now data like that would be valuable.

 

[AAAintheBeltway]

I wonder if you could outline the trading rules you used to generate your performance data, eg, stop loss level, exit strategy.

 

[mahras2]

Stop losses> No stop losses were used to generate those results. Considering the performance of the historical tests, disaster stops losses may be used.

Exit strategy> Very simple. Liquidate all positions on the last friday of the month at the closing. The goal was to build a low maintainence trading model which is diversified and capable of generating profits consistently by adhering to a specific fundamental+technical trading/investing philosophy. (aka market based value/growth combination+simple momentum criteria).

 

[IV_Trader]

Quote from mahras2:

Stop losses> No stop losses were used to generate those results. Considering the performance of the historical tests, disaster stops losses may be used.

Exit strategy> Very simple. Liquidate all positions on the last friday of the month at the closing. The goal was to build a low maintainence trading model which is diversified and capable of generating profits consistently by adhering to a specific fundamental+technical trading/investing philosophy. (aka market based value/growth combination+simple momentum criteria).

Exit every month ? Then , would you consider taking position a la pair trading > long top rank & short benchmark ?

 

[mahras2]

This is what I have been thinking of doing: Long say the top 5 stocks and short the bottom 5 stocks to get a market neutral environment. I will run some tests and post the results here. Its less of a pair trading strategy than more of a market neutral long/short strategy. Naturally, I would rather build a model which will identify candidates to short. But shorting is quite different in equities (asymmetric unlike FX).

 

[riskarb]

I would run a corr matrix and hedge with futures in lieu of share-pairs. Blended tax would be lower with a higher correlation. I don't think it's wise to run the quant on the long and short.

 

[mahras2]

Quote from riskarb:

I would run a corr matrix and hedge with futures in lieu of pairs. Blended tax would be lower with a higher correlation. I don't think it's wise to run the quant on the long and short.

Yes I just generated some results. Although annualized the bottom ranked stocks tend to do poorly compared to the top, during strong growth cycles many of the lower ranked stocks were the dot coms. The bottom ranked stocks outperform the top ranked (which tend to be more value oriented than the bottom).