Systematic US Equities Investing

Quote from granville:

I did some reading along these lines and found a book "What Works on Wall Street" to be very informative. The author looks at base rates and uses stats to develop multiple systems with holding periods of 1 year. Maybe the book could be of some benefit to you:

http://www.amazon.com/gp/product/00...102-1131692-8764927?n=507846&s=books&v=glance
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Yes I have read O'Shaughnessy's book. Its pretty top notch stuff. I believe he is at one of the big ibanks now after he sold off his fund to Hennessey. You might want to check this link from Harry Domash out if you are interested in O'Shaughnessy's work:
http://moneycentral.msn.com/content/Investing/Findhotstocks/P86711.asp
 
Quote from mahras2:

Yes. The long model short benchmark, seems to have lower monthly return volatility than the simple long model alone. But it doesnt have the blockbuster months like the long only system.
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and its should be for any winning strategy. But are you sure that you did it correct (vs. bnmr?) . Both graphs looks the same ( monthly deviation)
 
Yes I did it correctly.
Its not that striking but it does lower it:

Standard Deviation
With short benchmark: 6.18
Long model only: 7.2
 
To set some sort of a reference point, here is where I got filled on a marketocracy fund. All positions will be liquidated at the open on 24th February.

PBR: PETROLEO BRASILEIRO 89.6
BER: BERKLEY W R CP 48.97
CRDN: CERADYNE INC 57.51
TKR: TIMKEN CO 36.20
NEWP: NEWPORT CP 17.11
VRTX: VERTEX PHARMACEUT 35.92
IM: INGRAM MICRO A 18.97
JNS: JANUS CAP GP CMN STK 21.20
ILMN: ILLUMINA INC 20.68
GT: GOODYEAR TIRE RUBBER 19.00
 
Could you show detailed monthly results from 1989 to 2005? Normally Feb is not good month for long based on my results. Maybe your one is different.

Good luck with your trading.
Jim
 
MC> Just did the averaging since 1989-2005:

January 6%
February 5%
March 1%
April 7%
May 4%
June 0%
July 3%
August 2%
September 1%
October 3%
November 5%
December 3%

So based off of this I would say it will do pretty well in February. Worried about June though.
 
Quote from mahras2:

MC> Just did the averaging since 1989-2005:

January 6%
February 5%
March 1%
April 7%
May 4%
June 0%
July 3%
August 2%
September 1%
October 3%
November 5%
December 3%

So based off of this I would say it will do pretty well in February. Worried about June though.
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Can you list the monthly data for each year with top 15 stocks. It appears that Mar, Jun, Sep are not good months. You get a few months breaks while not lose much.

Thanks,
Jim
 
Talk about a bad time to start up the model. Two big losers on GT and TKR due to earnings announcements. The 20 stock portfolio faring better than the 10 stock from diversification.

Jim> I will post that over this weekend when I can do a deep scan backtest.
 
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