Systematic US Equities Investing

cnms> How would you suggest I go about doing that? This sounds like an interesting idea.

pepper_john> Heh...I know after GT and TKR went belly up (losing 22% each) after earnings. Both were in the Rank 1-10 stocks as well. However, the way I see it sometimes you will hit home runs and sometimes you will get hit but it should average out on the long run.
But I will definitely keep this in mind.

Thanks for all the comments folks. Keep em coming!
 
I don't use Wealth-Lab but my understanding is that you can now test strategies against back technical and fundemental data for at least the last 6 years. I'm going to look into it at some point.
 
Bubb> Although I dont know where the data is from (will find that out this weekend), I do know that it doesn't suffer from survivorship biases as I asked him this question when he gave me the data.
 
you consider using stop losses to prevent huge losses on earnings reports and other news (as mentioned above)

if a stock price falls for other reasons, but the fundamentals are still strong and the system still rates it, do you have it in you to stick by the stock?

good luck
 
Quote from Absolute:

you consider using stop losses to prevent huge losses on earnings reports and other news (as mentioned above)

if a stock price falls for other reasons, but the fundamentals are still strong and the system still rates it, do you have it in you to stick by the stock?

good luck
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Sure why not. However, keep in mind that even if the fundamentals are strong a stock that has lost its momentum (has had a sharp downturn) it shall not appear in the next month's list. Momentum comes first, then the fundamentals.
 
Just dropping in. Sorry for the lack of updates but I have been terribly busy getting some risk models programmed which is taking up a load of time.

The model has been doing pretty well. At the start of the month there was a sizable drawdown in which the model actually went underwater. But recent gains have brought it back to new equity highs which is always promising.

Since February model is up: +5.2% after realistic slippage/commissions/fills.

Comments, suggestions are always welcome.
 
Quote from mahras2:

Just dropping in. Sorry for the lack of updates but I have been terribly busy getting some risk models programmed which is taking up a load of time.

The model has been doing pretty well. At the start of the month there was a sizable drawdown in which the model actually went underwater. But recent gains have brought it back to new equity highs which is always promising.

Since February model is up: +5.2% after realistic slippage/commissions/fills.

Comments, suggestions are always welcome.
More...

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