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The week's question
In March 2025, in the thread "Re: OT, out", Umm asked the members: "Do you think it is because America is made up of magical soil that makes businesses based in America magically profitable?" This week it is put to everyone again. The button below opens the small thread re-asking it - read what others have said so far, then give your own answer as an ordinary reply.
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Investment Strategies / Mechanical Investing
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Author: mungofitch ✹✺🐝 SILVER
SHREWD
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Number: of 6243 
Subject: Re: data points expert help
Date: 03/21/25 7:02 PM
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No. of Recommendations: 7
There are some interesting research papers that estimate cost basis based on the past trajectory of price and volume, with the hugely simplifying assumption that any given share is equally likely to be sold on any given date.

This sounds like an unreasonable assumption, but it gives some interesting predictions which have been verified, for example that, in combination with the disposition effect, it seems to explain the fact that turnover ratio correlates with the optimum momentum holding period. (higher turnover ratio, lower optimum momentum lookback)

This is a bit of a side track, but it is an available formula for estimating average cost basis.

Jim
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This community has written 6,227 posts about Mechanical Investing. The article-length ones it recommended most:
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