Post #5575 by rayvt on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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I could see another interesting variation to test. First the top 25 or 33 stocks from one screen and then the top 5 or 10 from those by the other screen.

No joy. There must be so much overlap that it does not matter. Both variations pick almost the exact same stocks.
This was no HTD and no timing.

step2: [[Actual closing Price; share_lag=1 days; quote_lag=1 days]/[Actual closing Price; share_lag=1 days; quote_lag=252 days]] Top 5; Cash When Fewer
CAGR        26.227407
GSD         43.084263
UI          15.380290
MDD         -74.043823
AT          3.675156  
 
step2: [[Closing g-price; quote_lag=1 days]/[[Highest closing g-price over 252 days; lag=1 days] + [Lowest closing g-price over 252 days; lag=1 days]]] Top 5; Cash When Fewer
CAGR        26.522161
GSD         42.430981
UI          14.554314 
MDD         -73.333794
AT          4.969617  

step2: [[Actual closing Price; share_lag=1 days; quote_lag=1 days]/[Actual closing Price; share_lag=1 days; quote_lag=252 days]] Top 30
step3: [[Closing g-price; quote_lag=1 days]/[[Highest closing g-price over 252 days; lag=1 days] + [Lowest closing g-price over 252 days; lag=1 days]]] Top 5; Cash When Fewer
CAGR        26.966204 
GSD         42.214531 
UI          15.020716 
MDD         -74.518349
AT          4.947662  

step2: [[Closing g-price; quote_lag=1 days]/[[Highest closing g-price over 252 days; lag=1 days] + [Lowest closing g-price over 252 days; lag=1 days]]] Top 30
step3: [[Actual closing Price; share_lag=1 days; quote_lag=1 days]/[Actual closing Price; share_lag=1 days; quote_lag=252 days]] Top 5; Cash When Fewer
CAGR        26.461454 
GSD         41.920460 
UI          15.040699 
MDD         -73.663803
AT          3.895647

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