Post #1955 by mungofitch on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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Oh, okay. I thought you might be using your ROE_Cash screen which is heavily weighted in the giga-caps (or should we start calling them the tera-caps?).

I can't remember, I think ROE_Cash is the same as the one I call LargeCapCash? Yup, I'm using that, but not only that, for the conservative 75%.
I'm using a version of the "dividend required" alternative, which brings down the median market cap quite a bit.

FWIW, it has four years out of sample now. Original post http://www.datahelper.com/mi/search.phtml?nofool=y...
The original recommended use, 2 month trading cycle top 40 HTD 45, has returned after friction CAGR 26.3% versus 18.2% for S&P so far post discovery.
Unusually good, I wouldn't expect that much of a relative or absolute advantage over time. It has beaten the market for me in the short time I've been running it with real money, which is nice.

Jim

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