Post #162 by Manlobbi on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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<< Never heard of this before but looks interesting: https://ritholtz.com/wp-content/uploads/2023/01/BA...
Has anyone backtested this before 1945?>>

Me neither.. Excellent find, and excellent question. If genuine, and he did not data-mine the parameters after the 1970s discovery, then the 1980 onwards post discovery data looks very effective.

It is always important to understand the details about if/how the parameters are adjusted over time. (That is why MI on this board, with everything timestamped and unable to be editing, is useful to track whether parameters are changed - I'm also impressed that the community is carrying forward screens developed as far back as 2000 such as Peg26, plowRS etc.)

- Manlobbi

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