Post #4537 by Taz2 on the Mechanical Investing board

Please be responsible for your own actions and words, and avoid blaming others or making excuses for your behavior. If you make a mistake, apologize and take steps to correct it.

- Manlobbi

Investment Strategies / Mechanical Investing

Unthreaded | Threaded | Whole Thread (14)

Prev | Next

Post New | Post Reply | Report Post | Recommend It!

No. of Recommendations: 5

I simulated LMMS on P123 using the following code:

TICKER("EWA,EWO,EWK,EWC,EDEN,EFNL,EWQ,EWG,EWH,EIRL,EIS,EWI,EWJ,EWN,ENZL,ENOR,EWS,EWP,EWD,
EWL,EWU,IVV")
FOrderOLD("100*((Close(0)-Close(130)) / Close(130))",#all,#desc,#previous,true)<=8

Backtested 6-month rebalance since 1999:
6.64% annualized return, S&P 8.47%
-62% Max DD, S&P -55%
0.46 Sortino, S&P 0.63

Taz

Post New | Post Reply | Report Post | Recommend It!

Print the post

Unthreaded | Threaded | Whole Thread (14)

Prev | Next

Announcements

Mechanical Investing FAQ

Contact Shrewd'm
Contact the developer of these message boards.

A community forum supporting civilized, and highly helpful, self-educating investors that come together for Shrewdness and merry spirits. These message boards closely follow the look and feel of the old message boards at boards.fool.com prior to the boards redirected to discussion.fool.com. Shrewd'm is not affiliated with the comprehensive and excellent investment website, The Motley Fool (TMF), in any way. The Shrewd commmunity here has owed, and continues to owe, gratitude to The Motley Fool for nurturing a culture of jovial irreverence towards Wall St, and that tradition will continue here.