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judgetrade
some luck with "new" stuff... (share some experiance)

Without giving away too much I had some sucess with the following latley:

FRank(" ",#all,#DESC, #ExclNA) > xx (Buy Rule --> hint FCF is interesting!)

Rank > x (Buy Rule)

Formula weighted portfolio rebalance (I played around with the old data vendor a lot, with not much success, with the new
data vendor (which covers more stocks), very big success!

Dynamic universe (through buy and sell rules based on volumne of the stocks)

Multi Factor Ranking (As stated before, thanks Yuval for the heads up!!!) --> value, momentum (earnings, price), quality, industry momentum (price)

Very interesting is, that the above works pretty well with ports from 10-20 Stocks (the higher the more cash the port will carry bc
of the buy rule Rank > x).

But the above also works with very old ranking systems like from Olikea.

I digged in deep fundamentally on what stocks my new modells pick, and the quality is much better then before (subjective I know!).

LCUT
ESCA(HB)
PDEX(HB)
GNSS
IVAC
LAWS(HB)
LYTS
LMB(HB)
MGIC(HB)
SUMR(HB)

Let us know with what features you had success lately.

Best Regards

Andreas

Oct 30, 2020 2:52:11 AM       
abwillingham
Re: some luck with "new" stuff... (share some experiance)

I've read a lot of older posts that mention the "dynamic universe" and I assume its a custom universe that changes throughout a backtest.
But how do you set one up?

Oct 30, 2020 8:46:14 PM       
SpacemanJones
Re: some luck with "new" stuff... (share some experiance)

Hi Andreas, I don't know if this will work going forward, but I've stopped buying biopharma. I'd noticed some bad blowups in some of those stocks, and I think it's because my models like fcf, but biopharma that looks attractive with alot of fcf might often be milking a cash cow and might be approaching the end of patent protection.

Oct 31, 2020 1:11:29 AM       
judgetrade
Re: some luck with "new" stuff... (share some experiance)

"dynamic" universe in terms of two volumne buy rules and one volumne sell rulle

e.g. you take for exampmple the volume of the last 50 days and set buy rules (above 100k below 500k) in the sell rule for example belwo 1000k

I am agnostic to industries (besides financials, them I exclude and I exclude stocks from china). Also FCF needs to be generated from the
profit loss statement (and then feed the balance sheet), e.g. if there is no money the company makes, there is no free cash flow (exceptions are
selling assets that move from the balance sheet to profit loss, but that itself can be a signal for restructuring which can (combined with
other factors) be a positive.

Have not checked, but I think my main models do not pick biotech stocks.

Got another strategy I am working on which is mostly discreationary in the nano cap space, that captures stock promotions, the screen
of p123 scans for stocks that are prone for promotions (mostly junk) and those stocks run (about 60-120 times a year depending on the screen that results in a port)
over a 100% in one day (and you have to sell then intraday). But I am still reasearching, have to do the backtest by hand and will take a year. (there will be another tread on this) Had some converstations with traders that take the other side of the trade after the spike shorting those promotion runner
stocks (wich is an even better strat, but not possible if you can not lend those stocks, you need to be in a prop shop for this that provides
those stocks to be lended)...
The underlying portfolio itself even has an upward trift (about 10% ann.), so its you treat those stocks like option (that might run) and they
itself have generally an upwarad thrift (with high vola though).
The strat itself needs screen time (stocks run mostly after or before trading hours and you have to sell fast when the run occours, bc.
after the run they decay usually fast (thats how the short seller make money on the other side)... The strat itself has it seasons, e.g.
the big money is made in 6-12 weeks of a year. Will keep you posted...


If I got more results, will share here...

Best Regards

Andreas

P.S. Any stuff to share with the new Data and new functions you all have been successfull lately?

Oct 31, 2020 4:47:50 AM       
Edit 1 times, last edit by judgetrade at Oct 31, 2020 4:54:31 AM
geov
Re: some luck with "new" stuff... (share some experiance)

I don't know if this will work going forward, but I've stopped buying biopharma. I'd noticed some bad blowups in some of those stocks, and I think it's because my models like fcf, but biopharma that looks attractive with alot of fcf might often be milking a cash cow and might be approaching the end of patent protection.

My healthcare strategy only buys biopharma if yield is high:
RBICS(BIOPHARMA)&Yield>ema(3,0,getseries("S&P500Yield"))+2.0

Oct 31, 2020 8:22:58 AM       
abwillingham
Re: some luck with "new" stuff... (share some experiance)

How are you calculating S&P500Yield?

Oct 31, 2020 1:04:31 PM