SP500 10 Value Stocks.

SP500 10 Value Stocks screen with market timing; go to cash if EPS trend down.


SP500 10 Value Stocks - No market timing


Current holdings screen.

The above simulation used

  1. Variable slippage and
  2. Monday’s closing price for transaction.
  3. Avg Holding period 4 months 6 months

Any comments from experts on current holdings (value and quality) are appreciated.


Nothing much you can say about that mate. It’s more useful if you present your underlying ideas for discussion, not just the results, which are meaningless without context.

The list of holdings looks credible.

Aside from that, as you know, I don’t really discuss super sims. If you want me to look at the trading system and give you private e-mail feedback, i can do that. Let me know.

Kumar,
I say submit it. Listen to any constructive criticism and make any changes based on valid criticism then submit it. Or just submit it. You have worked on this a long time already.

Is it using only value fundamentals?

It is a private ranking based on value and focuses sp500 universe, developed over a period of time.

I am working on robustness testing, will take few more days.
I will get validate by submitting this sim to Mgerstein.

Thanks
Kumar


Interesting. Seems like a lot of the current picks are mean reversion candidates: companies with good earnings where the price has fallen behind EPS growth. I would convert it to SA and let the algo do the rest :slight_smile:

Thanks
Kumar

After the revision, with help of Mgerstein.

No market timing;
Holding 10 stocks all the time.

variable transaction and Monday’s closing price applied.
Avg holding period: 3 months.

Thanks
Kumar


Very impressive. What’s the secret sauce?

This post is to inspire p123 users; we can design profitable trading/investment system using sp500 universe at p123.
The sim return is 26%. my expectation is 12% to 15% avg return per annum over next 5 years.

Thanks
Kumar

Just to chime in . . .

I would not forecast anything for future expected return because I never believe in doing that. If the market falls 15% and this strategy produces an 8% decline, I would consider it to be very successful. That said . . .

Yes I did review the model and provide feedback, and the results in the sim now presented indicate that the feedback was accepted and incorporated. And yes, this should inspire those on p123 exactly as Kumar says. You do not have to aim at penny stocks. You do not have to limit to curve-fitting-friendly with 5-stock weekly models. (Kumar’s is weekly but it doesn’t turn over the portfolio weekly; it just looks for stocks that need to be sold, but his turnover figures indicate he often finds few if any – the model does not trade excessively. So that’s fine.)

And most important, you don’t need to have gone to school to study finance; Kumar list computer scientists in his profile. Yet the inputs to the model are theoretically valid and he has brought in something from his own skill set that I don’t use and which would never have occurred to me.

just curious - what is stdev?

-Debbie

Risk measurement page.

Thanks
Kumar


Why is it that the timing model has less turnover than the one without timing?

Any ideas? Also, are planning to open a smart alpha model

My rank and simulation got reviewed for validity.
This is the first step in positive direction.

I will invest myself in my model first;

Thanks
Kumar


Market time applied.

I have used price based market timing
i.e., SMA(50) < SMA(200) of SPY series.

Thanks
Kumar


The same simulation without market timing.

I did not believe
when Mgerstein told market timing won’t make any difference for investor
(Investor=invest always without looking for momentum or technicals).

Now, the sim without market timing performed same as with market timing.

Thanks
Kumar