Anybody who is beating these markets? Can you share what you are doing right?

Jrinne · April 27, 2020, 10:04am

Sticking with high school algebra and just the numbers:

29,372,339,821,610,900,000,000,000 combinations

If you select 30 nodes out of 100 there are 29,372,339,821,610,900,000,000,000 ways to do that or combinations of nodes.

If the nodes have an order like highest weight to lowest weight you would be interested in the number of permutations:

7,791,097,137,057,800,000,000,000,000,000,000,000,000,000,000,000,000,000,000 permutations.

Computer time to solve this problem using Principle Component Analysis: 500 milliseconds.

InspectorSector · April 27, 2020, 2:02pm

Somebody has been self-isolating too long

Jrinne · April 27, 2020, 2:09pm

Hi SteveA,

Do you mean me or are you saying it is taking you a while to do this with spreadsheets;-)

Best,

Jim

yuvaltaylor · April 27, 2020, 3:23pm

Two ways:

Iterative approach. Take some combination I already know works OK, tweak it, test it, repeat, repeat, repeat, repeat, repeat.

Combinatorial approach. Take a bunch of combinations I have already tested (and they work) and then randomly combine bits of them into new combinations (with variations) and test those.

I’ve been opting for the combinatorial approach lately.

It’s all about building on what you’ve already tested, not about trying something brand new.

Yuval

InspectorSector · April 27, 2020, 3:53pm

I think you have too much time on your hands! Cheers.

Jrinne · April 27, 2020, 4:11pm

SteveA,

I think Rodney has a serious point and question. Namely, that a purely iterative approach does take some time.

Judging from your designer models you could probably provide some serious suggestions for narrowing the number of factors and functions for consideration in a ranking system (if that is a method you use).

My serious suggestion was that some of this can be automated (with PCA as a provided example). I didn’t (and won’t) expand on that as I think this is probably not a method of interest to Rodney.

But I think it is a serious question that we all have to address one way or another—as Rodney points out so simply and elegantly.

Best,

Jim

InspectorSector · April 27, 2020, 9:04pm

Jim - thanks for noticing!

It comes down to choosing industries that you think will prosper, then optimize your ranking system based on the industry.

Unfortunately, Aerospace & Defense suffered from the Boeing 737 Max debacle followed by the pandemic which is a disaster for the aerospace industry. This has resulted in very poor results for that particular DM.

Cloud computing, on the other hand, is benefiting dramatically from the pandemic as there is a seismic shift to work-from-home and online retail.

Once you have chosen a particular industry then RS optimization comes into play. If you believe that intelligence wins out here then simply choose the factors you believe in and run with it. For the rest of us, RS optimization is a lengthy process if you want it to be. Or you can simply choose the P123 ranking system that gives you the best results. Usually that is GreenBlatt by the way.

In the case of cloud computing, revenue growth is the most important factor. Forget value factors and earnings.

Take care
SteveA

nzbryant · April 27, 2020, 10:13pm

Thanks Yuval, Steve and Jim.

RTNL · April 27, 2020, 11:41pm

Interesting Steve. So are you making a curated universe in this case, or are you piggy backing off some ETF holdings? (for say, the cloud model?)

kumar · April 28, 2020, 1:09am

Here, 2 of the models are positive for 2020. Being 12 months holding model; It looks good.

Thanks,
Kumar

kumar · April 28, 2020, 1:20am

for those who never had chance to see this public portfolio.
This is competition started by YuvalTaylor since 2016.

to access to these public portfolio.

this are the steps.

click this link
https://www.portfolio123.com/app/opener/PTF/search
follow the attached screen.

Thanks,
Kumar

InspectorSector · April 28, 2020, 4:47am

I use the constituents of SKYY ETF which are X-as-a-Service stocks. I periodically load the constituents into an InList which is used as the custom universe.

InmanRoshi · April 29, 2020, 7:40pm

Guessing the market is hard. Raise your hand if you predicted in late March that IWC would be up about 43% in the next 30 sessions.

WERNER · April 29, 2020, 9:11pm

Hi Steve,

can you tell us where you can find the constituents for ETFs ? I have a hard time finding them. Yahoo Finance has only 10 stocks of each ETF listed. Is there a site that has this data?
Thanks.

Werner

kumar · April 30, 2020, 1:07am

https://etfdb.com/etf/QQQ/#holdings

www.morningstar.com free membership will list top 25 holdings.
for premium member it will list all the current holdings.

As individual investor top 25 holdings are good enough. It will be accounted for more 60% allocation.

Thanks,
Kumar

InspectorSector · April 30, 2020, 4:02pm

Werner - you have to go to the ETF manufacturer web page. They have to provide the holdings by law. For example:
https://www.ftportfolios.com/Retail/Etf/EtfHoldings.aspx?Ticker=SKYY

SteveA

kumar · April 30, 2020, 4:26pm

Steve,

Thank you very much for your transparency. It looks like it is a growth etf current holdings are 64 stocks.

Please, kindly help, whether Sales growth Q/Q > 0, and Gross Margin TTM > 30% and Price2SalesTTM > 3 and Forword PE TTM > 15 are good criteria for growth stocks.

Here, screen shot from morning star is for reference
(In screen average holdings for this category fundamentals Pr2Sales>3, P/E >20 and GrossMarginTTM>40%).

==================
As i used to work with value stocks with Price2SalesTTM <= 3 Forword PE TTM <= 15; buy 52 weeks low, i find difficulty to over come this value habits.

As you following growth ETF and you are more experienced, please, guide me.

Thank you very much.
Kumar

InspectorSector · April 30, 2020, 5:14pm

I would leave P/E and P/S out of it. The four factors I use now are the 3-year composite sales growth, low operational leverage (estimate), consistency of revenue growth, and sales surprises. I won’t get more explicit than that as this is my Pixie dust.

SteveA

WERNER · April 30, 2020, 6:44pm

Steve,
thanks for the information.
I hope P123 will soon give us the ETF constituents. That would be a valuable addition.
But you have already done great work!

WErner

geov · April 30, 2020, 7:44pm

Steve and Werner,

Everybody is hiding their historic holdings data. Last time I looked, iShares had monthly data of their ETF holdings back for several years which one could download and then compile it into a stock factor file on P123.

Now all they have is Dec-31-2019, Mar-31-2020, and yesterday’s holdings. That is pretty useless for backtesting. I suppose they are selling this data now to make a few extra bucks.

Anybody who is beating these markets? Can you share what you are doing right?

for those who never had chance to see this public portfolio. This is competition started by YuvalTaylor since 2016.

================== As i used to work with value stocks with Price2SalesTTM <= 3 Forword PE TTM <= 15; buy 52 weeks low, i find difficulty to over come this value habits.

for those who never had chance to see this public portfolio.
This is competition started by YuvalTaylor since 2016.

==================
As i used to work with value stocks with Price2SalesTTM <= 3 Forword PE TTM <= 15; buy 52 weeks low, i find difficulty to over come this value habits.