Andreas, your micro work looks very nice! I’m assuming that the low drawdown of the last posted equity curve is due to the effectiveness of the market timing being used.
Anyway, excellent results can also be found in the mid/large cap world. Attached is the summary page for a live port that uses Value Line recommendations. The raw universe consists of stocks that VL has rated 1 for timeliness. I like that since it’s a curated list based on their analyst reviews.
Best,
Walter
I was able to replicate this in my Tradestation account. e.g. real time results = Modell results (almost, very little deviations all together).
The TLT Hedge is on (25%) again, since I though a hedge at that levels would be prudent and I believe interest rates will not
go up very much.
Regards
Andreas
And here the same system but on a yearly rebalance and no market timing and with an even lower liquidity (below 100.000k 20 Days)
have a look at the chart. If those micro caps give in, the market is in a bad shape,
I use this in order to see if the market is in a healthy state. A lower low on this stocks and I am out of the market…
Regarding that 101-stock simulation, how do you get such a huge negative cash balance? I’ve never seen a negative cash balance in a simulation before.
that’s impressive walter.! Is this the maximum timeframe for your silmulation.
Also, is this just VL rankings with quality ranking or there is some thing else in the secret sauce?
Margin usage results in negative cash balance
The model isn’t simulatable since I don’t have access to VL historical data, so results are strictly out-of-sample. Because of that, the model will never be available as a DM. There’s a bit of secret sauce in the buy and universe rules.
Best,
Walter
yuvaltaylor
the Andreas’s system 100-stock + 1 hedge TLT simulation uses margin to borrow cash and invest in TLT.
the borrowed cash using margin is shown as negative cash.
Thanks
Kumar
This large-cap 6-position model produces a similar return as your hedged 100-position small-cap model. Only 18 trades (12 realized) and rebalancing every 3 months.
Walter,
Can you post a screenshot of performance from Jan-2000 please.
Georg, that model is strictly out-of-sample and isn’t simulatable in P123 due to the lack of data.
Cheers!
Great results, I rather diversify, not only important to find a great system, but one that does psychological fits to you so you can stick to it…
Can you try this with the all fundamentals universe?
Regards
Andreas
I feel this year is tougher. Glad you guys have great performance. It’s hard to tell YTD by looking at chart? Andreas , do you mind sharing YTD?
gs3
Andreas, If you asking that of me, yes I could but I don’t expect anything great. Half of the secret sauce is in the Value Line analyst curated universe. But I don’t need a simulation to thank P123. The idea of running rules against an externally selected universe seems powerful. I’ve just started this setup with an universe based in Moringstar MOAT stocks. It’s only been going for a month so it’s too early to call but it’s looking OK. Check back in 11 months!
Best,
Walter
Walter, Where can I get the Value Line analyst curated universe?
Thank you
Andreas
Walter,
Was this PIT or did you make an “In List” of the present universe for backtesting?
Edit: I think you already answered this. If I understand correctly you updated the universe as you went along out-of-sample? VERY COOL!
Thank you.
-Jim
