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Subject:  Re: ER hedge Date:  10/4/2012  4:31 PM
Author:  rgearyiii Number:  239782 of 263246

In light of all the re-coding I've been doing lately, I can't say for certain whether I've torpedoed DrBob2's blend or his blend has torpedoed my backtester (or I've just misinterpreted something), but taking my backtester's results at face value, the blend seems pretty well sunk.

The screens don't actually require any SI Pro data, so they can be tested from when Nasdaq started reporting daily volume in early 1983.

I could have constructed a formula for Efficiency Ratio out of monthly g-prices using the functions gprc, abs and linear (and that may be a good way for a highly motivated user to check what I've done) the way DrBob2 did in RadiScript, but it was probably faster to just whip up a dedicated Efficiency Ratio function within the backtester itself. I've added the field function er, which takes three parameterizable arguments like the functions beta, xret, vol and gsd. The first is lag, the second is number of periods, and the third is the length of periods in market days.

Here is my construction of the long screen:
Create [ER]: [Efficiency Ratio of 21-day g-price changes over 10 periods; lag=1 days]
step0: [Actual closing Price; share_lag=1 days; quote_lag=1 days] > 5
step1: [[Actual Average daily Vol 63d; lag=1 days]*[Actual closing Price; share_lag=1 days; quote_lag=1 days]] > 500000
step2: [Security Type] != 30,31,36
step3: [Fama/French Industry Code] != 48
step4: [mkt Days Since Investment Opened for purchase] > 210