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Investing/Strategies / Mechanical Investing
|Subject: Re: New screen - votes needed||Date: 2/5/2013 12:53 AM|
|Author: FLARAM||Number: 241426 of 254642|
This is simply not believable
Not unbelievable that your backtest came up with it, unbelievable that you can get this kind of CAGR in real life.
Agreed that there is no way that any of us can get those kinds of results in the future from this screen.
First of all the screen falls off quickly beyond a hold 5, I feel uncomfortable unless a screen at least gives
a decent return with a hold 20 or better.
The fact that there are 24 rules tells me that this screen is over-tuned to a fair-thee-well.
I don't think it's fair to say it has 24 rules because it takes 24 steps which include deblanking ect.
Dr. Bob's "restatement in English" above puts it at around 13 rules. However I have always thought
the accepted criteria that a screen can't have a large number of rules is overemphasized. I don't mind
a lot rules if each rule is logical and by itself is profitable. Not that I would defend this paticular screen
in that fashion.
However one feature this screen I noticed is that the profit is somewhat proportional to the number of
passing stocks. Although there are less than 5 picks only about 10% or the time The average of a hold 5 screen
for months with >= 5 passing is 3.5% compared to 0.15% with less than 5 passing.
Best of all is the fact that different posters have some nice insights on the screen. I'd like to see howit holds up post discovery
3+ years from now.
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