The Motley Fool Discussion Boards

Previous Page

Investing/Strategies / Mechanical Investing

URL:  http://boards.fool.com/well-if-you-blend-the-last-4-screens-on-your-30686241.aspx

Subject:  Re: maybe done Date:  5/15/2013  8:43 PM
Author:  tpoto Number:  243080 of 254184

Well, if you blend the last 4 screens on your list 
(those available on backtest.org),
you would have brought a $25K up to $18+M

What's wrong with that?

This was based on
$25K start
$8/trade commission
.2% spread
blend of 4 screens 3 deep.

Output from Jamie's backtester:

	Screen	S&P	Screen	        S&P
	  return%	 $25,000 	 $25,000 
1989	65	35	 41,250 	 33,750 
1990	6	-5	 43,725 	 32,063 
1991	64	31	 71,709 	 42,002 
1992	50	7	 107,564 	 44,942 
1993	48	10	 159,194 	 49,436 
1994	9	2	 173,521 	 50,425 
1995	36	39	 235,989 	 70,091 
1996	36	23	 320,945 	 86,212 
1997	57	28	 503,884 	 110,351 
1998	40	35	 705,438 	 148,973 
1999	15	18	 811,253 	 175,789 
2000	49	-11	 1,208,767 	 156,452 
2001	82	-9	 2,199,957 	 142,371 
2002	30	-22	 2,859,944 	 111,050 
2003	56	28	 4,461,512 	 142,143 
2004	35	10	 6,023,042 	 156,358 
2005	39	8	 8,372,028 	 168,866 
2006	30	14	 10,883,636 	 192,508 
2007	12	6	 12,189,672 	 204,058 
2008	-22	-39	 9,507,944 	 124,476 
2009	42	33	 13,501,281 	 165,552 
2010	22	15	 16,471,563 	 190,385 
2011	-6	3	 15,483,269 	 196,097 
2012	21	14	 18,734,756 	 223,550 

8912i25000c8s.2BL(H52EarnPS)13(LOWPE_ZLTD)13(PIH_CSO_simple)13(YLDEARNYEAR)13

Notes: even if you paid a short term tax of 25% (maybe
outside of an IRA account), you'd be ahead by about $5M.
Jumping up the spread up by a factor of 5 (.2% to 1%)
would cut the return to about $7M.

If you run the first two screens (1-3) thru the 
Keelix backtester, you end up with a CAGR in the mid 30s.

Yes, 2009-2012 return seems to be a dead heat between S&P and
the screens, both doubling in value.

Copyright 1996-2014 trademark and the "Fool" logo is a trademark of The Motley Fool, Inc. Contact Us