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Subject: Re: maybe done | Date: 5/15/2013 8:43 PM | |
Author: tpoto | Number: 243080 of 270576 | |
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. |
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