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Author: Zeelotes Big red star, 1000 posts Feste Award Nominee! Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 253151  
Subject: A Pain Metric Date: 3/13/2007 1:27 AM
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Introduction

In all my posts of the last few years I always include a metric which I call Troughs. This metric counts the number of times that the daily running balance falls x% after rising the same x%. For those who have a hard time with multiple drops in their portfolio this is an excellent metric for determining the degree of pain a strategy would have put you through. In the table that follows I have it set to a pain threshold of 5%. So every time the screen rises by 5% or more and then drops 5% it adds a new trough. What is most interesting about this metric is that it is much more predictive of future market return than either GSD (and this one by a huge margin) and also the Ulcer Index.

So if you want to find screens that will produce less pain this may be another indicator that you can add to your investor's toolbox. For the period that follows I'm using 1/1/2003 to 12/31/2006 using screens employing ranks 1-4. In other words, these are screens with higher volatility due to the limited number of stocks held.

In many ways this metric is similar to the Ulcer Index, but it only has a 68% correlation with it. It does have an 80% correlation with GSD, which is interesting since GSD does such a horrible job of picking high return screens going forward. In the table that follows if you sort by Troughs and choose the top five and ten screens these are the returns (CAGR) compared to sorting by GSD.
          Troughs    GSD
Top Five
24.91% 18.42%
Top Ten 25.50% 19.10%

So although they are highly correlated metrics, they are not equal as it relates to their ability to predict future performance -- of course, this is not what my little table is showing, but take my word for it, the one is far superior to the other for this purpose.
  Use Symbol List       ROI       CAGR    GSD   Sharpe  Ulcer Index  GSD Ratio  Troughs  Sortino  UP Ratio  Turnover  Win  Drawdown
SAFETY_BOUNCE_RSW 120.86% 21.97% 17.58 1.09 3.38% 2.07 4 2.41 0.67 57.78% 61% -10.10%
SAFETY_BOUNCE 100.82% 19.10% 17.8 0.93 4.32% 2.03 6 2.01 0.66 85.00% 62% -13.87%
OptiMan 179.78% 29.42% 27.76 0.91 4.44% 3.26 6 3.11 0.7 32.69% 62% -13.31%
VALUERATIO_FST 202.44% 31.97% 19.46 1.48 7.25% 1.11 9 2.26 0.66 39.67% 65% -21.26%
YIELD4 121.84% 22.11% 15.29 1.29 5.09% 1.03 9 1.9 0.61 34.78% 64% -16.61%
HIYIELD 129.40% 23.14% 15.12 1.35 4.35% 1.12 9 2.06 0.64 16.30% 64% -16.71%
ValueRatio 202.44% 31.97% 19.46 1.48 7.25% 1.11 9 2.26 0.66 39.67% 65% -21.26%
HI_DIV 147.13% 25.46% 15.83 1.42 5.63% 1.09 9 2.16 0.62 22.83% 66% -19.40%
YldDiv 41.86% 9.16% 15.26 0.51 7.18% 0.85 10 0.7 0.53 19.02% 60% -21.46%
YLDEARNYEAR2 290.68% 40.72% 22.4 1.66 8.51% 1.02 10 2.46 0.63 40.22% 67% -27.15%
LPE_YLD 58.40% 12.22% 15.42 0.69 6.06% 1.02 10 1 0.58 31.52% 60% -15.73%
CDPD 118.97% 21.71% 17.74 1.12 5.16% 1 11 1.63 0.6 15.22% 63% -20.38%
YLDYEAR 104.85% 19.69% 17.05 1.04 7.88% 0.91 11 1.46 0.57 40.22% 62% -25.90%
YLDEARNYEAR 267.45% 38.58% 20.38 1.69 6.75% 1.16 11 2.63 0.68 42.39% 65% -22.21%
SAFETY_HICCUP 251.71% 37.06% 41.97 0.97 6.79% 1.1 11 1.65 0.41 98.37% 69% -25.78%
HIGHCASHFLOW 83.48% 16.43% 16.2 0.91 4.99% 1.03 11 1.33 0.61 6.52% 61% -14.67%
Shrinkage 201.53% 31.87% 19.7 1.47 5.46% 1.12 12 2.26 0.64 21.63% 64% -16.16%
Value_at_the_Top 277.03% 39.47% 21.97 1.62 11.66% 1.32 12 2.69 0.67 61.54% 64% -27.07%
3pt_Relative_Value 706.89% 68.78% 24.3 2.38 4.53% 1.42 14 4.16 0.75 95.10% 65% -14.91%
Incoming_Cash 456.00% 53.74% 26.75 1.81 6.20% 1.25 14 2.94 0.69 65.87% 61% -19.31%
PLOW26WK 110.64% 20.53% 24.1 0.82 9.71% 1.52 15 1.47 0.61 37.50% 59% -22.42%
High_Relative_Value 366.31% 47.10% 22.9 1.83 4.97% 1.29 15 3.03 0.68 95.19% 64% -21.68%
Steady_Growth 96.78% 18.49% 20.52 0.86 5.54% 1.12 15 1.3 0.62 33.17% 57% -17.51%
PL_LD_NRS 62.70% 12.98% 20.92 0.6 7.61% 0.99 16 0.86 0.58 36.96% 61% -21.21%
H52EgPS 326.02% 43.81% 24.45 1.65 7.09% 1.03 16 2.47 0.65 73.91% 70% -18.34%
ARS 519.20% 57.94% 29.04 1.76 6.56% 1.39 16 3.08 0.67 64.90% 61% -27.43%
ZLTD 68.93% 14.05% 22.06 0.62 10.40% 0.95 17 0.88 0.57 37.50% 57% -22.12%
Bob 551.42% 59.96% 24.38 2.14 4.97% 1.21 17 3.43 0.72 62.02% 64% -16.28%
PLOWRSW 126.07% 22.69% 25.8 0.86 9.07% 1.39 18 1.48 0.6 32.61% 61% -28.27%
BenchFCF 82.23% 16.23% 27.53 0.61 10.23% 1.25 19 1 0.57 7.61% 57% -24.77%
PLOWLD_NRS 42.70% 9.32% 21.41 0.41 8.76% 1.01 19 0.6 0.59 71.74% 55% -25.65%
ZLTDA 104.23% 19.60% 23.2 0.83 9.25% 1.01 19 1.22 0.59 40.76% 59% -23.50%
HI_INC_CSH 181.82% 29.66% 22.27 1.25 6.24% 1.15 19 1.93 0.65 29.35% 63% -17.70%
GS_Mungo 734.62% 70.22% 35.82 1.62 5.24% 2.13 19 3.89 0.73 97.60% 64% -16.66%
GS_Mungo_Voom 592.53% 62.44% 35.43 1.48 5.67% 2.09 19 3.53 0.7 97.60% 63% -20.79%
H52EarnPS 322.87% 43.54% 25.84 1.57 8.58% 1.11 20 2.41 0.66 45.65% 62% -26.02%
Commodity 625.93% 64.37% 24.26 2.24 5.96% 1.15 20 3.54 0.69 53.37% 65% -20.46%
Fried_500 141.95% 24.79% 21.42 1.1 6.59% 1.09 20 1.65 0.62 16.35% 64% -20.43%
PEG-Minimalist 323.58% 43.60% 27.78 1.49 7.33% 1.1 21 2.27 0.65 72.83% 59% -24.89%
SPARK 88.00% 17.15% 25.07 0.7 8.51% 1.06 21 1.04 0.6 54.35% 54% -23.35%
KEYSTONE 81.07% 16.05% 25.34 0.64 9.15% 0.99 21 0.92 0.58 45.11% 61% -24.94%
LLTD 108.41% 20.21% 23.17 0.86 8.85% 1 21 1.25 0.59 39.67% 61% -21.21%
SPARKRSW 100.93% 19.12% 24.99 0.78 8.64% 1.05 22 1.15 0.61 48.37% 57% -25.93%
PEBsize 103.13% 19.44% 26.2 0.77 10.71% 1.07 22 1.15 0.59 43.92% 53% -26.90%
CAPLOWEG 130.80% 23.33% 26.31 0.89 8.86% 1.08 22 1.33 0.62 76.09% 56% -23.99%
AssRS13 168.94% 28.15% 28.21 1 9.07% 0.96 22 1.44 0.58 51.63% 61% -22.56%
Eastwood 528.35% 58.53% 24.54 2.07 6.21% 1.18 22 3.29 0.67 75.48% 68% -18.20%
Up5X3 865.12% 76.53% 29.01 2.22 7.65% 1.23 22 3.6 0.72 98.56% 67% -22.73%
KEYEPS 152.57% 26.15% 25.41 1.01 6.56% 1.03 23 1.49 0.62 35.87% 63% -19.58%
HBSP 207.79% 32.56% 25.02 1.24 6.87% 1.14 23 1.91 0.63 21.74% 63% -19.73%
KEY100 192.19% 30.84% 29.64 1.06 13.37% 0.98 24 1.55 0.61 48.37% 54% -32.49%
PLOWBVS 125.23% 22.57% 27.67 0.84 9.09% 1.08 24 1.26 0.61 82.61% 61% -22.86%
LOWPE_ZLTD 73.87% 14.87% 27.57 0.58 13.65% 1.04 24 0.86 0.58 50.54% 61% -31.09%
FCF-26 77.65% 15.49% 26.43 0.62 16.34% 1.05 24 0.91 0.59 57.69% 57% -32.26%
S&P_Peg 264.47% 38.29% 26.51 1.38 8.22% 1.08 24 2.08 0.65 41.35% 61% -23.44%
BLITZ 54.16% 11.46% 27.31 0.44 10.75% 1 25 0.64 0.56 43.48% 60% -30.99%
LPSB 110.82% 20.56% 28.3 0.75 9.89% 1.07 25 1.13 0.58 20.65% 63% -33.47%
PLOWBKLD 161.21% 27.21% 31.31 0.92 13.92% 0.99 25 1.34 0.59 40.22% 61% -34.13%
EGPR_PE 136.99% 24.15% 30.74 0.84 10.60% 1.17 25 1.3 0.61 88.59% 52% -29.14%
LOWPE_ZLTDA 107.29% 20.05% 28.17 0.76 12.01% 1.06 25 1.12 0.6 48.91% 61% -29.02%
PIH_CSO_simple 286.46% 40.34% 25.42 1.49 7.66% 1.07 25 2.25 0.65 31.52% 61% -24.05%
PIH_MCP 286.46% 40.34% 25.42 1.49 7.66% 1.07 25 2.25 0.65 31.52% 61% -24.05%
LPSAD 97.25% 18.57% 25.24 0.74 9.85% 1.11 25 1.12 0.59 10.87% 55% -24.96%
P/S_I_Love_You 440.65% 52.66% 29.87 1.63 7.69% 1.07 25 2.48 0.64 63.46% 61% -21.22%
LOWPB 70.25% 14.27% 27.38 0.55 12.41% 1.11 26 0.83 0.57 21.20% 59% -38.18%
PIH_CSO_safe 271.58% 38.96% 26.49 1.39 7.12% 1.1 26 2.12 0.65 28.80% 61% -20.42%
BI 2150.66% 118.28% 33.4 2.75 5.94% 1.24 26 4.55 0.75 89.71% 74% -22.34%
Tvalue 380.68% 48.23% 32.94 1.43 10.36% 1.03 27 2.14 0.65 52.72% 60% -31.17%
Small_Value 315.00% 42.87% 31.54 1.35 10.49% 1.04 27 2.02 0.63 46.15% 56% -30.80%
UG 28.74% 6.54% 35.58 0.27 21.28% 1.14 28 0.42 0.56 36.41% 55% -40.14%
ERS13 34.00% 7.61% 35.49 0.3 20.71% 0.92 28 0.43 0.54 73.37% 51% -43.26%
PLOW_PE2MOD 195.34% 31.19% 38.78 0.91 17.30% 1.07 28 1.37 0.59 62.03% 53% -47.42%
RS4WK 81.18% 16.07% 32.34 0.57 16.14% 0.98 28 0.82 0.59 94.02% 52% -35.24%
GAR_EG5 231.61% 35.06% 30.33 1.16 8.19% 1.09 28 1.76 0.64 76.63% 60% -25.86%
EG5_PEG 124.13% 22.42% 30.48 0.79 10.45% 1.1 28 1.19 0.62 89.67% 54% -23.69%
R13_EG2 224.15% 34.29% 31.35 1.11 10.54% 1.2 28 1.76 0.64 88.04% 56% -27.54%
PLOWPBV 87.68% 17.10% 28.47 0.64 10.88% 1.04 28 0.95 0.59 83.15% 57% -27.34%
RS-100 1497.18% 100.29% 35.11 2.34 7.34% 1.23 28 3.82 0.72 89.42% 70% -24.76%
GSX2 3078.38% 138.00% 36.74 2.82 8.92% 1.25 28 4.69 0.76 77.88% 68% -27.84%
GSX 1539.33% 101.60% 34.51 2.43 6.41% 1.11 28 3.81 0.72 85.37% 70% -21.67%
TREPPE_E 90.34% 17.51% 30.65 0.64 10.98% 0.95 29 0.91 0.58 79.35% 58% -30.16%
EG5PE 101.47% 19.20% 28.63 0.72 8.85% 1.1 29 1.08 0.61 88.04% 54% -21.96%
R13_EG_E 68.57% 13.99% 30.21 0.53 12.36% 0.95 29 0.75 0.57 86.41% 56% -36.19%
EGPLOW_PE_E 115.99% 21.29% 30.14 0.76 10.09% 1.04 29 1.13 0.6 79.89% 57% -28.53%
Silver_Parachute 575.36% 61.42% 32.49 1.75 8.17% 0.92 29 2.53 0.61 44.71% 64% -20.35%
POI 918.99% 78.95% 38.11 1.85 8.19% 1.24 29 3.03 0.68 64.42% 63% -22.95%
FORM90 33.18% 7.45% 33.66 0.31 14.48% 0.93 30 0.43 0.56 46.74% 52% -43.47%
TPEG13 155.73% 26.54% 34.08 0.86 14.91% 0.95 30 1.24 0.58 73.37% 59% -30.66%
SLS_RS13 131.60% 23.43% 30.2 0.83 10.37% 0.99 30 1.2 0.59 64.13% 59% -27.57%
FOG_MI 108.19% 20.18% 36.45 0.68 13.61% 1 30 0.98 0.59 67.93% 57% -31.37%
RSCAP 65.94% 13.54% 35.59 0.48 15.91% 0.9 30 0.68 0.56 44.57% 55% -41.29%
EGPLOW_PE 106.38% 19.92% 30.73 0.71 10.65% 1.04 30 1.05 0.6 82.07% 56% -30.20%
AssRS26 61.57% 12.78% 30.63 0.47 13.97% 0.93 30 0.66 0.56 50.54% 57% -33.55%
Turnarounds 352.29% 45.98% 35.08 1.31 14.02% 1.18 30 2.06 0.65 90.87% 57% -33.03%
GAR4 48.35% 10.39% 34.35 0.38 13.60% 0.89 31 0.53 0.54 95.65% 54% -28.63%
CANSLIM-26 62.15% 12.88% 32.66 0.49 15.31% 0.88 31 0.67 0.54 65.38% 58% -41.80%
Quality_Earnings 898.03% 78.02% 36.14 1.96 7.88% 1.19 31 3.13 0.7 58.65% 60% -20.76%
SLS_RS26 97.90% 18.66% 32.37 0.64 11.52% 0.95 32 0.92 0.58 46.20% 59% -30.04%
EGRSW 155.09% 26.46% 36.38 0.84 13.06% 1.01 32 1.22 0.6 52.72% 55% -30.47%
REV 86.88% 16.97% 34.1 0.59 13.76% 1.06 32 0.87 0.59 83.70% 54% -37.92%
TREPPE 13.85% 3.30% 33.52 0.16 19.58% 0.88 32 0.23 0.55 79.89% 52% -46.27%
PLOWEG5_RS631 228.53% 34.74% 32.72 1.1 9.19% 1.19 32 1.72 0.64 76.63% 59% -29.50%
PLOW_PE 114.03% 21.02% 30.9 0.74 10.72% 1.03 32 1.09 0.6 78.26% 56% -25.47%
PIH_Naked 261.08% 37.97% 35.59 1.13 10.69% 1.09 32 1.73 0.62 97.12% 62% -28.78%
UG90 51.48% 10.97% 37.19 0.39 17.11% 1.1 33 0.59 0.56 46.20% 51% -41.81%
RS1WK 190.32% 30.63% 33.42 0.97 9.94% 1.09 33 1.47 0.62 95.65% 60% -29.17%
PST_5/10 207.65% 32.54% 33.4 1.02 12.43% 1.05 33 1.52 0.63 53.26% 58% -33.86%
PLOW_PE2 247.36% 36.64% 37.02 1.06 11.42% 1.08 33 1.6 0.62 67.39% 59% -31.14%
Value_EG 175.48% 28.92% 35.38 0.9 14.75% 0.99 33 1.31 0.6 64.13% 58% -35.80%
CAPRS 161.57% 27.26% 36.65 0.85 11.87% 0.97 33 1.23 0.59 40.22% 57% -30.38%
R13_EG 50.46% 10.78% 32.54 0.41 16.03% 0.99 33 0.59 0.57 85.87% 54% -34.21%
RSEG-rgonsal 70.28% 14.28% 33.95 0.51 15.89% 1.05 33 0.75 0.59 88.04% 53% -35.04%
HIGH_CASH 55.02% 11.62% 37.48 0.43 12.45% 0.99 33 0.62 0.57 39.67% 53% -33.40%
Overlap_4/13 -6.79% -1.75% 36.31 0.01 31.34% 0.93 34 0.01 0.54 89.13% 47% -51.35%
BETA 94.43% 18.14% 36.04 0.62 26.37% 0.92 34 0.87 0.57 25.00% 57% -45.15%
ERS26 109.27% 20.34% 35.71 0.67 13.95% 0.98 34 0.96 0.59 59.24% 52% -39.19%
EG5_AT 181.65% 29.64% 33.74 0.95 8.36% 0.96 34 1.37 0.6 58.70% 60% -21.45%
PEGFF 128.51% 23.02% 34.19 0.76 13.28% 1.01 34 1.11 0.59 54.35% 56% -29.62%
EG 233.47% 35.25% 36.47 1.06 17.79% 0.99 34 1.55 0.61 55.98% 57% -43.74%
LOWPE 274.17% 39.21% 37.69 1.12 12.26% 1.02 34 1.65 0.63 46.20% 60% -38.14%
REP 6.25% 1.53% 32.87 0.1 20.94% 0.91 34 0.14 0.54 79.89% 54% -46.03%
PIH4 225.61% 34.44% 34.15 1.06 8.88% 1 34 1.55 0.61 96.74% 57% -23.92%
IN_RS26 84.78% 16.64% 36.61 0.58 14.97% 0.97 34 0.84 0.58 61.41% 54% -31.74%
PEG-NT 82.44% 16.27% 34.86 0.57 18.29% 0.91 35 0.8 0.55 69.57% 55% -41.53%
RSPEG1 95.38% 18.28% 35.4 0.62 14.49% 0.98 35 0.9 0.58 66.85% 56% -32.36%
RSWEPS 290.36% 40.69% 34.59 1.22 11.46% 1.04 35 1.82 0.62 53.01% 60% -38.63%
TA_A 87.20% 17.02% 37.6 0.57 15.54% 0.98 35 0.82 0.58 95.11% 53% -29.50%
Microcap_Momentum 214.21% 33.24% 46.78 0.83 18.07% 1.17 35 1.29 0.61 88.00% 53% -39.07%
Net-Nets_Grahamified 1337.28% 95.07% 87.91 1.02 17.34% 2.96 35 3.47 0.73 50.00% 59% -37.00%
Up_5% 678.90% 67.29% 42.5 1.56 14.60% 1.13 35 2.46 0.65 89.90% 60% -39.25%
Screamers 203.95% 32.14% 35.77 0.97 10.44% 0.99 36 1.42 0.6 97.28% 56% -25.17%
OVER_RS 16.83% 3.98% 39.77 0.2 23.64% 0.86 36 0.28 0.54 61.41% 52% -46.72%
LowPEsafe_Ext 365.95% 47.08% 40.54 1.21 9.65% 1.16 36 1.9 0.63 51.63% 61% -26.34%
RS13WK 99.64% 18.92% 38.49 0.61 18.92% 0.92 36 0.86 0.57 67.93% 54% -39.09%
RS52WK 87.22% 17.02% 40.29 0.57 14.93% 0.94 36 0.81 0.58 43.48% 53% -38.28%
RSEP 135.87% 24.00% 36.75 0.76 13.10% 1.03 37 1.12 0.59 68.16% 56% -33.43%
PEGRSW 78.20% 15.58% 38 0.54 16.01% 0.94 37 0.76 0.56 51.63% 53% -36.73%
TTI 211.42% 32.95% 35.51 1 14.71% 0.94 37 1.44 0.58 82.07% 61% -37.64%
Gentle_Screamers 889.56% 77.64% 41.53 1.74 13.76% 1.28 37 2.86 0.7 91.83% 58% -30.88%
PEG 190.21% 30.62% 37.33 0.93 12.63% 1 38 1.36 0.6 67.39% 56% -28.35%
PEG13 148.13% 25.59% 35.9 0.82 15.17% 0.95 38 1.17 0.58 67.39% 54% -37.51%
RS2020 126.24% 22.71% 38.47 0.71 15.54% 0.97 39 1.03 0.58 96.20% 53% -35.59%
RSPEG2 238.58% 35.76% 36.98 1.05 10.92% 1.04 39 1.57 0.61 76.09% 54% -26.55%
POG 465.61% 54.40% 43.17 1.32 10.38% 0.99 39 1.95 0.62 61.54% 54% -26.97%
Melange 495.12% 56.38% 45.34 1.29 17.70% 1.25 39 2.1 0.64 62.50% 54% -44.36%
RSIBD 26.56% 6.08% 40.02 0.27 17.73% 0.87 40 0.37 0.55 50.00% 51% -39.43%
LowPEsafe 193.68% 31.01% 38.33 0.91 12.89% 0.96 40 1.31 0.6 51.09% 60% -37.32%
HIPRICE 43.14% 9.41% 38.12 0.35 17.86% 0.86 40 0.49 0.54 67.93% 51% -39.43%
RS4WKT12 196.78% 31.35% 37.9 0.93 11.59% 1.01 41 1.36 0.6 96.20% 53% -32.80%
GARPEG 361.16% 46.70% 38.73 1.25 14.20% 1.07 41 1.88 0.63 61.96% 56% -38.15%
OVER_PEG 12.86% 3.08% 43.49 0.2 42.89% 0.87 42 0.28 0.52 60.76% 54% -66.09%
RS52WKT12 144.30% 25.10% 43.58 0.74 15.20% 0.95 42 1.06 0.6 47.83% 53% -33.84%
RS26WK 91.23% 17.65% 39.73 0.58 15.46% 0.93 42 0.82 0.58 55.43% 52% -41.01%
78RPM 256.14% 37.49% 43.62 0.98 14.47% 0.99 42 1.44 0.6 68.75% 59% -31.13%
RSPEGOL 42.03% 9.20% 45.48 0.36 28.22% 0.89 43 0.5 0.54 75.51% 55% -48.95%
RS26WKT12 114.56% 21.09% 45.21 0.63 24.06% 0.95 43 0.9 0.58 55.98% 52% -44.51%
RSW 76.50% 15.31% 40.48 0.52 16.09% 0.94 43 0.74 0.58 46.74% 51% -36.77%
OPTION_A 145.94% 25.31% 43.23 0.73 16.40% 1.06 43 1.09 0.59 71.74% 56% -36.41%
TK2_R52 91.24% 17.65% 43.39 0.55 21.21% 1.01 45 0.81 0.59 79.35% 56% -41.00%
RS13WKT12 133.86% 23.74% 43.57 0.69 14.96% 1.05 46 1.03 0.59 70.11% 53% -34.50%
TK1_R52 68.09% 13.91% 42.66 0.47 21.80% 1.03 47 0.68 0.59 79.89% 55% -45.36%
LowPS+ 1858.42% 110.80% 50.43 1.95 12.89% 1.12 48 3.06 0.68 95.67% 61% -37.64%

Correlation Matrix for the Above Table

Here is a correlation matrix for the table above:
             ROI   CAGR  GSD   Sharpe  Ulcer Index  GSD Ratio  Troughs  Sortino  UP Ratio  Turnover  Win   Drawdown
ROI 100% 93% 25% 76% -24% 29% 2% 78% 70% 26% 52% 18%
CAGR 100% 22% 89% -37% 36% -3% 91% 81% 26% 60% 30%
GSD 100% -16% 60% 11% 80% -7% -8% 39% -40% -64%
Sharpe 100% -59% 28% -32% 96% 86% 11% 77% 54%
Ulcer Index 100% -31% 68% -58% -53% 18% -66% -92%
GSD Ratio 100% -34% 53% 55% 4% 29% 35%
Troughs 100% -36% -28% 38% -59% -73%
Sortino 100% 91% 13% 75% 54%
UP Ratio 100% 12% 59% 52%
Turnover 100% -13% -19%
Win 100% 64%
Drawdown 100%

Index Troughs as a Comparison

Finally, here are some indexes to compare to the results above over the same time period. Keep in mind, however, that these indexes hold multiple securities, while each of the screens above only hold four. So if a screen can have a lower trough number than these indexes it is doing very well indeed.
Results    ROI     CAGR    GSD   Sharpe  Ulcer Index  GSD Ratio  Troughs  Sortino  UP Ratio  Stock  Drawdown
^RUA 62.74% 12.98% 13.4 0.8 3.57% 1.06 7 1.18 0.6 100% -13.69%
^DJI 44.79% 9.72% 12.86 0.59 4.13% 1.06 8 0.86 0.58 100% -14.91%
^RUI 59.98% 12.50% 13.06 0.79 3.45% 1.06 8 1.16 0.59 100% -13.74%
^GSPC 56.02% 11.80% 13.13 0.73 3.44% 1.06 8 1.08 0.59 100% -14.05%
^MID 82.17% 16.23% 15.06 0.94 4.58% 1.04 9 1.37 0.62 100% -13.76%
^SML 98.25% 18.71% 17.76 0.95 4.93% 1.03 11 1.4 0.62 100% -14.55%
^RUT 100.64% 19.07% 19.2 0.92 5.57% 1.02 12 1.34 0.62 100% -14.72%
^NDX 70.93% 14.38% 20.7 0.65 6.52% 1.07 13 0.97 0.59 100% -17.42%

The Odd Screens in the Bunch.

Here are the screens with a GSD > 20, but a Trough # < 15:
  Use Symbol List     ROI     CAGR    GSD   Sharpe  Ulcer Index  GSD Ratio  Troughs  Sortino  UP Ratio  Turnover  Win  Drawdown
OptiMan 179.78% 29.42% 27.76 0.91 4.44% 3.26 6 3.11 0.7 32.69% 62% -13.31%
YLDEARNYEAR2 290.68% 40.72% 22.4 1.66 8.51% 1.02 10 2.46 0.63 40.22% 67% -27.15%
YLDEARNYEAR 267.45% 38.58% 20.38 1.69 6.75% 1.16 11 2.63 0.68 42.39% 65% -22.21%
SAFETY_HICCUP 251.71% 37.06% 41.97 0.97 6.79% 1.1 11 1.65 0.41 98.37% 69% -25.78%
Value_at_the_Top 277.03% 39.47% 21.97 1.62 11.66% 1.32 12 2.69 0.67 61.54% 64% -27.07%
3pt_Relative_Value 706.89% 68.78% 24.3 2.38 4.53% 1.42 14 4.16 0.75 95.10% 65% -14.91%
Incoming_Cash 456.00% 53.74% 26.75 1.81 6.20% 1.25 14 2.94 0.69 65.87% 61% -19.31%

These are screens with acceptable volatility -- GSD says it is high, but the Trough # says it is nothing to worry about.

If you want to keep your pain threshold to a low level, it may be a good idea to invest in screens with a Trough # below 15. Or develop a blend where the Trough # is below 15 even though the individual screens may have values above that.

Just a thought and something I consider in developing my own screen blends.
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Author: Keelix Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 197779 of 253151
Subject: Re: A Pain Metric Date: 3/13/2007 4:23 AM
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These are screens with acceptable volatility -- GSD says it is high, but the Trough # says it is nothing to worry about.

If you want to keep your pain threshold to a low level, it may be a good idea to invest in screens with a Trough # below 15. Or develop a blend where the Trough # is below 15 even though the individual screens may have values above that.


Any chance you could put downside deviation and upside potential, part of what is used in the upside potential ratio, into your correlation table? If GSD is high, but your through count says it's ok, maybe the parts of the UPR calculation correlate "stronger".

If so, that would be interesting since so far we haven't found that UP and/or DD itself isn't very predictable.

Anyway, great work. Maybe it would be possible to normalize the number, based on the number of cycles or whatever. We could name it the "Zeethrough" measure (ZT). :-)

Keelix


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Author: Zeelotes Big red star, 1000 posts Feste Award Nominee! Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 197780 of 253151
Subject: Re: A Pain Metric Date: 3/13/2007 7:22 AM
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Keelix wrote:
Any chance you could put downside deviation and upside potential, part of what is used in the upside potential ratio, into your correlation table? If GSD is high, but your through count says it's ok, maybe the parts of the UPR calculation correlate "stronger".

Here you are -- but as you can see, they do not correlate stronger than GSD.
             ROI   CAGR  GSD   Sharpe  Ulcer Index  GSD Ratio  Troughs  Sortino  DownD  UpsideP  UP Ratio  Turnover  Win   Drawdown
ROI 100% 93% 25% 76% -24% 29% 2% 78% 76% 88% 70% 26% 52% 18%
CAGR 100% 22% 89% -37% 36% -3% 91% 81% 92% 81% 26% 60% 30%
GSD 100% -16% 60% 11% 80% -7% 69% 1% -8% 39% -40% -64%
Sharpe 100% -59% 28% -32% 96% 56% 90% 86% 11% 77% 54%
Ulcer Index 100% -31% 68% -58% 14% -48% -53% 18% -66% -92%
GSD Ratio 100% -34% 53% 24% 40% 55% 4% 29% 35%
Troughs 100% -36% 44% -25% -28% 38% -59% -73%
Sortino 100% 59% 92% 91% 13% 75% 54%
DownD 100% 60% 54% 35% 15% -21%
UpsideP 100% 79% 21% 71% 45%
UP Ratio 100% 12% 59% 52%
Turnover 100% -13% -19%
Win 100% 64%
Drawdown 100%

If so, that would be interesting since so far we haven't found that UP and/or DD itself isn't very predictable.

Double negative -- but I assume you mean that these two are NOT predictive, and that is certainly true, but the combination of the two does work well, although there are better metrics.

Maybe it would be possible to normalize the number, based on the number of cycles or whatever.

I'd say just divide the number by the total years of the test as follows:
           69-06    03-06    69-06    03-06
Troughs Troughs Troughs Troughs
KEYSTONE 254 21 6.68 5.25
FOG_MI 303 30 7.97 7.51
RSCAP 316 30 8.32 7.51
RS4WK 321 28 8.45 7.00
CAPRS 323 33 8.50 8.26
KEY100 326 24 8.58 6.00
RS52WK 337 36 8.87 9.01
RS13WK 360 36 9.47 9.01
RS26WK 365 42 9.61 10.51
RSW 380 43 10.00 10.76

                    86-06    03-06    86-06    03-06
Troughs Troughs Troughs Troughs
YldDiv 44 10 2.10 2.50
SAFETY_BOUNCE_RSW 44 4 2.10 1.00
YLDYEAR 45 11 2.14 2.75
SAFETY_BOUNCE 49 6 2.33 1.50
VALUERATIO_FST 56 9 2.67 2.25
ValueRatio 56 9 2.67 2.25
YLDEARNYEAR 60 11 2.86 2.75
YLDEARNYEAR2 68 10 3.24 2.50
CDPD 77 11 3.67 2.75
YIELD4 77 9 3.67 2.25
HIYIELD 78 9 3.71 2.25
SAFETY_HICCUP 81 11 3.86 2.75
H52EarnPS 98 20 4.67 5.00
PEG-Minimalist 104 21 4.95 5.25
PEBsize 121 22 5.76 5.50
LPSB 121 25 5.76 6.25
PL_LD_NRS 122 16 5.81 4.00
LOWPB 126 26 6.00 6.50
HBSP 128 23 6.10 5.75
Tvalue 128 27 6.10 6.75
BLITZ 145 25 6.91 6.25
GAR4 150 31 7.14 7.76
PLOW26WK 152 15 7.24 3.75
SLS_RS13 156 30 7.43 7.51
BenchFCF 158 19 7.53 4.75
KEYEPS 160 23 7.62 5.75
LowPEsafe_Ext 161 36 7.67 9.01
LowPEsafe 161 40 7.67 10.01
SPARKRSW 162 22 7.72 5.50
SPARK 163 21 7.76 5.25
SLS_RS26 164 32 7.81 8.01
Value_EG 168 33 8.00 8.26
PEG-NT 169 35 8.05 8.76
EG5_AT 170 34 8.10 8.51
PEGFF 172 34 8.19 8.51
Screamers 174 36 8.29 9.01
PLOWRSW 174 18 8.29 4.50
TPEG13 177 30 8.43 7.51
LOWPE 181 34 8.62 8.51
RSPEG2 184 39 8.76 9.76
RS2020 185 39 8.81 9.76
PLOW_PE2 187 33 8.91 8.26
PEG13 188 38 8.95 9.51
PLOWBKLD 191 25 9.10 6.25
RSWEPS 193 35 9.19 8.76
RSEP 194 37 9.24 9.26
RS4WKT12 194 41 9.24 10.26
PEG 194 38 9.24 9.51
RSPEG1 197 35 9.38 8.76
RS1WK 198 33 9.43 8.26
UG 200 28 9.53 7.00
EG 200 34 9.53 8.51
PLOW_PE2MOD 200 28 9.53 7.00
PEGRSW 201 37 9.57 9.26
ERS13 202 28 9.62 7.00
EGRSW 203 32 9.67 8.01
UG90 205 33 9.76 8.26
Overlap_4/13 206 34 9.81 8.51
OVER_PEG 210 42 10.00 10.51
FORM90 211 30 10.05 7.51
OVER_RS 212 36 10.10 9.01
ERS26 215 34 10.24 8.51
PST_5/10 216 33 10.29 8.26
RS52WKT12 219 42 10.43 10.51
RS26WKT12 230 43 10.95 10.76
RSIBD 231 40 11.00 10.01
BETA 231 34 11.00 8.51
RS13WKT12 234 46 11.14 11.51
RSPEGOL 247 43 11.76 10.76

On one final note, I actually typically set this to 10% or 13% rather than 5% since I don't sweat a drawdown of those two magnitudes, but others may so they can set it to whatever value begins to impact a restful sleep.


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Author: FlyingCircus Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 197791 of 253151
Subject: Re: A Pain Metric Date: 3/13/2007 1:59 PM
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Nice indicator, Zee, thanks. Do you have/would you share the source spreadsheet or data so that community can experiment with different "trough" levels?

FC

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Author: klouche Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 197798 of 253151
Subject: Re: A Pain Metric Date: 3/13/2007 3:30 PM
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             ROI   CAGR  GSD   Sharpe  Ulcer Index  GSD Ratio  Troughs  Sortino  UP Ratio  Turnover  Win   Drawdown    ROI      100%   93%   25%     76%         -24%        29%       2%      78%       70%       26%   52%       18%    
CAGR 100% 22% 89% -37% 36% -3% 91% 81% 26% 60% 30%
GSD 100% -16% 60% 11% 80% -7% -8% 39% -40% -64%
Sharpe 100% -59% 28% -32% 96% 86% 11% 77% 54%
Ulcer Index 100% -31% 68% -58% -53% 18% -66% -92%
GSD Ratio 100% -34% 53% 55% 4% 29% 35%

Zee:

What I like from the above is that Sharpe relates to CAGR by 89% (very good), Sharpe relates to Ulcer -59% (good) and Ulcer relates to Drawdown by -92% (great). Even though drawdown is a single point in time, you have alot of screen diversity here. I think you make a case for the value of Sharpe/Ulcer if one is interested in reducing drawdown.

KL

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Author: emintz Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 197799 of 253151
Subject: Re: A Pain Metric Date: 3/13/2007 4:06 PM
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What I like from the above is that Sharpe relates to CAGR by 89% (very good), Sharpe relates to Ulcer -59% (good) and Ulcer relates to Drawdown by -92% (great). Even though drawdown is a single point in time, you have alot of screen diversity here. I think you make a case for the value of Sharpe/Ulcer if one is interested in reducing drawdown.

Remember that these are correlations over the same point in time, not correlations between past and future measures. For example, the correlation between Sharpe and CAGR reflects only that CAGR is essentially part of the formula for Sharpe, not any predictive value.

For that, we have to rely on Zee's word, or other related studies that have been posted for some of these measures.

Eric

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