No. of Recommendations: 30
Marco very kindly sent me his historical archive of Fool Advisory stock picks back to 2002, which I have used to produce two new GTR1 field files, which can be found with a "list:*.f" command, resulting in the following:
Filename Type Description Default Value Start Date End Date Last Modified
david.f 115 [Fool.com David Gardner's Picks] 0 20020308 20191031 20191210
tom.f 115 [Fool.com Tom Gardner's Picks] 0 20020308 20191031 20191210
I have forced the field files to end on 20191031 so that the stock picks are not accessible by the Screener(at least not without a special historical screening password).
Based on the quick testing I've done, the Gardner brothers are not torpedoed, and I get some results that are much better than what Marco reports with narrower selection (I had a hunch that both of these would be the case).
For example, here's a backtest of buying the top 5 Gardner picks (both brothers) by RRS252 - 0.5 * Sigma with a 20-day holding period:
Cycle: 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Avg Min Max SD 1st Trades: 20020311 20020312 20020313 20020314 20020315 20020318 20020319 20020320 20020321 20020322 20020325 20020326 20020327 20020328 20020401 20020402 20020403 20020404 20020405 20020408
CAGR: 19.61 17.86 21.39 0.92 20.77 19.21 18.78 17.86 18.07 19.64 19.97 19.52 20.63 20.62 19.87 21.39 20.21 20.21 19.04 18.94 18.57 18.76 20.47 19.61
TR: 2271.64 1712.63 2953.11 321.51 2687.64 2117.69 1980.01 1712.63 1772.53 2262.47 2380.00 2219.79 2631.55 2628.71 2345.19 2953.11 2467.14 2469.68 2062.82 2030.25 1917.70 1973.72 2569.57 2250.68
GSD(20): 29.26 28.58 29.72 0.36 29.33 29.58 29.50 29.64 29.54 29.72 29.70 29.52 29.42 29.58 29.51 29.06 28.58 28.93 28.85 28.74 28.65 29.21 29.07 29.08
DIGSD(20; 0%): 32.57 31.86 33.29 0.44 32.35 32.69 32.69 32.84 32.82 33.29 33.11 33.08 32.93 33.08 32.96 32.43 31.86 32.21 32.05 31.94 31.98 32.62 32.31 32.07
LDD(20; 0%): 17.21 16.76 17.59 0.26 16.95 17.32 17.37 17.57 17.53 17.59 17.45 17.49 17.27 17.35 17.38 16.92 16.76 16.94 17.00 16.96 17.02 17.34 16.96 16.94
LDDD3: 13.46 12.39 14.22 0.48 12.85 13.48 13.30 13.57 13.33 13.77 13.42 13.13 12.39 12.40 13.78 13.88 13.79 13.75 13.54 13.21 13.94 14.12 14.22 13.29
MDD: -55.69 -59.69 -52.24 1.78 -54.46 -56.28 -55.41 -55.05 -53.89 -58.90 -56.84 -56.77 -54.68 -53.51 -56.71 -57.76 -54.94 -55.12 -53.79 -52.24 -55.26 -56.93 -59.69 -55.62
UI(20): 15.00 13.80 16.04 0.60 14.52 15.47 15.11 15.22 14.72 16.04 15.14 15.19 14.51 14.10 15.64 15.57 14.70 14.44 14.36 13.80 14.97 15.53 16.03 14.94
Sharpe(20): 0.78 0.72 0.85 0.03 0.82 0.77 0.75 0.72 0.73 0.78 0.79 0.78 0.82 0.81 0.79 0.85 0.82 0.81 0.77 0.77 0.76 0.76 0.82 0.79
Beta(20): 1.10 1.08 1.11 0.01 1.09 1.10 1.10 1.11 1.10 1.11 1.11 1.11 1.11 1.11 1.09 1.09 1.08 1.10 1.10 1.08 1.08 1.10 1.09 1.09
TI(20): 18.26 16.82 19.77 0.74 19.31 17.88 17.53 16.82 17.01 18.18 18.41 18.01 18.91 18.88 18.62 19.77 18.94 18.61 17.75 17.88 17.69 17.59 18.95 18.39
AT: 3.12 3.06 3.17 0.03 3.14 3.11 3.10 3.13 3.06 3.07 3.10 3.10 3.11 3.11 3.08 3.11 3.12 3.10 3.13 3.15 3.14 3.17 3.15 3.14
Total Return for Year Ending:
20021231 -4.82 -10.66 0.39 2.68 -2.23 -5.66 -7.90 -10.66 -10.52 -4.78 -3.94 -4.66 -4.48 -2.51 -1.31 0.39 -3.80 -3.49 -4.73 -5.49 -7.02 -6.14 -4.61 -2.79
20031231 96.35 86.47 109.27 6.18 99.44 89.87 86.47 86.52 100.13 98.67 109.27 104.31 102.74 100.23 99.46 95.04 97.96 100.27 90.01 92.21 91.50 87.24 94.98 100.59
20041231 -3.77 -6.86 -0.12 1.76 -2.09 -3.61 -3.64 -5.37 -4.47 -2.01 -1.74 -2.27 -0.12 -1.55 -2.29 -3.80 -5.37 -4.00 -4.52 -5.37 -6.73 -5.11 -4.49 -6.86
20051230 23.58 16.92 31.49 3.59 18.64 23.88 24.19 27.32 24.32 29.00 31.49 25.64 25.64 26.44 25.23 23.44 19.81 20.24 23.15 23.32 16.92 17.77 23.50 21.79
20061229 -7.31 -14.18 -0.07 4.63 -1.01 -0.07 -0.65 -0.53 -6.39 -10.11 -14.18 -11.06 -8.20 -12.39 -10.30 -10.75 -5.69 -4.66 -12.98 -7.95 -9.23 -14.05 -3.18 -2.81
20071231 75.41 68.14 81.36 2.90 81.36 79.75 78.31 77.50 77.55 77.26 74.47 73.07 73.38 72.97 73.92 73.09 75.29 73.37 68.14 78.08 74.56 75.39 76.83 73.90
20081231 -37.03 -42.96 -32.62 2.37 -36.85 -38.09 -35.88 -36.09 -33.84 -38.07 -36.03 -36.59 -36.07 -32.62 -38.91 -40.56 -36.68 -36.43 -34.38 -34.24 -38.59 -39.27 -42.96 -38.52
20091231 23.04 14.09 28.64 3.27 24.92 22.89 21.53 21.69 20.13 14.09 17.18 21.75 22.72 21.41 22.54 24.75 23.88 25.05 23.46 28.64 26.72 24.69 26.06 26.78
20101231 28.16 20.48 33.61 3.06 27.69 20.48 23.69 28.72 33.61 32.57 30.60 29.27 27.95 28.10 26.11 30.43 31.82 30.63 27.27 24.76 28.49 29.07 25.63 26.27
20111230 3.98 -5.22 17.65 6.34 1.19 -0.88 0.55 0.44 -3.72 0.61 5.48 -5.13 -5.22 -2.87 0.74 17.65 9.75 8.45 8.03 6.65 10.48 13.25 11.49 2.61
20121231 39.37 29.33 49.97 5.35 34.86 37.32 29.33 30.06 34.24 49.97 47.60 39.70 38.07 35.21 35.16 42.79 41.25 40.85 47.11 39.35 41.82 41.09 44.45 37.20
20131231 59.37 49.88 66.39 4.97 61.21 60.45 59.44 60.37 56.07 59.55 61.62 61.31 62.89 66.39 65.85 66.34 65.42 61.46 51.77 51.23 53.09 58.28 54.75 49.88
20141231 18.04 6.21 35.09 7.86 20.61 18.65 18.77 11.29 14.72 8.92 6.21 8.04 7.87 7.12 20.10 19.56 18.42 17.72 22.28 23.91 24.91 25.24 35.09 31.39
20151231 -5.38 -14.72 5.42 5.61 -6.96 -4.85 -2.47 -6.09 -6.21 3.97 4.21 5.42 3.44 -3.89 -7.43 -6.18 -14.72 -13.31 -10.55 -11.60 -8.51 -6.54 -7.41 -7.84
20161230 33.11 26.02 42.05 4.20 42.05 39.80 30.62 29.61 32.35 33.32 29.50 29.13 35.62 39.98 35.36 37.04 34.53 31.98 30.26 26.02 27.46 31.10 35.23 31.14
20171229 49.77 43.32 59.77 4.30 50.56 47.42 44.44 43.32 44.20 46.03 47.83 50.95 59.77 59.40 45.83 50.26 50.54 50.84 50.45 53.94 51.88 50.80 50.32 46.62
20181231 -0.90 -7.05 5.24 3.42 0.95 -2.40 1.51 -2.98 -7.05 -6.82 -7.01 -1.31 1.86 5.24 2.28 2.12 2.19 1.61 -2.90 -3.58 -1.53 -1.53 -1.52 2.95
20191101 30.20 24.36 35.99 3.53 27.69 26.99 28.89 29.47 29.57 33.87 31.38 34.80 34.00 33.85 35.99 33.33 29.76 31.79 34.17 26.14 25.54 24.36 26.09 26.32
Total Return at ^GSPC Peaks (15%) and Troughs (-15%):
20020311 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
20020723 -16.90 -19.35 -14.68 1.17 -14.68 -17.02 -16.64 -19.35 -17.72 -18.16 -16.58 -17.99 -17.45 -16.00 -15.46 -15.39 -16.02 -16.11 -16.12 -17.76 -18.25 -18.17 -17.16 -15.95
20020822 20.34 19.24 23.80 1.34 19.24 19.41 19.52 19.45 19.75 19.48 20.45 20.96 21.72 22.43 23.80 23.03 20.69 20.42 19.85 19.56 19.25 19.26 19.25 19.27
20021009 -10.72 -14.04 -7.24 1.47 -9.90 -10.52 -12.98 -12.43 -14.04 -7.24 -9.41 -9.20 -10.38 -10.59 -10.82 -10.65 -12.04 -11.53 -11.82 -10.53 -11.12 -10.41 -9.40 -9.40
20071009 291.64 229.60 328.21 25.59 328.21 317.37 309.54 309.66 306.26 305.48 310.77 295.71 316.27 288.33 291.65 275.34 284.03 297.10 240.65 284.32 246.00 229.60 301.82 294.58
20081027 -41.66 -45.29 -39.24 1.52 -40.45 -41.33 -41.75 -40.94 -40.74 -42.29 -40.95 -42.48 -42.11 -40.92 -44.93 -45.29 -41.06 -39.96 -40.01 -39.24 -42.32 -42.51 -43.43 -40.58
20081104 21.06 19.98 24.12 1.14 20.35 20.27 20.17 20.30 20.31 20.30 19.98 21.28 21.55 21.76 21.50 21.50 20.07 21.62 24.12 23.72 21.62 20.22 20.31 20.25
20081120 -23.88 -26.35 -22.40 0.83 -23.62 -23.54 -23.06 -24.19 -22.40 -24.79 -24.04 -24.01 -23.96 -23.28 -22.95 -23.03 -22.98 -24.26 -24.16 -24.34 -24.31 -24.30 -26.35 -23.93
20090106 15.42 12.55 20.10 1.99 13.88 13.51 16.34 15.95 17.07 17.07 17.84 17.83 17.59 20.10 16.25 14.18 15.73 14.04 14.42 13.45 13.24 14.10 13.30 12.55
20090309 -23.57 -27.52 -21.20 1.55 -21.95 -23.43 -23.87 -23.31 -23.92 -27.52 -26.37 -25.63 -22.70 -24.81 -22.84 -22.68 -23.16 -23.75 -24.00 -21.27 -21.20 -23.56 -23.52 -21.93
20100423 110.41 103.85 117.01 3.55 111.60 111.13 108.66 106.77 110.22 103.85 107.53 111.68 103.97 109.48 107.40 110.47 110.58 114.75 108.03 116.66 112.69 114.33 117.01 111.31
20100702 -21.20 -24.97 -17.54 1.84 -23.55 -24.97 -23.15 -20.48 -18.98 -17.54 -17.95 -21.39 -21.64 -21.95 -23.09 -21.91 -21.14 -20.54 -20.74 -21.38 -19.06 -20.10 -21.32 -23.09
20110429 65.16 59.57 68.93 2.75 68.10 64.11 67.16 65.71 62.31 61.06 59.57 65.65 64.15 64.58 63.98 68.93 68.06 67.83 68.42 61.52 62.22 66.85 64.34 68.60
20111003 -28.81 -36.46 -16.83 4.44 -32.27 -36.46 -35.36 -34.19 -32.36 -29.69 -25.65 -30.43 -30.35 -29.52 -27.42 -16.83 -22.89 -25.36 -26.51 -28.09 -27.22 -25.63 -27.88 -32.13
20180920 609.25 472.70 718.76 61.62 675.20 668.16 577.29 486.98 472.70 616.71 575.37 585.57 667.83 643.41 588.44 692.14 604.70 590.19 598.82 538.51 604.49 654.75 718.76 624.98
20181224 -27.39 -30.68 -25.19 1.37 -26.69 -27.38 -25.64 -26.49 -27.20 -27.38 -27.57 -27.79 -27.20 -25.81 -25.75 -27.99 -28.58 -29.59 -30.68 -29.29 -27.67 -27.70 -25.19 -26.19
20191101 42.61 35.99 49.05 4.03 39.46 38.69 40.73 41.55 41.65 46.31 43.70 47.59 46.69 46.58 49.05 47.01 42.83 44.93 47.49 38.85 37.16 35.99 37.86 38.03
http://gtr1.net/2013/?max%28david.f,tom.f%29et1:linear%281,r...
It's a short backtest, but as you can see, this strategy clobbers SPY and QQQ over the same period. (It's actually a much longer backtest than what was the norm when this message board started.)
In light of these results, I'd imagine there will be a few new Fool Advisor subscribers. If you guys want to provide data updates to me, I can keep tom.f and david.f up-to-date and password-protected for screening using a system similar to what we've been using for other proprietary data sources.
Robbie Geary
P.S. I should point out that in 2002, there were initially fewer than 5 stock picks, so the portfolio benefits from being partially in cash for the last wave of the bear market.
