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No. of Recommendations: 12
mungofitch:
Lowest volatility 50% of candidates at any depth gives lower CAGR than higher volatility candidates.

But they give higher Sharpe ratios, so nothing surprising.


What expression would you use to hold a portfolio of the N stocks that had most recently passed [a] test?

I suggest making the test a separate screen (with holding period 1 to improve backtester performance and lag adjustments equal to -1, as I recommend) and importing the test results with picktally(). This keeps your test separate from the stock screening process, making it easier to have multiple similar tests without them interacting with each other or with your actual screening steps.

The last market date ordinal on which a stock passed a test can be determined with tslvne() (which stands for "(Time-Series) Last Value Not Equal to..."), if() and ord(). For example, http://gtr1.net/2013/?lf-1lp-1::nas100.a:et1:tslvne%28ifgt%2... selects the 5 NASDAQ 100 stocks that most recently had a 1-day total return of -10% or worse.


opihiman911:
Should we be even discussing using a "TMF universe" for screen development at the risk of polluting our deep knowledge well and potentially giving birth to Valedmort Jr.

Voldemort didn't cause any problems until they finally noticed backtest.org, which clearly stated that it was a backtester based on Voldemort's data. Given what an utter failure their flagship rating system has been for the last twenty years, they had good reason to put a stop to the backtesting.

By contrast, fool.com's Stock Advisor appears to actually work, so if they're rational, they'll realize that a backtester with their data is good for their business, assuming they ever figure out that it exists.

As for stock picks, the spoon-feeding of ticker symbols to people in weekly posts made sense for VL screens due to the subscription costs required to generate one's own stock picks, and before the existence of backtesters allowing screen customization and screening. There is absolutely no reason to post weekly stock picks based on fool.com's Stock Advisor here. The solution I offered in post 275662 is (1) ethical, (2) doesn't require any discussion on the message board and (3) isn't peeing in the well we drink from (or peeing anywhere, really).


Robbie Geary
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