Skip to main content
No. of Recommendations: 12
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, selects the 5 NASDAQ 100 stocks that most recently had a 1-day total return of -10% or worse.

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, 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,'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'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
Print the post  


What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.