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{ Category Archives } Mechanical Investing

Screen rankings as of 01DEC08

Screen rankings as of 01DEC08. Standard disclaimers apply

Screen rankings as of 24NOV08

Screen rankings as of 24NOV08. Standard disclaimers apply

Screen rankings as of 17NOV08

Screen rankings as of 17NOV08. Standard disclaimers apply

Screen rankings as of 10NOV08

Screen rankings as of 10NOV08. Standard disclaimers apply.

The ugly months are in

Gritton has updated http://www.backtest.org with the Ughly Months. Personally, I would rather act like on ostrich.
I’ve added the recent unpleasantness to backtest.org, and unpleasant is it. The default run is still through 2007 because the year isn’t over yet, but you can peek at the damage September and October have done if you so choose.
The [...]

Screen rankings as of 03NOV08

Screen rankings as of 03NOV08. Standard disclaimers apply

QTAA 10.31.08

Quantitative Tactical Asset Allocation

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461

EFA GSG IEF IVV IYR %Cash

10.31.08 no no no no no 100
10.24.08 no no yes no no [...]

Arezi Ratio for Oct. 31

I normally do not publish the Arezi Ratio. It just that it recommends that one actually use margin!  To me this should suggest a runaway bull with cash flowing out of savings and treasuries.
Personally I don’t buy it. I think we have an out of sample situation with the Government mucking with market forces.

* [...]

QTAA 10.24.08

I don’t know if I will carry QTAA. However in this market, I find it interesting. –msg

Quantitative Tactical Asset Allocation

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461

EFA GSG IEF IVV IYR %Cash

10.24.08 no no yes no no [...]

Screen rankings as of 27OCT08

Screen rankings as of 27OCT08. Standard disclaimers apply


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