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{ Category Archives } Mechanical Investing

Screen rankings as of 03NOV08

Screen rankings as of 03NOV08. Standard disclaimers apply

2008 11 03 Michael Screen Listings Comments (0)

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 [...]

2008 11 01 Michael MI OOB Comments (0)

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I normally do not publish the Arezi Ratio.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.

* [...]

2008 11 01 Michael General Investing
MI OOB Comments (0)

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 [...]

2008 10 27 Michael MI OOB Comments (0)

Screen rankings as of 27OCT08

Screen rankings as of 27OCT08. Standard disclaimers apply

2008 10 27 Michael Screen Listings Comments (0)

Weekly Trade Ledgers 10/20/2008

Bill2m’s most excellent weekly ledgers.
Here are the YTD (and TTM) summaries of the weekly trade ledgers.
In these ledgers, Keelix’s SIPRO screens are further filtered to include only FOLIOfn tier 1 window stocks. The mghens and kaellner screens are evaluated as published by them.
The actual data spreadsheet which contains the weekly totals for all the screens, [...]

2008 10 22 Michael MI OOB Comments (0)

Screen rankings as of 20OCT08

Screen rankings as of 20OCT08. Standard disclaimers apply

2008 10 20 Michael Screen Listings Comments (0)

Quantitative Tactical Asset Allocation

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

EFA GSG IEF IVV IYR %Cash

10.17.08 no no no no no 100
10.10.08 no no no no no 100
10.03.08 [...]

2008 10 19 Michael General Investing
MI OOB Comments (0)

A Quantitative Approach to Tactical Asset Allocation

This pdf talks about a simple timing method.
http://trendfollowing.com/whitepaper/CMT-Simple.pdf
To over simplify you buy when price is over the 10 month SMA (approximation to the 200 day SMA) sell when it is bellow.
This seems interesting to me because I use the YLDEARNYEAR2 4 HTD 10 as one of my screens. There are a few dogs coming down [...]

2008 10 16 Michael Comments (0)

Screen rankings as of 13OCT08

Screen rankings as of 13OCT08. Standard disclaimers apply.
Last week was an interesting week. There are 14 screens with no stock selections. They are:
3PT_SCV_pst
3PT_SCV_pst_slta
EG_PELA
EG5_PEG
EGPR_PE
FOG_MI
H52EgPS
H52EgPSlta
R13_EG
R13_EG_E
R13_EG2
REV
RSEG-rgonsal
Value_EG
Hopefully the run on the stock market will be over. I am tired of drinking cheap scotch on a dirty linoleum floor.

2008 10 13 Michael Screen Listings Comments (0)


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