This post introduces three new features for the screener:
- Hold Thru Rank Option
- Access to Previous Values
- Improved Error Detection
Hold Thru Rank is the ability to not sell a position in a backtest until it drops below a given screen rank. For example, let’s say you develop a model to hold 3 positions. Continue reading
The month-end effect is well known by many market participants but often not fully understood. I recently read an academic paper that piqued my interest enough to study the subject myself. Ironically, because I would have liked the author of that paper to have looked at the subject differently. Some of you may be familiar with Mebane Faber’s blog The Idea Farm. If not, I highly recommend it for trading ideas. It’s not a traditional blog; however, he emails one or two research reports from first rate sources each week. His January 23rd email offered a Deutsche Bank paper that was itself a review of recent academic work. One of the papers reviewed Continue reading
Our Premium Access service has been mentioned several times the past few months. During that time you have had the opportunity to try out many of the features, and many of you signed up for the free trial period. As yesterday’s email to those individuals stated, that period ends tonight. Tomorrow most of the complimentary subscriptions expire, and you will need to subscribe to continue with your Premium Access level of service. Continue reading
With Washington polarized and the fiscal cliff approaching it is no surprise the market is a bit shaky.Â This week the politicians gave us a Thanksgiving gift by showing an appearance of unity and then leaving town, but what will happen when they return?Â Do we trust that all the hostilities of the past are mended and that the same politicians that have not been able to agree on anything the past few years will now be willing to compromise?Â Doubtful, at least in the short term.Â Maybe, in the eleventh hour, but that is a long month away. Continue reading
We have several new features for our current screener and a new screener to announce today.
Chart from new Trend Explorer
We’ll start with the boring things such as new features. Few topics are more boring than statistics, so our first new feature is a volaitlity measure, or standard deviation to be precise.Â These fields were actually added to the screener a few weeks ago, and a few of you have already found them under the new Volatility section of the drop-down menus.Â These fields will carry the Continue reading
With this post we are excited to introduce our Trend Explorer screening model.Â This specialized set of tools is designed for the exploration of the macro trends that often indicate market direction. With it, you can target specific values from our database for specific funds, or you can take a broader view by averaging or counting values across a group of funds.Â Based on those values, you can define entry and exit rules for the ETF of your choice and test back to 2002.Â (Note: The default is a 5-year backtest utilizing SPY as the trade vehicle.Â Premium Access is required for extended functionality – and is now available for Free for a limited time.)
To the point:Â We are proposing to eliminate infrequently traded funds from the screener. By this we mean those funds that trade less than 8 or 9 days out of 10 over the past 3 months or so.Â Exact rules are yet to be determined.
Why:Â There are numerous reasons for this.Â First, those funds aren’t going to be touched Continue reading
We are pleased to announce that today we are releasing two capabilities to view historical data on the site.Â First is historical trade data behind the screen results.Â This was previewed in a post a couple of weeks ago titled More on a Rolling Starts Backtest.
Additionally, we are releasing the capability to view any Portfolio or Screen at a date in the past.Â Anywhere you see a calendar like the one to the right, just click it and select a date.Â This image is from a portfolio, but the calendar is also on all screen picks pages just above the data table.Â Soon it will be making its way onto other data tables throughout the site.Â So, if you’ve ever wondered what a screen looked like just before the latest correction, now you can find out.Â We are kicking this feature off with a year’s worth of historical data, but that, too, will be supplemented in the near future. Continue reading
As you hopefully know, the results given for screen backtests represent averages from a series of independent cycles through the data.Â A model with a 5-day hold will have 5 independent series of trades and, likewise, a model with a 21 day hold will have 21 independent series that are averaged together to calculate a backtest’s final stats.Â The advantage of this methodology is that it utilizes all the available data rather than a small fraction which many backtesting methodologies base their results on.
This article will take a more in-depth look at the numbers behind the averages.Â For this I chose a published screen by ‘inconversable’ titled CDGR – Amer. C. F. Mk 5.Â This screen holds 3 positions and rebalances every 5 days.Â As you can see from this image, the CAGR results are shown as 27.9% versus -1.1% for the SPY.
It is now much easier to save your favorite screens so you can return to them tomorrow, next week, or next month, with just a few mouse clicks. All you do is click the “Flag Screen as a Favorite” link at the top right of any screen page. Of course, you must be logged in so the site knows whose favorite it is – but you all knew that. You then give your screen a name and click OK. From then on, your favorite screen is available from the My Pages link on the top navigation bar and is also flagged for easy recognition on the My Recent Screens page and the Published Screens page – if it is a Published Screen? What’s a Published Screen? Continue reading