Post #553 by Taz2 on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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No. of Recommendations: 2

Lizgdal:

Rolling Backtest:

Port: Bench: Excess: Min: Max: StdDev:
Avg: 31% 6% 24% -55% 174% 77%
Up Mkts 37 14 23 -49 179 76
Dwn Mkts 14 -14 28 -69 163 78

Universe(PRussell3000):
Total Return: 38,099% Max DD: -77% StdDev: 37% Beta: 1.50

Original w/ Pr2SalesTTM > 0 (deblanked):
Total Return: 108,000% Max DDD: -77% StdDev: 47% Beta: 1.23

See other post for rolling backtest results.

Taz

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