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The week's question
In December 2024, in the thread "Re: BRK: Why Not XOM?", BreckHutHigh asked the members: "What about the long road trips with kids?" This week it is put to everyone again. The button below opens the small thread re-asking it - read what others have said so far, then give your own answer as an ordinary reply.
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Investment Strategies / Mechanical Investing
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Author: RAMc   😊 😞
Number: of 6132 
Subject: Re: What's working lately research
Date: 07/10/24 1:13 AM
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No. of Recommendations: 8
I was using a WWL system until near the end of 2012. I used the monthly historical results of 26 SIP screens from 2/1998. I could rank each screen with trailing 1,4,6,9,and 12 mo plus total Long term results/StdDev^1.5 and a couple of other algo’s.
I was then able to run a series of genetic optimization programs which selected the weighting of the individual parameters to decide the best selection criteria and how many screens should be invested in. Obviously, overfitting the available data. I do think this helped a little deciding what screens to invest in but there were no spectacular advantages. The primary factors that worked best when I abandoned the system was using the top 5 of 26 screens with Long term CAGR/Std ^ 1.6 and the last year’s CAGR/Std. One thing that stands out looking at the screens selected over time is that individual screens are not consistent winners but some seem to have one or two years of outperformance followed by 3 or 4 years of not being selected. Unfortunately, there are more instances where screens were too intermittent to make selection all that profitable.
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This community has written 6,115 posts about Mechanical Investing. The article-length ones it recommended most:
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