Post #2228 by RAMc on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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The price of a stock is well known as one of the better fundamental predictors of future gain. There are several papers mentioning this. When using AI for selecting stocks if you input price to a Random Forest you can ask for the relative value of the predicting factors and last close always comes back as a good indicator. But I never thought the very highest would have that kind of return.
Using GTR1 for stocks from 1987 to 2024:
Top 5% by price alone CAGR 8.0%
Top 10% by price CAGR 8.4%
Top 33% by price CAGR 9.7
Bottom 33% by price CAGR 3.82%
Bottom 10% by price CAGR 0.1%
Bottom 5% by price CAGR -2.8%
https://gtr1.net/2013/?~Price2020to2024:s20000103h...

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