Post #1869 by Aussi on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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Well, I was able to answer my own question. GTR1 has vol(a,b). The book by Clenow uses the SP500 components. A rough approximation of the screen from 1985 using SP 500 components, BCC>0 has a CAGR of 14.09 and SAWR of 7.49.

However, why I am reading books instead of old posts I am not sure. BarryDTO proposed a method of adjusting the linear egression by subtracting the variation. linear(1,rrs(1,126),-1,vol(1,252)) top x

Using his method from 11 years ago and 4 years before the book was written has a CAGR of 14.79% and SAWR of 8.91%

Changing the stocks to nas100 has a CAGR of 22%

No more trips to the library!

Aussi

Clenow

https://gtr1.net/2013/?s19851231f0.10000::BCC:gt0:...

BarryDTO

https://gtr1.net/2013/?s19851231f0.10000::BCC:gt0:...

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