Keelix,
Just wanted to express my gratitude...I've been a CANSLIM'er for years, and I'm tired of the hyper-trading that you have to do when following O'Neil. I began looking for different styles that produce an above average return while trading on something like a quarterly basis, and then stumbled on the Mechanical Investing forum at TMF. Since I've been using SI Pro for quite some time, it's great to have these customized screens that really produce some amazing results. Your analysis gives even greater credence to the great folks over at TMF who developed several of these screens.
I'm looking at the 90-day portion of your backtesting...and it looks like I may test a small portion of my portfolio on the Up5X3 screen since it produced the greatest return w/ the highest Sharpe. If I'm holding the top 5 that would mean about 20 trades a year, correct? Throwing in a little "protective put buying" just in case the market reverses (this should provide a greater comfort level w/ the somewhat high SD of 26). Just wanted to make sure I'm reading your file correctly...any other words of wisdom?
Great stuff--really applicable analysis
Keelix,
Just wanted to express my gratitude...I've been a CANSLIM'er for years, and I'm tired of the hyper-trading that you have to do when following O'Neil. I began looking for different styles that produce an above average return while trading on something like a quarterly basis, and then stumbled on the Mechanical Investing forum at TMF. Since I've been using SI Pro for quite some time, it's great to have these customized screens that really produce some amazing results. Your analysis gives even greater credence to the great folks over at TMF who developed several of these screens.
I'm looking at the 90-day portion of your backtesting...and it looks like I may test a small portion of my portfolio on the Up5X3 screen since it produced the greatest return w/ the highest Sharpe. If I'm holding the top 5 that would mean about 20 trades a year, correct? Throwing in a little "protective put buying" just in case the market reverses (this should provide a greater comfort level w/ the somewhat high SD of 26). Just wanted to make sure I'm reading your file correctly...any other words of wisdom?