• How to invest money wisely

    How to invest money wisely

    The easiest way to do this is to invest in an index fund (such as SPY, or IWM). This will give you market like performance (almost exactly, minus a fraction of a percent), market like risk, and almost zero brain cells used to manage the investment. This screenshot, as with all the others in this answer, was produced by Equities Lab (https://www.equitieslab.com). I am a founder of Equities Lab. Feel free to email me at sales AT equitieslab.com Making your money grow by 50% in 5 years is not bad! If you don’t like a particular style, or think a particular market is going to do poorly in the future,…

  • Why do quantitative investment?

    Why do quantitative investment?

    Quantitative investment is quite a mouthful – seven syllables. Why is it even worth caring about? We’re going to break it down into manageable pieces Why do we invest? Investment is the art of forgoing current pleasure to gain something more tomorrow – at least in theory. Squirrels invest: they bury nuts for the winter. Humans invest all the time – even for as trivial a thing as standing in line to buy Starbucks. Nobody particularly enjoys the standing in line part of the process: it is all about the coffee at the end. We’ll use this coffee metaphor throughout, as we talk about investing. We’ve all has the experience…

  • Two bad days in a row

    Two bad days in a row

    Two bad days in a row seem to be bad news… at least when rebalanced quarterly, or bi-monthly. Here we also limit it to stocks with a market cap over $1 billion, so that the large number of smaller stocks don’t bias the results. Backtest Report for Jul 16, 2000 to Jul 16, 2021 for Two Bad Days In a Row This normal screen rebalances quarterly. It (vividly) explores what happens to stocks that lose more than 4% on two consecutive days. Model There are several ways to create the model: Type it all in – “change close 1 < -4 and (change close 1) as of 1 < -4…

  • Putting Piotroski to the Test

    Putting Piotroski to the Test

    The Petroski Formula is a nine-point investing formula used to rank stocks. In this article, we put the formula through a variety of tests.

  • Sector Booting using SCTR

    Sector Booting using SCTR

    Can we boost performance by getting rid of a couple of bad industries? Certainly. Can we do it via the SCTR? Maybe. The best case: what future prediction can bring Before we get started, we want to understand what perfect prediction could bring us. This chart is what would happen, from 2000, if we could magically throw out the bottom 20% of these 11 sectors (usually 3), in terms of future performance next quarter. Since we are fantasizing, we also don’t charge ourselves commissions, or have stop losses. That flatness at the end reflects the fact that we can’t actually predict the future, so when we run out of the…

  • What does “S&P-like” mean, anyways?

    What does “S&P-like” mean, anyways?

    In a previous article, we compared the S&P 500 index to an EquitiesLab macro, issandplike. Our goal was to analyze the S&P’s value, by comparing the official index’s performance with a collection of similar stocks. But what does “similar” mean in this case? According to Standard & Poor’s website, an S&P stock must meet the following requirements. Don’t let the perfect be the enemy of good enough To emulate the S&P, we create a screener which approximates the S&P 500 by searching for the following: Astute readers will note that these are not the criteria used by Standard & Poor’s for their index. This is in the interest of compute…