January 12, 2017

Turtle traders, part I

About the book

I’m about 1/3 of the way through “The Complete Turtle Trader” by Michael W Covel, and I’m enjoying myself.  His narratives about the people are entertaining, though that’s not why I bought the book.  It does give me color into how technical traders think, though.  It also is nice to hear that simpler is better.  I also like his scientific approach:

  1. Figure out what you are going to do while the market is closed.
  2. Follow the rules while the market is open.  Don’t put new ideas into practice in the heat of the moment.  Follow the rules you’ve made!
October 26, 2016

Deciles

Deciles

When it comes to figuring out what positions you want to add to your portfolio, it can be extremely useful to sort the results of your screen even further. We can do this by using deciles, or breaking up our results into units of 10% as we rank our results based on whatever variable we decide is important.
backtest-oct_26_11_18_49Here are all of the different deciles backtested and plotted on our primary backtest. This screen looks for the rank of a company’s sale growth over the past three years.

So How Could you use this?

All you have to do is use our “rank_across” operator.…

July 12, 2016

Pokémon Go, Nintendo’s Saving Grace or a Desperate Hail Mary?

Pokémon Go, Nintendo’s Saving Grace or a Desperate Hail Mary?

In recent years Nintendo has come on hard times as people have gravitated away from their console systems and towards competitors such as Microsoft or Sony. Since the relative failure of the Wii system they began to lean heavily on their hand held DS systems; however, sales of those too began to suffer as mobile gaming became more of a common place among target audiences.

Breaking the pattern, now Nintendo is taking a true stab at the mobile gaming market with their newest release “Pokémon GO”. It targets people who were children during Gen 1 – millennials.…
April 21, 2015

The Power of the Short

We all know penny stocks are dangerous to buy. People pump penny stocks, forcing them to rise without reason. This creates a highly unstable environment, and the ONLY thing that is certain is the fall of the stock. So my thought has always been, why participate, and most likely lose, in the pump, when I can far more easily get into the almost guaranteed dump? With this idea in mind I went to work thinking of a basic screener that I could use to capture over-bought penny stocks and simulate what would happen in the event they were purchased, or shorted.…
August 8, 2014

Matthais Parcha BUS483 Research Report

I'm happy to say that we're encouraging university classrooms to use Equities Lab in their classwork.  Here's an example of some of the work that has resulted.  Notice how well the long/short strategy does…  It's been reprinted, unedited, other than some (partial) attempts to format what used to be a Word Document for WordPress.

 

GOIZUETA BUSINESS SCHOOL

Final Project

Applied Investment Management (BUS 483)      

Spring 2014, Professor Busse

Mathias Prucha

4/24/2014

Rationale for Approach

General Goals

The overall main goal was to create steady, positive returns while avoiding large draw downs and a high standard deviation. The ideal market neutral strategy would generate a high positive alpha combined with a beta close to zero, indicating there is very little exposure to the market.…