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We have run back-test simulations for over 2000 tickers in various sectors from 2000 to 2008,
and most of the results are linked here for representative purposes.
Please call or write for a current dataset. Access database files collect results
from various simulations that can be read into other systems more easily.
Comma separated text files are also available. If
importing into your own systems from the Simulation Result table, your interest would
lie in the Ticker, Monthly, Market Price On, and Model Price columns for monthly rebalancing, and
Earnings Release Date and Release Date Price columns if you choose
to update positions intra month during earnings season. A number of
additional columns are available for convenience and testing, including
Market Price, Long Short which signifies if our simulation was long
the stock (1) or short (-1) for that month, Market to Model ratio which determines whether
the stock is cheap (if under 1) or expensive and to what extent, Exit, which signifies that the simulation exited the position
that month, which can occur at month end or earnings release either by
approaching model value or hitting the stop loss.
All simulations are run in 4 year batches, long/short, -10 to +30%
net exposure which varies as an aggregate of
long and short positions, but is typically positive and close to the upper
bound. The rebalancing is monthly, individual stocks can trade at the close
after earnings release (with additional 2.5% slippage in that event.)
Transaction costs are 12.5c roundtrip including commissions and slippage. The
point of entry is when a stock is about 25% cheap (long) or expensive (short),
exit is at 10%. This is determined by the ‘Market to Model’, or MM ratio.
Please see further notes below.
Financials and utilities are excluded from any indices. All returns are gross annual averages
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