How to identify smooth winners

Discussion in 'Strategy Development' started by fortuna, Sep 28, 2011.

  1. fortuna


    Hello everybody,

    I am trying to use an indicator which identifies stocks that out perform the market in up trends and hold well in down trend.

    I thought about using a positive and negative beta. but not that useful

    I tried with a sharpe ratio, but not that great

    I know navellier is using a quantitative grade, may be it could be the solution

    happy to know your ideas


  2. fortuna


  3. Bob111


    how about simple math..something like % change relative to market\industry\sector for same period of time? but... to save you some time-whatever you find-it will work fine...for about 50% of the time..there is no smooth winners. imo-you have to dig much deeper to find them. i'm certain,that there is should be more than 1 variable in any WINNING system.
  4. kut2k2


    Try the Sortino ratio. It makes more sense than Sharpe. Good luck.
  5. Sell top decile positive 12-month momentum stocks in bottom decile positive 12-month momenum industries. Buy bottom decile positive 12-month momentum stocks in top decile positive 12-month momenum industries. Maintain risk-parity (scale inversely to average long and short basket vols).

    Average monthly alpha ~ 1.5%, better than 95% of established hedge funds.
  6. ===============
    Mr fortuna;
    since you may find the former[out performers during uptrends] much more common];than ''hold well in downtrend.''

    I would dig deeper also.Even when[or if] you find a group of stocks , like DIA,many years may pass, to smooth out a profit, holding in downtrends .One reason is bear markets[downtrends] tend to be anything but smooth.:cool:
  7. fortuna


    thanks for response

    There is an article from modigliani in which he invents the M2 risk a adjusted performance measure.