crastogi Posted September 26, 2013 Share Posted September 26, 2013 Hi all: I am not sure if people have tried or are trying mechanical investing/algorithmic investing. Here is a paper. Seems to confirm my feelings. Food for thought. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2308659#! Link to comment Share on other sites More sharing options...
ilike Posted September 26, 2013 Share Posted September 26, 2013 Well, I think that most people doing it are thinking a lot about this problem. A strategy should be reasonably robust over different parameters. Do we have any quants here? I have been experimenting some with backtesting pairs, baskets and other price driven situations but the possible result are always disappointing when adding transaction costs and the work needed to implement and babysit the algo. Link to comment Share on other sites More sharing options...
crastogi Posted September 27, 2013 Author Share Posted September 27, 2013 What system or platform are you using Link to comment Share on other sites More sharing options...
CorpRaider Posted September 28, 2013 Share Posted September 28, 2013 Anyone got any money in Greentblatt's GARIX, GENIX or GONIX? Link to comment Share on other sites More sharing options...
ilike Posted September 30, 2013 Share Posted September 30, 2013 What system or platform are you using I used data from yahoo and Interactive brokers. Did the backtesting in the R programming language but I think Excel would have worked almost as fine and probably is a lot quicker to get started in if you don't have a programming background. Link to comment Share on other sites More sharing options...
crastogi Posted January 2, 2014 Author Share Posted January 2, 2014 Anyone got any money in Greentblatt's GARIX, GENIX or GONIX? I do have some money in Greenblatt international fund. It has not done that well. Link to comment Share on other sites More sharing options...
crastogi Posted January 2, 2014 Author Share Posted January 2, 2014 What system or platform are you using I used data from yahoo and Interactive brokers. Did the backtesting in the R programming language but I think Excel would have worked almost as fine and probably is a lot quicker to get started in if you don't have a programming background. I am using Portfolio123. It has a fantastic back tester. Though I have yet to fully use the other options Best, Link to comment Share on other sites More sharing options...
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