Traders' Roundtable

Posted: **Fri May 30, 2003 12:57 pm**

Here is a system I thought up the other day as I was looking at the Valueline web site. Looking at the rankings chart here http://www.valueline.com/pdf/modelperf.pdf I think you could take a good long/short trend following system and combine them with the Vline ranks to get your universe of stocks.

Take all the 1's and put them on the long side and take all the 5's and put them on the short side. With a simple channel breakout or something to that effect I would imagine that the Vline results could be improved significantly. But like I said I havent done any testing at all.

Happy Trading

Posted: **Fri May 30, 2003 4:13 pm**

Do these model portfolios have some associated ETF (closed end fund) ?
or you need to be a subscriber to VL (I know you can just go to the library).
Shorting stocks is hard (no matter how much of a dogs they are) so I would do 30:70 (40:60 ??) split of short equity versus long equity...essentially it would be two portfolios with two distinct money management engines. tighter stops on shorts etc etc.

Posted: **Fri May 30, 2003 6:16 pm**

Yes, Valueline does require a subscription or you can just go to your library.

Posted: **Mon Jun 02, 2003 12:30 pm**

I keypunched Value Line's data from their website to see if I could duplicate their plots. (Answer: yes). In case anybody else wants to fool around with this, let me save you the pain of typing:

Code: Select all

,Group 1,Group 2,Group 3,Group 4,Group 5

1965,0.336,0.189,0.089,0.008,-0.012
1966,-0.031,-0.060,-0.097,-0.072,-0.124
1967,0.392,0.319,0.301,0.251,0.284
1968,0.312,0.263,0.214,0.251,0.259
1969,-0.177,-0.163,-0.207,-0.268,-0.357
1970,-0.089,-0.040,-0.055,-0.117,-0.131
1971,0.265,0.174,0.122,0.142,0.105
1972,0.101,0.075,0.062,0.032,0.029
1973,-0.171,-0.262,-0.270,-0.291,-0.431
1974,-0.231,-0.278,-0.285,-0.336,-0.368
1975,0.516,0.530,0.529,0.484,0.421
1976,0.353,0.363,0.338,0.361,0.382
1977,0.158,0.127,0.052,-0.002,-0.028
1978,0.198,0.161,0.092,0.024,0.040
1979,0.256,0.308,0.276,0.231,0.399
1980,0.502,0.374,0.208,0.132,0.084
1981,-0.019,0.007,0.027,-0.009,-0.042
1982,0.337,0.290,0.255,0.185,0.199
1983,0.252,0.222,0.267,0.352,0.300
1984,-0.086,-0.001,-0.016,-0.123,-0.171
1985,0.386,0.295,0.266,0.246,0.187
1986,0.235,0.187,0.115,0.015,-0.121
1987,-0.012,0.004,-0.041,-0.091,-0.179
1988,0.160,0.197,0.232,0.272,0.200
1989,0.287,0.203,0.196,0.124,0.033
1990,-0.066,-0.087,-0.186,-0.228,-0.330
1991,0.567,0.298,0.300,0.341,0.438
1992,0.101,0.199,0.175,0.156,0.199
1993,0.185,0.136,0.153,0.165,0.203
1994,0.046,-0.053,-0.016,-0.029,-0.093
1995,0.313,0.271,0.228,0.202,0.157
1996,0.270,0.214,0.161,0.143,0.158
1997,0.258,0.313,0.241,0.266,0.244
1998,0.093,0.085,0.048,0.006,-0.040
1999,0.237,0.139,0.145,0.135,0.028
2000,-0.117,0.132,0.130,0.140,0.116
2001,-0.074,0.048,0.102,0.233,0.164
2002,-0.150,-0.173,-0.188,-0.162,-0.145

Cumulating that data through a compounding routine, I got plots that mirror the ones VL puts in their ads.

Traders' Roundtable

Untested System

Untested System

a practical question