$15,000 to Over $750,000 in 7 yrs Impossible? Think again!

[Shane Baker]

For those interested in creating such a list the changes from 2000-2006 for the asx 200 are available at

http://www2.standardandpoors.com/se...l=EN&b=4&s=6&ig=42&i=77&si=&d=&xcd=ASX200&f=2

 

[MichaelD]

Where can I get such a list?

Took one hell of a lot of digging on the 'net to find it, but this is a little nugget of gold IMHO;

http://www.asx.com.au/about/pdf/CompanyIndex.pdf

Processing this into usable stock universes for backtesting took me an entire weekend a while back, but I felt the effort was well worth it.

You can also go backwards through the S&P site to reconstruct the original indicies as per Shane's post, but even I think that is simply too painful.

 

[Sir Burr]

Have you got a list?

No it is not a "list". You didn't read the idea!

I dont have total market or even daily market turn over.

OK I'll make it easy, try this, use the A-D ticker.

In answer to your questioning as part of being a trader---yes.

Lost me - what do you mean?

SB

 

[tech/a]

I read it,I understand it.
If you used it you would already have the universe at your disposal.
That would be a list.Doing as you say in your post on page 3 will also eventually give you a list.

Your patronism is not necessary.

Youve made your point Ive made mine.

Lost me - what do you mean?

Your comment on post#52---the post you accuse me of not reading/understanding.

To make it easy on you cast your eyes to the bottom left of the post the line starts with the letter "E"

 

[Sir Burr]

I read it,I understand it.
If you used it you would already have the universe at your disposal.
That would be a list.Doing as you say in your post on page 3 will also eventually give you a list.

A list, you mean every stock that had been in the ASX300 over the past 7 years into a list? Surely you don't want that do you, a stock that was kicked out of the ASX300 in 1999 still in "the list" in 2006?

Maybe I didn't make myself crystal clear. I'm a bit like that sometimes, please accept my apologies Tech/A. What I propose is dynamic.

As you now have the free data installed, you shall drop a 30 day moving average on it or any other indicator/timeframe that takes your fancy. Adjust the indicator by adding a percentage of the indicators value.

The theory is the ASX300 has higher turnover than those outside. The percentage may be adjustent to capture the approximate number of stocks you wish. How much of the markets turnover do you think is in the ASX300 80%, 90% more?

Now that you have done that, pop-open your system and get rid of any silly fixed lists you used for backtesting and add to your code: BUY = Stock turnover must be above The Awesome.Idea.of.using.a.New.Turnover.indicator.

I suggest you check the percentage and confirm filtered stocks with both todays ASX300 and if possible an ASX300 list back in 1999.

Your patronism is not necessary.

Maybe or maybe not, others could be peering above their shoe boxes.

Now, back to that darn tax problem. You might be able to get more realistic results by selecting the trades in the Tradesim Trade Log that have been exited in the per year. Deducting 25% tax, adjust capital and step through the backtest for each year in the period. See how you go.

 

[tech/a]

Sir

I like your idea one out of the box.
I will look into it in the future.
I have no need or desire to go into depth with the system results offered up for this example.

I'll leave it at that at this time re the results,I just dont have the time.

The point that Compounding and sensible leverage will boost return well in excess to "Tweeking" a method is the point I was making.

 

[Sir Burr]

Tech/A,

Assumes all trades are greater than 12 months:

Final capital reduced ~$200000, result of tax and compounding.

 

[Sir Burr]

Assumes all trades are greater than 12 months:

Just noticed the average winning trade length is 231. That will bump up the negative tax and compounding effect shown above.

Lets try an average rate of 35% tax. The "Year Ending Capital after Tax" is just under $395,000.

(Winning Trades) Maximum Trade Duration: 749 (days)
Minimum Trade Duration: 6 (days)
Average Trade Duration: 231 (days)

 

[Shane Baker]

Obviously dividends and franking credits are not included in the calculations

 

[tech/a]

Thanks for that.

Out of interest what would the return have been without Compounding and without Leverage less tax etc.

By the way by tweeking the Compounding to 3:1 and position size 13% rather than 12.5%
The return is $1,300,000.
So could still achieve $750K .

I do see your point however.

 

[Sir Burr]

Thanks for that.

Out of interest what would the return have been without Compounding and without Leverage less tax etc.

*haven't tried leverage over a bear market yet!
:behead:

 

[nizar]

Just had another read.
Great thread.