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Most recently UPS and LMT. For my homegrown quant strategy called Marmot I buy 25 stocks a year, 4% each. 2 stocks each month, 3 in January. I have backtested

Most recently UPS and LMT. For my homegrown quant strategy called Marmot I buy 25 stocks a year, 4% each. 2 stocks each month, 3 in January. I have backtested returns of over 25% a year since 2001 so I'm confident I can beat the S&P over a 5 yr time horizon. I would love to enter some sort of contest where I could compete against other amateur and pro investors. I would crush most of them in the long run. Know of anything?

nicholas73 10y ago
Quantopian hosts one where the winner gets actual money funded for their algorithm.
- baccredited 10y ago
  Thank you. I have used Quantopian but they are geared more toward a day-trader type of mentality: https://www.quantopian.com/allocation https://www.quantopian.com/allocation 'We are looking for algorithms that turn over their portfolio between 12 and 500 times per year (e.g between once per month and twice a day).' I hold my stock picks for one year, so Quantopian definitely doesn't work for me.
  - nicholas73 10y ago
    Would you say your long holding period should make you less confident about beating the market long term? Even though you tested from 2001, the actual number of "samples" (end-to-end trades) is actually very low. Maybe that's why Quantopian wants algorithms with higher turnover.
    - fawce 10y ago
      Hi, I'm the founder of Q. You're right about the turnover, though it is a multi-faceted trade-off. While increasing the trading frequency accelerates the accumulation of data, it also increases drag from transaction costs and that tends to lower a strategy's capacity. Here is a post and video that talks about many of the criteria we use to evaluate algorithms: https://www.quantopian.com/posts/how-to-get-an-allocation-writing-an-algorithm-for-the-quantopian-investment-management-team https://www.quantopian.com/posts/how-to-get-an-allocation-wr...
    - baccredited 10y ago
      I don't have a great source link for you (forgot) but you only need a very small number of companies to roughly match a given index: 20-ish. I'm saying my 25 companies will handily beat the S&P 500 over the long run. I'm trading with real money in a public forum so time will tell.

nicholas73 10y ago

Quantopian hosts one where the winner gets actual money funded for their algorithm.

baccredited 10y ago
Thank you. I have used Quantopian but they are geared more toward a day-trader type of mentality: https://www.quantopian.com/allocation https://www.quantopian.com/allocation 'We are looking for algorithms that turn over their portfolio between 12 and 500 times per year (e.g between once per month and twice a day).' I hold my stock picks for one year, so Quantopian definitely doesn't work for me.
- nicholas73 10y ago
  Would you say your long holding period should make you less confident about beating the market long term? Even though you tested from 2001, the actual number of "samples" (end-to-end trades) is actually very low. Maybe that's why Quantopian wants algorithms with higher turnover.
  - fawce 10y ago
    Hi, I'm the founder of Q. You're right about the turnover, though it is a multi-faceted trade-off. While increasing the trading frequency accelerates the accumulation of data, it also increases drag from transaction costs and that tends to lower a strategy's capacity. Here is a post and video that talks about many of the criteria we use to evaluate algorithms: https://www.quantopian.com/posts/how-to-get-an-allocation-writing-an-algorithm-for-the-quantopian-investment-management-team https://www.quantopian.com/posts/how-to-get-an-allocation-wr...
  - baccredited 10y ago
    I don't have a great source link for you (forgot) but you only need a very small number of companies to roughly match a given index: 20-ish. I'm saying my 25 companies will handily beat the S&P 500 over the long run. I'm trading with real money in a public forum so time will tell.