Friday, June 15, 2012

06/15/2012 lunch update

The DECK trade was successfully entered, selling the CLF position for a 33% loss.

The trade itself represents two changes to the model:

1) I've revised the fundamental filter to more closely resemble the Benjamin Graham selection process than the Joel Greenblatt filter I used last year.  Both of these are defined as per the analysis implemented at  I'll give more detail in the selection method and rationale for the change in the weekend post.

2) The rotation period is now showing a slight edge with a quarterly holding period than a year holding period.  While I'm not pleased with this change, I have to follow the measurements of the model.

More later... time to eat something...

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