Disqus - Latest Comments for salvadorveiga

Re: “Secreto”: The Best Kept Secret in Barbecue

salvadorveiga — Tue, 22 Jan 2019 10:36:20 -0000

The cut you are looking for that Spain and Portugal call Secretos, is the Plumas part on the spanish chart on your blog post. (Im portuguese)

Re: Where are Visa Gift Cards Sold? (And Which is Best?)

salvadorveiga — Fri, 08 May 2015 00:36:06 -0000

Hello... Are these VISA Gift Cards PIN enabled?by this i mean if in order to use them at a store do i need to type a PIN number as it happens with most debit cards?

Re: European Vacation

salvadorveiga — Tue, 24 Apr 2012 05:03:59 -0000

Sardinesss ... we're almost in the season for sardines!! I love saardines !! Fresh with lots of sea salt ... muito bom !!!

Re: European Vacation

salvadorveiga — Mon, 23 Apr 2012 19:44:32 -0000

Spain is overrated ... Portugal is a much nicer place to live. Ask the thousands of foreigners living in Cascais or in the Algarve area ... ;)

If you happen to drop by this little country I would be glad to buy you some beer !

Good luck

Re: Specialized Turbo e-bike is too fast and furious for the western world (video)

salvadorveiga — Tue, 03 Apr 2012 10:31:56 -0000

try riding a bike in lisbon my friend !!! it simple is not practical. For some reason lisbon is called the capital of the 7 hills ...

As for other cities that most terrain is flat i agree with you ...

Re: LMP Update v2

salvadorveiga — Thu, 01 Jul 2010 10:18:56 -0000

are you sure you made the purchase on the right stock and company? eheheh

Re: LMP Update v2

salvadorveiga — Thu, 01 Jul 2010 10:15:32 -0000

That's weird... when did you buy it? The date of the purchase was May 7th what price did you pay for it? and when did you make the purchase?

Re: LMP update

salvadorveiga — Tue, 29 Jun 2010 13:43:36 -0000

sure mate. atlhough you didn't miss on anything i think right? Because the stocks I sold you didn't have them since they were related to june 2009. If my math is correct, you should have still 25% in cash, your first selling would only come in September 2010, when you would switch last years purchases with the new ones... so it's all good. ;)

anyways, the purchases are post poned as of now... we'll wait a bit and see iff we go lower, I may jump on stocks once we reach the 1000 pt area or if I see strength in the market.

Don't forget that, once you apply new money to stocks that had been parked in cash for almost 1 year, you should also increase the amount in the SPY shorts.

Example.

Let's say you allocated 50k dollars last September to LMP. According to the 50k, it meant in September 2009 you used 25% of it, or 12.5k.

In December 2009 more or less, you used another chunk of 12.5k, then in March/april another 12.5k.

So now, you should have 12.5k in cash + whatever the portfolio is worth.

Also you shorted SPY whatever the portfolio was worth at the time as well, which in your case I don't know.

But for the example let's assume my portfolio was around 40k + 12.5k cash. The first time I had short it, I had to short 40k of SPY.

Now, when I announce the new purchases, in my case I will just switch with old stocks, but in your case it will be new money allocated that was sitting in cash, so you will increase the exposition to the market. So, on the day you make 12.5k purchases of the new stocks, you should also short 12.5k of SPY ...

I hope this doesn't look too messy to understand :)

Re: LMP update

salvadorveiga — Tue, 29 Jun 2010 11:43:16 -0000

I postponed the buying didn't you see the update? We sold the shares we had from last year (Deluxe, Buckle, ValueClick, Chicago Bridge,Tutor Purini, Comfort SYstems) today at the open.

As for the buying I will wait just a bit, to see if this weakness in the market translates into more weakness or not.

We should not be worried, actually from last week, while the S&P fell a bit, our portfolio actually increased in value like 1%, because the portfolio lost less money, that the S&P and since we are short the S&P, we made the difference...

Re: LMP update

salvadorveiga — Sun, 27 Jun 2010 19:16:44 -0000

Assenta em coisas diferentes... a nivel quantitativo em AF o método de usar screenings não difere grande coisa, geralmente faz-se uma avaliação das métricas ponderadas do seeu peso para um resultado final e obter ou pelo menos recolher uma amostra das acçoes que permanecem no melhor intervalo relativo, seja quartis, decis ou percentis.

Penso que o livro que referes, as unicas métricas que usava seriam o PER e o ROIC ... aquele que eu uso tem esses sim senhor, mas tem também outros indicadores como free cash flow, crescimento de lucros assim como o momentum do crescimento desses lucros, crescimento de vendas margens operacionais,, etc...

abraço :)

Re: Counter-rally done?

salvadorveiga — Tue, 15 Jun 2010 21:57:28 -0000

ouch... i was totally wrong... today was an all up day !! couldn't have been more wrong... lool

Re: Are we in for a big run up in equities?

salvadorveiga — Tue, 08 Jun 2010 15:52:24 -0000

you can't generalize like that... so far that has not been the case since the gap between the S&P and our stocks have increased along the time with benefit to our side...

it may happen a few cases or in another for that to happen, but in the big picture they are supposed to go up more and go down less, especially the poprtfolio now with the hedging capability

Re: EURUSD

salvadorveiga — Thu, 20 May 2010 07:51:03 -0000

no problem mate...

by the way, the platform you use on your graphs is from where? i know it's prorealtime engine, but i assume it's from some broker because its real time and it has indexes i don't have on my EOD version...

thanks

Re: Wave 3 impending?

salvadorveiga — Tue, 18 May 2010 10:28:44 -0000

just look at the arrows i drew ... that's all you need to check... as for the first comments just about poker and other stuff .... :)

and no not playing on caps... i started but then it was too cumbersome to open so many new positions... and then just the thought of when i had to close it all again i gave up... theres should be a button or a tick that we could choose several plays at same time and then close it all...

Re: Wave 3 impending?

salvadorveiga — Tue, 18 May 2010 04:24:54 -0000

epah essa do poker era bem mandada... ainda que n saiba jogar poker, mas alinho na mesma !!

Tenho q falar com o Midas... :)

Re: Quant Approach to Tactical Asset Allocation Updates

salvadorveiga — Sun, 16 May 2010 17:59:42 -0000

The drawdown on the slope MA on the 2000-2003 bear market was of 3% while on the Meb's 10 SMA was of -28%, this was due to the fact that the Dow Jones Industrial on that bear market was very "whipsawy

Re: Quant Approach to Tactical Asset Allocation Updates

salvadorveiga — Sun, 16 May 2010 17:49:51 -0000

if you use the same thing for the DOW JONES, it has a bigger sample of around 80 trades.

The results comply with what i posted previously on S&P.

The Meb's 10-SMA gives back 71 trades, where 36% were profitable... the average winner/average losing ratio is of 5.9 and is 64% of time on the market. It gives back 335k from an initial of 10k ....

The slope MA approach gives back 430k with 59 trades, where 50% of them were profitable and a winner/loser ratio of 6.8 ... average time on losing trades were 3 months, while average time on winning ones wass of 18.5 months

http://rt2.t.prorealtime.co...

Re: Quant Approach to Tactical Asset Allocation Updates

salvadorveiga — Sun, 16 May 2010 17:43:53 -0000

That's fairly easy to test and i actualy use it on my system.

Check here for S&P: http://rt2.t.prorealtime.co...

It outperforms by almost 50%, atlhough of course the statistical value may be of little value since it benefits from the major bull market from the 80's to 2000...

The 10-SMA from Meb gives back 22 trades, while by buying only when the slope of the MA is rising gives back 15 trades.

You can also create volatility bands above and under the MA so it takes the whipsaw a little...

Re: Quant Approach to Tactical Asset Allocation Updates

salvadorveiga — Sun, 16 May 2010 17:24:57 -0000

why not hedge against it ? it doesn't take much... if you have a 100k portfolio you can hedge nowadays that 100k with 500-1000 dollars depending on the broker... you would sell in that case 100k short of dollars in order to protect your portfolio of currency fluctuations...

Re: Genetic Love, Investor Fail, and Who is the Biggest Hedge Fund Incubator?

salvadorveiga — Sun, 16 May 2010 14:45:01 -0000

sure he did have a negative year in 2009 just much alike any other trend follower... yet he still manages to have a 22% CAGR. and a 18% CAGR for the past 10 years... it's normal to have subpar returns after homerun years such as 2007 and 2008 were for trend followers like abraham

Re: Where Have all the Sharpe Ratios (over 1) Gone?

salvadorveiga — Sun, 16 May 2010 13:38:42 -0000

it's easy to have those kind of returns when you just pump and dump based on their own alert subscribing newsletter...

Re: Let’s Talk About Professional Funds

salvadorveiga — Sun, 16 May 2010 12:28:02 -0000

my opinion is one should use the modified Sharpe ratio... since it punishes downside volatility, one should take only the semi-standard deviation of the returns, meaning only the ones that are negative or under the Rf rate...

As you say, Transtred only has a sharpe of 0.9 or so, and yet they have a CAGR of 18% with a max drawdown of 7% which is ridiculous low for a trend following strategy

Re: Victor Niedheroffer’s Review of My Paper: “A Worthless Article”

salvadorveiga — Sun, 16 May 2010 10:57:53 -0000

Ah Victor Niederhoff... He thinks it's worthless... maybe it wouldn't have been so worthless to his investors, which he has blown up 3 times already...

What good is to be able to outperform the market, if in the end you may lose 100% ?

He should look more into his risk management... I cannot conceive how these guys that blow up funds after funds, can try to discredit any other strategies that go against their views... Sigh

Re: Harvard and Yale 2009 Returns

salvadorveiga — Sun, 16 May 2010 10:20:50 -0000

because the paper uses the normal fiscal years from Jan 1st to Dec 31st, while this update on this post is from July to June... so it's just a matter of the timing measurement

Re: More Research

salvadorveiga — Sat, 15 May 2010 21:07:22 -0000

"Another idea if not too late. Using the cross momentum strategy for single country funds except only buy if trading above 200 day MA"

Quoting the previus user this is a good idea... i've been reading your blog from page 73 this past week and this strategy has crossed my mind since the beginning... joining the timing approach with the cross momentum asset rotation strategy... maybe by overweighting the top assets or something like that... what you think ?