Sunday, May 20, 2007

Testing - Composite Cross Over II

In the previous post I combined linear regression slope with the cross over filter to see what would happen. Recently stockfetcher added fundamental analysis features to their filtering capabilities and I tried combining Beta with the cross over filter v6.

Beta is the amount the stocks price varies from a baseline index. If the price has more momentum than the baseline then beta is greater than 1, if it has less then the beta is less than 1.

I had always thought that high beta were better stocks to buy. And they are but only when the stock is ascending. In general though low beta stocks have the best returns. The test was simple - back test stocks where beta > 1 and where beta < 1. Here are the results.


One day I intend to run this test over a number of different periods, but for the current period these results are just fine.

I then added a line to the cross over v6 filter that said "and Beta < 1" and tested that. Then I change the line to greater than 1 and test that. Here are those results


Once again the original filter is the better filter but cross over candidates where the beta is < 1 seem to have a better ROI and 30 day net than those where the beta is greater than 1.

So that is one more way that you can look at composite results - using the results to inform between selections if you have a lot of selections on any given day.

Now I haven't tried a linear regression slope plus beta filter - maybe I will someday.

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