I am new to the RW Community.  It seems to be relatively inactive. Moreover, it is difficult to use. For example, the latest post is not listed at the top of the page, but rather the bottom, forcing one to page down many pages to find it.  Also, I have been unsuccessful in downloading .und files posted by other members. It seems that all that I get is  a file of html source code for the web page in question rather than  the .und file.   A new issue of "Tips and Tricks" supposedly is posted every other week, but I have yet to see any new ones posted.   Any one have any tips to make this site more user friendly?

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The execution slippage seems amazingly low to me.  If I understand correctly, he is turning over 1 stock weekly (i.e., periodic turnover is approx 100%) and generating a gross compounded return of 160% per year.  That would work out to 1.85% weekly.  You are saying that only 0.10% of that return occurs on the first day of the week (Monday) with the other 1.75% backloaded into the last 4 days.  That is directly contrary to what I have found when closely examining systems like this (1 wk rebalance, approx 100% turnover).  In fact, the last time I tested a similar system by comparing the difference between theoretical executions Friday close / Friday close and "actual" executions Monday open / Monday open, the slippage on average, was around 2.00% (in other words, the +1.85% would turn into -0.15%).  The 0.10% slippage seems to be low even if just considering the bid/offer spread.  However, if you ran the numbers on where he could have actually done the trade, then so be it.

 As far as evaluating the profitability of his approach on an ongoing basis, it sounds like the drawdowns might make that tricky.  He should just keep in mnd that simply because something has worked in the past does not mean it will in the future.  I  know that is standard boilerplate, but compare a bunch of the old RW SoW in the '01-'06 period and see how they performed '07-'12 (looking at rolling cumulative excess return vs SP500 in both cases).  It was like someone flipped the off switch.  

My big concern is that he is chasing a phantom and would ultimately be better served by using RW to develop a less frenetic and well diversified / lower turnover strategy which will let him take advantage of his small size to modestly outperform (5-10%/ yr) the SP500 on an aftertax annual basis.  Sounds boring, but better than beating head against wall.

As an aside to one of the earlier posts about Zacks #1 rank performance on a weekly rebabalance, the only significant outperformance that I could find when running it through RW was with micro cap stocks with no lower volum constraint (<$300mm market cap).  Even using the lowest market cap just above the micro cap threshold and with a daily turnover > $250k, the weekly excess return since 1/07 is only about 0.15% per week -- in other words, nothing after transaction costs.  Not my opinion, just what RW outputs.  Thought you would like to know.

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