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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Tonymac
at 06/19/17 6:57 PM : RE: RW Community

Norman
at 02/13/18 3:05 PM : RE: RW Community

Julio
at 02/11/18 8:30 AM : RE: RW Community

TopDog
at 07/25/17 12:58 PM : RE: RW Community

eliberts
at 05/11/17 10:13 PM : RE: RW Community

surabhi17
at 10/19/16 7:35 AM : RE: RW Community

KMatras
at 04/03/13 8:41 PM : RE: RW Community


Two other observations

I went back to look at a similar one stock / one week idea that I played around with about 18 mos ago.  Compound annual somewhere in the mid 40s (total, not excess, return) -- so, around 0.90% per week.  This was done with reasonably liquid issues (avg $ volume >$2mm and mkt cap top 2000).  I found that Monday open to open execution reduced that 0.90% per week down to about 0.20% per week.  Market data was from eSignal and was run through an Excel template. Also note that the 0.20% is before considering the bid/offer spread and broker comm.  In other words, the "real" return is, most likely, zero or negative.  I don't see how a strategy that includes stocks with only 1/8 of that minimum liquidity can have execution costs only amounting to 0.10%.  Just seems really odd.

Backtest results can vary quite a bit depending upon the vintage of the DBCMHIST file.  I ran the screen for the above mentioned strategy through a file from 1/2012 and another from 3/2013.  Plotting the overlapping excess returns only gave an Rsquare of .77 (really, it should be 1.00 or very close). Put another way, almost 1/6 of the companies were different. Not necessarily fatal, but is something that should be kept in mind when one is trying to use RW for very "finely tuned" strategies.


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