The original idea of the Phantom Trades was to take some stocks meeting Value or GARP criteria and, over time, develop some technical criteria for speculating in them individually. I think the “phantom trade” idea is moot for me now, after gaining access to better data. Having more data available, to me it makes greater sense to forward-test the “basket holding” techniques that back-test well, rather than spend time developing stock-by-stock technical speculation methods. The Value and GARP ideas are on my list, my “mix tape” quant idea is, too, as well as one new idea based almost entirely on fundamentals, and two blatant rip-offs of others’ previously-developed ideas I liked best based on a review of their risk-adjusted returns – and no, I didn’t calculate their Jenson’s Alpha! LOL.

I strongly urge anyone who is serious about speculation in individual stocks to spend some time browsing all the material available at Keelix. Many people have taken their own stab at mechanized stock investing, and we can stand on their shoulders when trying to develop out own ideas. Bookmark it, play with some code, review the dozens of existing ideas others are testing, and test a few of your own. Even “value investors” should go there! Run twelve monthly-staggered (or four quarterly-staggered) tests with holding periods of a year, and viola!, you can build your own variant of the “Magic Formula” value trading system. Go to Keelix now.

I have found an excellent resource for computerized back-testing of trading systems based on the AAII weekly database, and I am currently preoccupied. Very preoccupied. More on this as it develops, but I think it may make the “phantom trade” forward-testing obsolete (after a very short life), and may make the keeping of individual stock charts obsolete, as well. I’d still want to keep the ETF charts around, however, because that’s the only massively scale-able idea I’m playing with (other than broad market timing).

Speaking of timing, just after the VIX timing model signaled a “sell”, the market goes up big time. #$%^ VIX! As mentioned, anywhere from a 1200 to 1400 breach can be used, and my setting of 1250 was “optimal” historically – until this time. LOL! Of course, today’s closing value of 1238 would have been a sell, even if Thursday’s 1249 wasn’t. I wrote about the derivation of that VIX timing model for MarketThoughts last week, and also wrote about the VIX and timing twice before. The most recent work is an expansion and a simplification. The VIX model is only one of four intermediate term models I’m looking at (EZ Trend, Regression, and EZ Bonds+Stocks are the others), and I stayed long. Unlike “brand x,” I have full disclosure of any moves before I make them.