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Performance Update: Livermore Active Issues Index

December 30, 2009

Starting in 2010 we will be reporting the performance of the Top 10 stocks in the Livermore Active Issues Index on a weekly basis. The Livermore Index for those who are new is derived from the Nasdaq 100 stocks only in order to keep the list  focused on highly liquid and dynamic stocks. To give you the first performance update, here is how the top 10 has done since the last post on December the 18th:

Livermore Active Issues Index Top 10
(December 18 to 29th)
Google 3.9%
Liberty Media Interactive 4.7%
Intuitive Surgical 6.0%
Priceline.com 3.8%
Apple 7.0%
Vertex Pharma 2.4%
Flir Systems 9.4%
Warner Chilcott 3.6%
Direct TV Group 1.8%
Wynn Resorts -1.8%
AVERAGE 4.1%
QQQQ 3.5%
outperformance 0.55%

winning %         90%

4 Comments leave one →
  1. December 30, 2009 1:22 pm

    Hi David,

    I have a general q re backtesting I hope you can help with. It is unrelated to the Livermore Index, but I am currently testing a methodology of SP components and don’t know how to backtest given that its components constantly change. Since you had to deal with this in your own backtesting, I’d greatly appreciate it if you could tell me how you went about it.

    Thanks &
    Happy New Year!

    • david varadi permalink*
      December 30, 2009 2:32 pm

      hi t, this is a very good question and one method is to get data directly from S&P on the particular constituents each quarter. I get this resource through my affiliation with universities. This avoids any survivorship bias etc. however that said, there isn’t a huge difference if you take the current list, and the primary issue is that the 2008 negative performance is understated—however given the massive junk rally we have seen it also means that 2009 positive performance would be understated using the current vs the actual list depending on when the backtest is started.

      happy new year
      best
      dv

  2. John French permalink
    December 30, 2009 1:58 pm

    David, would it be to much to ask if you could publish the %age of the N100 stocks that are +ve for the week so that one can compare the %ages +ve easily? I know “one” could do this but I think that it will help you too (i.e. further validate the thesis).

    Happy New Year

    • david varadi permalink*
      December 30, 2009 2:26 pm

      hi john, i compiled this performance manually as my researcher is on vacation and would have to do the same for the Nasdaq so that isn’t going to happen this week!……I certainly am not trying to validate the Livermore based on one week’s worth of performance and in the future i will try to report the % positive for the QQQQ and other metrics on a side by side basis to make comparisons more valid.
      I completely agree with you on being thorough, on a side note over the last 10 years the Livermore has outperformed the rest of the Nasdaq100 by a significant margin both in performance and w% per trade and time period.

      happy new year
      dv

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