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As part of my weekend homework I’ve tried to achieve the following based on
Al Thomas’s approach:
(1) Figure out a reliable course-grain mechanical market timing technique
for Mutual Fund trading;
(2) Find an optimal exit criteria
(3) Write some simple AFL simplifying fund selection.
(4) I’ve also “filtered” your list taking out the funds with $25000
initial purchase or front load funds, and compared them with Al’s list from
the last “Over the shoulder”.
The following are results:
(1) I’m not that familiar with technical indicators, therefore I failed to
get to anything worthwhile with results. But Trend line and Double
Top/Bottom or Head & Shoulder formations look very reliable. I think I’ll
start using them in combination with pitbull market crash index (
http://www.wwfn.com/crashupdate.html)
(2) ‘Pivot’-like Stop line as the max of 90% of the recent highest peak,
or 98% of the recent lowest trough seems OK, but I’d still combine it with
Double Top / Channel breakdown. See StopLine_i.afl attached
(3) Please see CompareFunds.afl attached. Use it to explore (“Explore”
option) the funds in Automatic Analysis
I think that Microsoft Money Central is much more convenient to draw a
number of funds on the same chart and compare them visually.
I’m going to open a brokerage account (I used to open account directly with
the Mutual Fund, but it’s hard to track them this way), and buy BGEIX and
SSGDX from your list – thanks for wonderful work you have performed. Your
selections seem to outperform Al Thomas’s :-)
Regards,
Dima.
-----Original Message-----
From: Dr. S. Nathan Berger [mailto:snberger@x...]
Sent: Saturday, May 19, 2001 11:17 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re; Mutual Funds
Thanks for the reply, Bill. FWIW, you know the old saying about more than
one way to skin a cat has been true since the moment some ancient genius
uttered it.
Would you care to elaborate on what you have found to be especially useful
in generating the buy and sell signals for the index funds. I have never
traded them, except for QQQ, with which I have had somewhat mixed results.
Nate
I am exhausted after reading your note ;-). FWIW, rather than worry about
the "infinite" universe of funds, I only analyze the indices. Based on
that analysis, and since most funds move in step with some index, funds
associated with an index that is on a buy (or sell for inverse funds) are
chosen based on their Morningstar, Lipper, etc. rating. For example, if
TNX gives a buy, I look for highly rated bond funds with a 10 year maturity
in the fund families of interest. Or, if NDX gives a sell, I look for
inverse NDX funds. Different way of skinning the cat, but works for me.
Bill
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<div class=3DSection1>
<p class=3DMsoNormal><span class=3DEmailStyle20><font size=3D2 color=3Dnavy=
face=3DArial><span
style=3D'font-size:10.0pt;mso-bidi-font-size:12.0pt;font-family:Arial'>Nate=
,<o:p></o:p></span></font></span></p>
<p class=3DMsoNormal><span class=3DEmailStyle20><font size=3D2 color=3Dnavy=
face=3DArial><span
style=3D'font-size:10.0pt;mso-bidi-font-size:12.0pt;font-family:Arial'><![i=
f !supportEmptyParas]> <![endif]><o:p></o:p></span></font></span></p>
<p class=3DMsoNormal><span class=3DEmailStyle20><font size=3D2 color=3Dnavy=
face=3DArial><span
style=3D'font-size:10.0pt;mso-bidi-font-size:12.0pt;font-family:Arial'>As p=
art of
my weekend homework I’ve tried to achieve the following based on Al T=
homas’s
approach:<o:p></o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.5in;text-indent:-.25in;mso-list:=
l0 level1 lfo1;
tab-stops:list .5in'><![if !supportLists]><span class=3DEmailStyle20><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'>(1)<font size=3D1 face=3D"Times New Roman"><span
style=3D'font:7.0pt "Times New Roman"'> </span></font></span></=
font></span><![endif]><span
class=3DEmailStyle20><font size=3D2 color=3Dnavy face=3DArial><span style=
=3D'font-size:
10.0pt;mso-bidi-font-size:12.0pt;font-family:Arial'>Figure out a reliable c=
ourse-grain
mechanical market timing technique for Mutual Fund trading; <o:p></o:p></sp=
an></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.5in;text-indent:-.25in;mso-list:=
l0 level1 lfo1;
tab-stops:list .5in'><![if !supportLists]><span class=3DEmailStyle20><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'>(2)<font size=3D1 face=3D"Times New Roman"><span
style=3D'font:7.0pt "Times New Roman"'> </span></font></span></=
font></span><![endif]><span
class=3DEmailStyle20><font size=3D2 color=3Dnavy face=3DArial><span style=
=3D'font-size:
10.0pt;mso-bidi-font-size:12.0pt;font-family:Arial'>Find an optimal exit
criteria<o:p></o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.5in;text-indent:-.25in;mso-list:=
l0 level1 lfo1;
tab-stops:list .5in'><![if !supportLists]><span class=3DEmailStyle20><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'>(3)<font size=3D1 face=3D"Times New Roman"><span
style=3D'font:7.0pt "Times New Roman"'> </span></font></span></=
font></span><![endif]><span
class=3DEmailStyle20><font size=3D2 color=3Dnavy face=3DArial><span style=
=3D'font-size:
10.0pt;mso-bidi-font-size:12.0pt;font-family:Arial'>Write some simple AFL
simplifying fund selection.<o:p></o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.5in;text-indent:-.25in;mso-list:=
l0 level1 lfo1;
tab-stops:list .5in'><![if !supportLists]><span class=3DEmailStyle20><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'>(4)<font size=3D1 face=3D"Times New Roman"><span
style=3D'font:7.0pt "Times New Roman"'> </span></font></span></=
font></span><![endif]><span
class=3DEmailStyle20><font size=3D2 color=3Dnavy face=3DArial><span style=
=3D'font-size:
10.0pt;mso-bidi-font-size:12.0pt;font-family:Arial'>I’ve also “=
filtered” your
list taking out the funds with $25000 initial purchase or front load funds,=
and
compared them with Al’s list from the last “Over the shoulder&#=
8221;.<o:p></o:p></span></font></span></p>
<p class=3DMsoNormal><span class=3DEmailStyle20><font size=3D2 color=3Dnavy=
face=3DArial><span
style=3D'font-size:10.0pt;mso-bidi-font-size:12.0pt;font-family:Arial'><![i=
f !supportEmptyParas]> <![endif]><o:p></o:p></span></font></span></p>
<p class=3DMsoNormal><span class=3DEmailStyle20><font size=3D2 color=3Dnavy=
face=3DArial><span
style=3D'font-size:10.0pt;mso-bidi-font-size:12.0pt;font-family:Arial'>The
following are results:<o:p></o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.5in;text-indent:-.25in;mso-list:=
l1 level1 lfo2;
tab-stops:list .5in'><![if !supportLists]><span class=3DEmailStyle20><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'>(1)<font size=3D1 face=3D"Times New Roman"><span
style=3D'font:7.0pt "Times New Roman"'> </span></font></span></=
font></span><![endif]><span
class=3DEmailStyle20><font size=3D2 color=3Dnavy face=3DArial><span style=
=3D'font-size:
10.0pt;mso-bidi-font-size:12.0pt;font-family:Arial'>I’m not that fami=
liar with
technical indicators, therefore I failed to get to anything worthwhile with
results. But Trend line and Double Top/Bottom or Head & Shoulder format=
ions
look very reliable. I think I’ll start using them in combination with=
pitbull
market crash index (<a href=3D"http://www.wwfn.com/crashupdate.html";>http:/=
/www.wwfn.com/crashupdate.html</a>)<o:p></o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.5in;text-indent:-.25in;mso-list:=
l1 level1 lfo2;
tab-stops:list .5in'><![if !supportLists]><span class=3DEmailStyle20><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'>(2)<font size=3D1 face=3D"Times New Roman"><span
style=3D'font:7.0pt "Times New Roman"'> </span></font></span></=
font></span><![endif]><span
class=3DEmailStyle20><font size=3D2 color=3Dnavy face=3DArial><span style=
=3D'font-size:
10.0pt;mso-bidi-font-size:12.0pt;font-family:Arial'>‘Pivot’-lik=
e Stop line as the
max of 90% of the recent highest peak, or 98% of the recent lowest trough s=
eems
OK, but I’d still combine it with Double Top / Channel breakdown. See=
StopLine_i.afl
attached<o:p></o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.5in;text-indent:-.25in;mso-list:=
l1 level1 lfo2;
tab-stops:list .5in'><![if !supportLists]><span class=3DEmailStyle20><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'>(3)<font size=3D1 face=3D"Times New Roman"><span
style=3D'font:7.0pt "Times New Roman"'> </span></font></span></=
font></span><![endif]><span
class=3DEmailStyle20><font size=3D2 color=3Dnavy face=3DArial><span style=
=3D'font-size:
10.0pt;mso-bidi-font-size:12.0pt;font-family:Arial'>Please see CompareFunds=
.afl
attached. Use it to explore (“Explore” option) the funds in Aut=
omatic Analysis<o:p></o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.25in'><span class=3DEmailStyle20=
><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'><![if !supportEmptyParas]> <![endif]><o:p></=
o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.25in'><span class=3DEmailStyle20=
><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'>I think that Microsoft Money Central is much more
convenient to draw a number of funds on the same chart and compare them
visually.<o:p></o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.25in'><span class=3DEmailStyle20=
><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'><![if !supportEmptyParas]> <![endif]><o:p></=
o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.25in'><span class=3DEmailStyle20=
><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'>I’m going to open a brokerage account (I us=
ed to open
account directly with the Mutual Fund, but it’s hard to track them th=
is way),
and buy BGEIX and SSGDX from your list – thanks for wonderful work yo=
u have
performed. Your selections seem to outperform Al Thomas’s </span></fo=
nt></span><span
class=3DEmailStyle20><font size=3D2 color=3Dnavy face=3DWingdings><span
style=3D'font-size:10.0pt;mso-bidi-font-size:12.0pt;font-family:Wingdings;
mso-ascii-font-family:Arial;mso-hansi-font-family:Arial;mso-char-type:symbo=
l;
mso-symbol-font-family:Wingdings'><span style=3D'mso-char-type:symbol;mso-s=
ymbol-font-family:
Wingdings'>J</span></span></font></span><span class=3DEmailStyle20><font si=
ze=3D2
color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi-font-siz=
e:12.0pt;
font-family:Arial'><o:p></o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.25in'><span class=3DEmailStyle20=
><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'><![if !supportEmptyParas]> <![endif]><o:p></=
o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.25in'><span class=3DEmailStyle20=
><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'>Regards,<o:p></o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.25in'><span class=3DEmailStyle20=
><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'>Dima.<o:p></o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.25in'><span class=3DEmailStyle20=
><font
size=3D2 color=3Dnavy face=3DArial><span style=3D'font-size:10.0pt;mso-bidi=
-font-size:
12.0pt;font-family:Arial'><![if !supportEmptyParas]> <![endif]><o:p></=
o:p></span></font></span></p>
<p class=3DMsoNormal style=3D'margin-left:.5in'><font size=3D2 color=3Dblac=
k
face=3DTahoma><span style=3D'font-size:10.0pt;font-family:Tahoma;color:blac=
k'>-----Original
Message-----<br>
<b><span style=3D'font-weight:bold'>From:</span></b> Dr. S. Nathan Berger
[mailto:snberger@x...]<br>
<b><span style=3D'font-weight:bold'>Sent:</span></b> Saturday, May 19, 2001=
11:17
AM<br>
<b><span style=3D'font-weight:bold'>To:</span></b> amibroker@xxxx=
m<br>
<b><span style=3D'font-weight:bold'>Subject:</span></b> [amibroker] Re; Mut=
ual
Funds</span></font></p>
<p class=3DMsoNormal style=3D'margin-left:.5in'><font size=3D3 face=3D"Time=
s New Roman"><span
style=3D'font-size:12.0pt'><![if !supportEmptyParas]> <![endif]><o:p><=
/o:p></span></font></p>
<p class=3DMsoNormal style=3D'margin-left:.5in'><tt><font size=3D2 color=3D=
black
face=3D"Courier New"><span style=3D'font-size:10.0pt;font-family:"Courier N=
ew";
color:black'>Thanks for the reply, Bill. FWIW, you know the old saying abou=
t
more than</span></font></tt><font size=3D2 color=3Dblack face=3D"Courier Ne=
w"><span
style=3D'font-size:10.0pt;font-family:"Courier New";mso-fareast-font-family=
:"Courier New";
color:black'><br>
<tt>one way to skin a cat has been true since the moment some ancient geniu=
s</tt><br>
<tt>uttered it.</tt><br>
<br>
<tt>Would you care to elaborate on what you have found to be especially use=
ful</tt><br>
<tt>in generating the buy and sell signals for the index funds. I have neve=
r</tt><br>
<tt>traded them, except for QQQ, with which I have had somewhat mixed resul=
ts.</tt><br>
<br>
<tt>Nate</tt><br>
<br>
<br>
<tt>I am exhausted after reading your note ;-). FWIW, rather than wor=
ry
about</tt><br>
<tt>the "infinite" universe of funds, I only analyze the
indices. Based on</tt><br>
<tt>that analysis, and since most funds move in step with some index, funds=
</tt><br>
<tt>associated with an index that is on a buy (or sell for inverse funds) a=
re</tt><br>
<tt>chosen based on their Morningstar, Lipper, etc. rating. For examp=
le,
if</tt><br>
<tt>TNX gives a buy, I look for highly rated bond funds with a 10 year matu=
rity</tt><br>
<tt>in the fund families of interest. Or, if NDX gives a sell, I look=
for</tt><br>
<tt>inverse NDX funds. Different way of skinning the cat, but works f=
or
me.</tt><br>
<tt> </tt><br>
<tt>Bill</tt><br>
<br>
</span></font><font color=3Dblack><span style=3D'color:black'><br style=3D'=
mso-special-character:
line-break'>
<![if !supportLineBreakNewLine]><br style=3D'mso-special-character:line-bre=
ak'>
<![endif]></span></font><font color=3Dblack><span style=3D'color:black;mso-=
color-alt:
windowtext'><o:p></o:p></span></font></p>
</span></font><tt><font size=3D2 color=3Dblack
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