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i've been working on a sector rotation system for a couple of years
now (on and off, not straight thru!). there are a lot of ideas to
rank sectors, find momentum and so on. up here in canada there is
even a mutual fund that ranks ETFs for momentum. they have observed
that momentum of 12 month ROC persists. search for "tactonics" to see
more. i think there was an article in TASC a while back that used
Fidelity Select funds in a sector strategy. there are minor problem
with the strategies. in the case of ranking individual stocks,
volatility is not normalized, adding significant noise to the
distribution of results. where ETFs or similar are used, market cap
adds noise. i will be presenting my method at an upcoming Toronto
TASUG meeting and will post to the "past presentaions" section.
should be there sometime this friday. amibroker was a must in my
study, so hats off to TJ.
http://toronto.tasug.com
/jeff
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> All,
>
> I just picked up an interesting article that lends itself to the
threads of
> last week regarding using one set of data to influence another set.
I posted
> the PDF to the file section. Those interested in Sector rotation may
find it
> of interest. It is geared towards Metastock users and the last part
of the
> article is an ad but for some it may be an interesting read.
>
> The concept lends itself to Amibroker since we have the ability to
easily
> create custom sector indexes. For those interested in Sector
Rotation read
> on, if not hit delete..........
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