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Sid,
One of the things that clearly does work are at least some of the generalized principles that have been presented on FT-Talk and/or its predecessors and there is probably no reason why these types of things could not be morphed into using with stocks but the risk associated with stocks in general is that although they quite often bring higher returns they also have inherently more risk.
Any way the concepts in general that I am referring to include:
1. A simple market timing system a la RUTTR or some variant or SIMPLE replacement for that. Hardly the best system in the world but hardly the worst.
2. The ranking of trading vehicles, whether they be stocks or MF’s based on something like MAR i.e. CAR / MDD during the periods of time that your simple market timing system is on a buy or the inverse of that if you allow shorting as well. This allows for the strongest trading vehicles to be taken advantage of during buy periods and the weakest ones to be taken advantage of during sell periods.
3. The trading of or possibly even sub timing of those individual trading vehicles based on some shorter term buy / sell criteria.
The problem at the moment from an AB perspective is that I don’t believe all the pieces are in place to write the code to do this sort of analysis.
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