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The other potential plus in using stocks as opposed to MF's of course
is that one could rank most productive short candidates while RUTTR
or some other simple timing signal is on a sell. There are of course
MF's to play the short side but they are very limited.
--- In amibroker@xxxxxxxxxxxxxxx, "bruce1r" <brucer@xxxx> wrote:
>
> Fred's eloquent post drew me into this. I hope that you don't
mind.
> We are both on the FT-Talk board. Also please forgive the length
of
> this post - I thought that I'd throw a couple of things into one.
> Like all of you, my interest is primarily in trading systems that I
> can use. I have been using AB for a while, but haven't posted.
I've
> developed some tools that it is probably time to post.
>
> I agree with Fred. Amibroker is missing a couple of pieces that
the
> FT-Talk / Trade folks have had for a while and were the catalyst
for
> many of the systems developed there. The tools allowed the
> development of many innovative solutions.
>
> I thought I'd briefly mention two of them -
>
> 1. The FT world is very familiar with pair trading. This is
> relatively easy to implement in AB. If I get permission from Dave
> Serbin, I'll post a generalized pair trading system using his FUBAR
> market timing signal translated to AB. One of my reasons for doing
> the port was to use AB's facilities to examine how optimized the
> parameters were. This can be done in AB by using the Optimize
> feature to do a sensitivity analysis on the variables. I consider
it
> VERY useful.
>
> 2. As you probably know from Trade, almost all of the trading
modules
> can be implemented with the ExprFamilyTrade block. I am in the
> process of implementing this as a DLL in Amibroker. (I first tried
> an easier way as a COM object, but ran into a roadblock).
>
> I thought I'd briefly describe ExprFamilyTrade for the non-FT folks
> in order to elicit some suggestions.
>
> In Trade, there is code that can be used to do calculations much as
> in Amibroker. Trade has the concept of families, though, which can
> be operated on in one fell swoop. This effectively extends array
> math (such as in AFL) to matrix math where the rows are the
> funds/stocks, and the columns are the daily quotes.
>
> Indicators from these families, or results from trading the members
> individually, can be passed to the ExprFamilyTrade block mentioned
> above. One way to think of this block in programming terms is as
an
> object. Various properties of the object are set, and then a trade
> method is executed based on those properties. The highest
ranked "N"
> members are then traded and the composition of this "set" or
> portfolio is allowed to change over time based on constraints.
> Properties of the ExprFamilyTrade include -
>
> Family - the time varying ranking values for each member of the
family
> MMarket - Traded to based on a market timing signal. May also be a
> short fund or position.
> Positions - number of funds/stocks held at a given time
> BuyMinRank - Minimum rank required to qualify for a buy
> HoldMaxRank - Maximum rank allowed to hold. When exceeded, the
issue
> will be sold, and the highest rank issue greated than BuyMinRank
will
> be bought
> HoldMinDays - Minimum hold time
> Signal - Market timing signal that caused switch to MMarket
> StartDate -
> StopDate -
>
> There are some other parameters, but I'll skip them for the sake of
> brevity. You might notice a couple that one would consider
missing,
> and are needed -
>
> StopLoss -
> TrailingStop
> Position - a committment percentage
> Rebalance - when to rebalance the available equity among the
holdings
>
> As a final note to offer an example of the use of this, I'll
mention
> an application developed by W. Gansz called RUTTRFAMSIG. What
Werner
> did was the following -
>
> 1. Trade each member of a family based on a set of MACD, Stoch, RSI
> parameters (RUTTR). (In AB, this could be tuned for each member.)
>
> 2. Track "productivity" of each member timed with that signal.
This
> was the annualized return while on a buy, 0 while on a sell.
>
> 3. The "on buy" productivity was essentially the rank of the
> members. This was passed to an ExprFamilyTrade block which
held "N"
> funds with the parameters detailed above set to certain values such
> as hold 5 issues for a 10 day minimum replacing each one as its
rank
> fell below 10, and so on.
>
> The main thing to recognize about such a process is that it is
> effectively "walk forward testing". The historical productivity
> numbers are used to choose the issues to hold. They are then held
> for a period of time, and that return constitues the portfolio
> return. What makes this entire process work is that the time-
varying
> ranking (productivity) is available to the trading module for all
> issues. (Memory is cheap, and processing power is reasonably
> plentiful). This particular approach seems to yield some useful
> results with stock baskets.
>
> Anyway, I've gone on for way TOO LONG. My real purpose was to
> stimulate some ideas and to offer the thought that with trading
> tools, the innovative people on this board will probably come up
with
> some systems that are very useful and that will amaze us all.
>
> Bruce Robinson
>
>
> > 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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