|
PureBytes Links
Trading Reference Links
|
<FONT face=Arial color=#0000ff
size=2>Oops... I didn't mention market timing.
<FONT face=Arial color=#0000ff
size=2>
MOST
of my systems do not use market timing since MOST of my funds are required to be
either "dollar" or "beta" neutral. So, I need to be (more or less)
equally long and short at all times in those funds. Timing is not an
issue for those funds.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>However, I do have funds that are exclusively based on market
timing. I can tell you that I MOSTLY use the Russell 2000 for that
timing purposes. Not because there is some logical reason for doing
so. The Russell just seems to work best with my systems.
As to how the Russell 2000 is used for timing... just about anything works
well. Either a dual-EMA crossover or a simple "direction of single
EMA". Sometimes I use one index for entering and either one of two
for exiting.
<FONT face=Arial color=#0000ff
size=2>
I also
didn't mention "pairs" trading. I've been working on this for a couple of
years without much success due to extensive processing time required.
AmiBroker is going to make it much easier to develop and test pairs trading
systems and I'm happy to work with anyone interested in developing something
that will work. I have to tell you that funds specialising in pairs
trading have not done well (on average) over recent months. So, who
am I to think that I can do something that they are not able to do?
I am in daily contact with several hedge fund managers who are concentrating on
this aspect of neutral trading. It's on the back burner (for
me) at the moment, but always a thought or two given to it every
day.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Monday, April 14, 2003 4:05
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Real-world trading (specifics for
Fred)Chuck,Thanks for the thorough
reply. You more or less confirmed in a general way the areas in
which I thought you'd be concentrated. I of course was not looking
for a piece of AFL but rather what your philosophical approach was more or
less to market timing and stock selection.Fred--- In
amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher" <chuck_rademacher@x>
wrote:> Fred,> > I really hate to sound coy about my
systems, as I know the various ways that> such a response can be
interpreted. However, I am trading several hedge> funds
using my systems and it would be a disservice to my clients to
divulge> my exact methods. Having said that, I will try to
answer your questions.> > Let me start by telling you what I
don't use. I'm not looking for a debate> here, but I've
tried all of these things and I cannot get value from them.>
Indicators such as Stochastics, DMI, ADX, RSI, CCI, etc. have proven to
be> useless to me, over 40 years of trading. I know many of
the members in> this group use some or all of those things and many
people use them> successfully. I have not been able to do
so. I've spent a month trading> with George Lane
(inventor of stochastics), for instance, and I've written> hundreds
of systems that use stochastics in various forms to no avail.
I've> spent time with Don Lambert (creator of CCI) and couldn't find
value in that> indicator either. I have every book and
article written about DMI, ADX,> RSI and have a disk folder full of
discarded systems using those indicators.> > I have to tell
you (if you already aren't aware) that I approach system>
development quite differently from most people. Of course, that
could very> well mean that I'm doing it "wrong". I
endeavour to create system(s) that> work across all stocks at all
times. Many system developers create a> system, using
stochastics for instance, and then apply that system to stocks>
that have worked well with that system in the past. If that
approach works> for others, fine. I'm of the opinion
that a stock that has worked well> with stochastics for the last 27
years could stop doing so tomorrow. I> have
stochastic systems, for instance, that work extremely well if I
decide> which stocks to feed them. So, it's not that I am
unable to develop> systems that use these indicators.
As you are aware, such systems are easy> to write and
test. I feel that is equally easy to fool yourself
into> believing that they will work in the future.> >
As to what I do use... this is a bit more difficult for me to
discuss. I> can tell you that my systems are aware of
where the current price is in> relationship to some moving
average. My systems look at (something similar> to) the
Sharpe ratio of returns over the recent past and the slope of a>
linear regression line and/or momentum. Other functions you will
find> being heavily used in my systems include things like standard
deviation and> standard error (both based on the
close). Another hint for you would be> best
stated in a question: "Who says that standard deviation can only
be> useful in powers of two?". Many of my systems
that use standard> deviation, in some form, use powers of three, four
and even seven when> calculating standard deviation. I
guess a mathematician would say that> using a power other then two
makes it non standard. That's exactly why I> call the
function "NonStandardDeviation".> > Relative strength (not RSI)
is also a powerful tool that I use extensively.> I've done over 15
years of research using relative strength in conjunction> with two
very large ($300 billion) hedge funds in the States. One of
the> hedge funds I manage uses only a relative strength approach while
always> being beta neutral. I use a method similar to that
used by IBD, but IBD> hasn't changed their methodology (IMO) for
too many years. It's basically> a multi-period relative
strength, weighting each lookback period> differently. I
can give you another clue here that took many years for me> to
discover. However you weight the various lookback periods,
performance> can be increased by treating the most recent period
negatively. The idea> being that a recent, strong,
positive relative strength can very well mean a> pull-back is in
order.> > That's all I can tell you, at least in this group
forum. I am very happy> to share concepts and I may, in
the process, tell you enough about what I'm> doing for you to
replicate it. I'm sorry that I cannot simply give
you> AFL code and I'm sorry if that sounds like I am building up my
systems to be> the grail. They are not the grail,
but they do produce proven,> consistent, non-spectacular,
returns.> > Cheers> -----Original
Message-----> From: Fred
[mailto:fctonetti@xxxx]> Sent: Sunday, April 13, 2003 5:08
PM> To: amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] Re: Real-world trading (specifics)> >
> Chuck,> > You have filled
things out somewhat, but I guess what I was asking> more
specifically was:> > 1. What other kinds of
qualifiers do you use to decide how to limit> the
universe of stocks that you'll even consider some signal
for> today ?> > and ...>
> 2. Does the system you use employ some sort of
pattern matching> (Raschke's "grail" i.e ADX +/- DMI etc.
plus a pullback etc. would be> an example of this sort
of thing) or is it something that is more> trend of
momentum oriented (MACD, Stochastic, Linear Regression
would> be examples of this sort of thing)>
> TIA, Fred> > --- In
amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher">
<chuck_rademacher@x> wrote:> > Re: Real-world
tradingThanks, Fred Tonetti, for the comments. I>
will> > endeavour to answer your questions without
"giving away the farm".> >> >
First, I have to tell you that I think my approach is
different> from MOST of> > the people
in this group. Of course, that could mean that most
of> the> > others have it
right!> >> > I would NEVER
optimize for a different set of parameters for each>
stock.> > I'm of the opinion that MSFT can start looking
like IBM tomorrow.> AOL can> >
take on the look and feel of INTC next week. So, I want to
have> one set of> > parameters
that works on ALL stocks over at least six years of
data> > (preferably ten to twelve). I
end up with a set of parameters> that
works> > over 13,000+ stocks (active and extinct) times
however many days> those> > stocks
have traded. The number of trades can be between
15,000> and 50,000> > and gives me
some feeling that the system(s) will be robust in the>
future.> >> > The next area I seem
to treat differently than most as well. I>
trade fixed> > size positions all the time. My
backtesting and realtime trading> is
always> > based on fixed position size. If I
have cash, I will take as many>
trades> > as I can take. If I don't have enough
cash to take every trade, I> will
sort> > the orders by "something". If I'm
not getting enough signals to> use all
my> > cash, I will gradually increase the bet
size. AB lends itself to>
this> > approach, although I would like to see it more
automated. I'll> give an> >
example:> >> > Let's say I'm
sitting on $100,000 cash, or will be after I close> out
some> > positions tomorrow. If I'm trading
$10,000 per transaction,> obviously I>
> have enough cash to take ten new positions. My system
may> generate 100> > orders for
tomorrow. I will add a column to my exploration
so> that I can> > sort by it (or at
least look at it). For simplicity, let's say>
that I know> > that my system works better on low price
stocks; the lower the> better.> >
That's almost too easy, but I could sort my buy orders by
closing> price and> > take the
first ten. Obviously, I would have had to backtest
this> premise> > before trading
in realtime.> >> > I sort by
whatever I have found (via backtesting) gives me the
best> results.> > Since I have
other information in my data (fundamentals, etc.), I>
can sort> > by just about anything you can
imagine.> >> > You quoted me as
saying that I use volume * price as one of my>
filters. I> > use something between a
ten-day and fifty-day average volume times>
the> > (actual) closing price to give me the
turnover. If I'm trading> $10,000,
I> > want the turnover to be at least
$200,000. That's not a science,> just
a> > judgemental ratio of my order size to the average
turnover in order> to get> > an
easy fill (in and out).> >> > I
hope I have answered your questions. If not, hit me
again.> > -----Original
Message-----> > From: Fred Tonetti
[mailto:ftonetti@xxxx]> > Sent: Sunday,
April 13, 2003 4:22 PM> > To:
amibroker@xxxxxxxxxxxxxxx> > Subject:
[amibroker] Re: Real-world trading>
>> >> >
Chuck,> >> > I can
tell from messages that you've posted in the past that
you> are> > thorough in your
testing ...> >> >
Without giving away the farm as it were I am interested in
the> kinds of> > systems you develop
and trade, do they in general look for certain> kinds
of> > conditions like for example a Raschke "grail" set
up or do they> more belong> > to the
timing of things with in the larger trend or ?>
>> > I think you are far beyond most here
or at least me in terms of> how you
go> > about selecting stocks to trade beyond whether or
not they match> some> > pattern in a
generalized way. I've heard you speak of volume >
X> etc., but> > I think most here
or at least I would benefit from any and all>
information> > you'd be willing to share about how you
pare down 10,000 tradable> issues>
> into something more manageable on a real time basis.>
>> > Regards, Fred>
>> >>
> Yahoo! Groups
Sponsor>
>
ADVERTISEMENT> >>
>> >> >>
> Send BUG REPORTS to bugs@xxxx>
> Send SUGGESTIONS to suggest@xxxx>
> ----------------------------------------->
> Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx> > (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
>
-------------------------------------------->
> Check group FAQ at:> > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
>> > Your use of Yahoo! Groups is subject
to the Yahoo! Terms of> Service.> >
> Yahoo! Groups
Sponsor>
ADVERTISEMENT> > > > > Send BUG
REPORTS to bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
-----------------------------------------> Post
AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
--------------------------------------------> Check group
FAQ at:> <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms
of Service.Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|