|
PureBytes Links
Trading Reference Links
|
Chuck,
Your "go" at it is clearly a better description then mine ...
I'm still waiting for your rebuke of my description of compounding
whether it is in terms of scaling up bet size or increasing the
number of securities potentially invested in to be virtually the same
in terms of how that affects system design, testing and optimization
in that ones aim is still to yield consistant returns and drawdowns
on a percentage basis.
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> MessageI'll have a go at defining pairs trading for you.
>
> To me, there are two different kinds of pairs trading (fundamental
and
> technical).
>
> Before I get into that, however, I'll start by telling you that
pairs
> trading is NOTHING MORE than buying one stock and shorting another.
> Usually, the dollars invested would be the same for each stock.
>
> Fundamental pairs trading would be based on YOUR INTERPRETATION of
the
> fundamentals for those two companies. If you spent the time to
review the
> annual reports for Ford and General Motors, for instance, you might
decide
> that FUNDAMENTALLY Ford should outperform General Motors over the
next six
> months. So, you would buy Ford and short General Motors. Your
trade, in
> theory, should not be affected by any move in the entire market or
even the
> automotive sector. At the end of the six-month period you would
liquidate
> both positions.
>
> Technical pairs trading is a little more complex. Again, you
would be
> buying one stock and shorting another. Most pairs traders might
only trade
> a "pair" that were in the same sector, but that isn't necessarily a
> requirement. The idea here is that you find two stocks whose
average daily
> returns move very much in unison. I won't get into the math for
determining
> this, but I'm sure you get the picture. Let's say that you
discover that
> the daily returns for Ford and General Motors almost aways move
together.
> You also observe that if the returns move apart.... they tend to
come back
> together. You also observe the maximum amount that they varied
over some
> period of time. When you see them move apart by that amount
again, you
> simply short the one with the higher returns and buy the one with
the lower
> returns. Finally, you just wait for the returns to come back
together and
> liquidate both positions. Again, the theory is that any major
move in
> the overall market has no effect on your net position.
>
> I might add that many, if not most, of the professional fund
managers using
> pairs trading haven't done very well over the last quarter,
generating
> negative returns for their investors. I've been pairs trading
for two
> years, netting just over one percent per month for investors in that
> particular fund. I can also tell you that, in my opinion, any
attempt at
> fundamental pairs trading is doomed for failure.
> -----Original Message-----
> From: dingo [mailto:dingo@x...]
> Sent: Friday, April 18, 2003 3:13 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: Dynamic Indicators Poll -- VOTE
AGAIN, PLEASE
>
>
> Could you define "pairs trading" please?
>
> Thx!
>
> d
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Friday, April 18, 2003 3:08 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Dynamic Indicators Poll -- VOTE AGAIN,
PLEASE
>
>
> Yes. I know. See my previous post, but for example I don't want
to
> have to write my own Stdev routine for variable periods where it
> would require a For loop or a script to get it done. As I've
said
> before, IMHO the best thing about AB today is it's speed and
the LAST
> thing I want to do is slow it down w/For loops if I don't have
to.
> The best thing about the future of AB is of course the support &
> potential enhancements and I'll be happy to take the latter in
> whatever order Tomasz thinks best with my own personal
preference at
> the moment being the fixing of position size transactions being
> automatically limited to total available cash followed by some
other
> aspects of portfolio trading i.e. pairs and ranking etc.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx>
> wrote:
> > Fred,
> > take a look at
> >
> > per=10+Cum(1)%20;//variable period from 10 to 29
> > StochKa=MA(100*(C-LLV(L,per))/(HHV(H,per)-LLV(L,per)),3);
> > StochDa=MA(MA(100*(C-LLV(L,per))/(HHV(H,per)-LLV
(L,per)),3),3);
> > Plot(StochDa,"",1,1);Plot(StochD(),"",4,8);
> >
> > for example.
> > DT
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx>
wrote:
> > > Tomasz,
> > >
> > > I agree completely that these are two different areas ...
to me
> > they
> > > are both important with (1) being higher priority then
(2) ...
> > >
> > > With regards to (1) and more specifically those functions
like
> ATR
> > > that require multiple arrays ... I understand and in the
case of
> > ATR
> > > I'm not sure I care if this is even dealt with as again it's
> simple
> > > enough like my example w/MACD to create ones own ATR with a
> Foreign
> > > symbol using straight AFL.
> > >
> > > In the case of a stochastic though it's clearly valid to
> calculate
> > it
> > > as
> > >
> > > 100 * (C - LLV(C, n)) / (HHV(C, n) - LLV(C, n))
> > >
> > > as opposed to using highs and lows. However here again I'm
not
> > sure
> > > I care as it's easy enough to do these in straight AFL with
n
> being
> > > time variant since HHV and LLV are already have the
capability of
> > > being time variant.
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
> > <amibroker@xxxx>
> > > wrote:
> > > > Hello,
> > > >
> > > > As I mentioned in the other post of mine there are
> > > > TWO INDEPENDENT areas:
> > > >
> > > > 1. Make input data array available for functions like RSI
> > > > 2. Make second argument (period) accept array too
(variable
> > period).
> > > >
> > > > Somehow people mix those 2 areas.
> > > >
> > > > Fred speaks that he wants all functions to cover at least
> > > > area (1).
> > > >
> > > > The posts of Mark refer to area (2).
> > > >
> > > > Let me show you example:
> > > >
> > > > RSI( period ) - this function has no input data array
(uses
> CLOSE
> > > array
> > > > indirectly) and accepts static period
> > > >
> > > > (1) RSIa( ARRAY, period ) - this function accepts input
data
> > array
> > > but accepts
> > > > only static period
> > > >
> > > > (2) RSIa( ARRAY, dynamic_period ) - this function accepts
> input
> > > data array
> > > > and accepts both static and dynamic_period.
> > > > (NOTE: Current version of AB does NOT support this
> RSIa 'flavour'
> > > yet)
> > > >
> > > >
> > > > As to (1): implementation of this is relatively easy.
> > > > There is one caveat however: many analytical functions
> > > > in fact use MORE than one input array. For example
Stochastics
> use
> > > > Close, Open and High arrays as inputs.
> > > > ATR too needs OHLC, not only close.
> > > >
> > > > As to (2): not every function is suitable for this kind of
> > > operation. Although
> > > > theoretically it is possible to rewrite every function to
> accept
> > > such 'variable
> > > > periods' the practice shows that transformations that are
> > recurrent
> > > in nature
> > > > (exponential averages for example) are
extremely 'sensitive' if
> > > parameter(s)
> > > > change to fast. A kind of "frequency modulation" effect
appears
> > > that may produce
> > > > distortions therefore one should be careful working with
> adaptive
> > > systems
> > > > using recurrency-based transformations.
> > > >
> > > > Best regards,
> > > > Tomasz Janeczko
> > > > amibroker.com
> > > > ----- Original Message -----
> > > > From: <uenal.mutlu@xxxx>
> > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > Sent: Friday, April 18, 2003 5:28 PM
> > > > Subject: Re: [amibroker] Dynamic Indicators Poll -- VOTE
AGAIN,
> > > PLEASE
> > > >
> > > >
> > > > > And IMHO also
> > > > > LINEARREG, LINREGSLOPE, TSF
> > > > > should be removed from your list. Please
> > > > > check the remaining too... Test it in AFL editor (it
will
> > inform
> > > you
> > > > > via a small hint window about the params after you type
the
> > > opening brace).
> > > > > UM
> > > > >
> > > > > ----- Original Message -----
> > > > > From: <uenal.mutlu@xxxx>
> > > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > > Sent: Friday, April 18, 2003 5:21 PM
> > > > > Subject: Re: [amibroker] Dynamic Indicators Poll -- VOTE
> AGAIN,
> > > PLEASE
> > > > >
> > > > >
> > > > > > Hi mark,
> > > > > > can you clarify BBANDBOT and BBANDTOP;
> > > > > > IMHO they both already do accept user defined
arguments
> > > > > > for all the 3 possible parameters to them.
> > > > > > UM
> > > > > >
> > > > > >
> > > > > > ----- Original Message -----
> > > > > > From: "markf2" <feierstein@xxxx>
> > > > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > > > Sent: Friday, April 18, 2003 4:03 PM
> > > > > > Subject: [amibroker] Dynamic Indicators Poll -- VOTE
AGAIN,
> > > PLEASE
> > > > > >
> > > > > >
> > > > > > > In Message 38132, Tomasz pointed out that HHV, LLV,
> > HHVBars,
> > > LLVBars,
> > > > > > > DEMA, TEMA, MA, WMA, REF, and SUM already work with
> dynamic
> > > > > > > parameters. When I updated the poll to reflect
this, ALL
> > > votes were
> > > > > > > lost so please vote again if you're still
interested, LOL.
> > > > > > >
> > > > > > > http://groups.yahoo.com/group/amibroker/surveys?
id=1071266
> > > > > > >
> > > > > > > I apologize for the confusion. The fact that the
above
> > > indicators and
> > > > > > > functions accept dynamic parameters was reflected in
> > release
> > > notes but
> > > > > > > not in the 4.30 users guide that I used to make the
> poll.
> > > The fact
> > > > > > > that so many of you voted for them shows you didn't
know
> > > either, and
> > > > > > > I've asked Tomasz to include this information in
the next
> > > > > > > documentation update.
> > > > > > >
> > > > > > > Mark
> > > > > > >
> > > > > > > "No good deed goes unpunished."
> > > > > > > --Steve Karnish
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > Send BUG REPORTS to bugs@xxxx
> > > > > Send SUGGESTIONS to suggest@xxxx
> > > > > -----------------------------------------
> > > > > 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
> > > http://docs.yahoo.com/info/terms/
> > > > >
> > > > >
> > > > >
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> 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.
>
>
> Yahoo! Groups Sponsor
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> 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.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get a FREE REFINANCE QUOTE - click here!
http://us.click.yahoo.com/2CXtTB/ca0FAA/i5gGAA/GHeqlB/TM
---------------------------------------------------------------------~->
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 http://docs.yahoo.com/info/terms/
|