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Chuck,
At ~4% a month you are starting to get to the territory that I could
get interested, especially if dd's are very low but before I
volunteer, what direction of investigation etc. would you like to
take a joint or group development effort into ?
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> You may recall that I have been making a concerted effort to come
up with
> some system ideas using "pairs trading". I don't know how
successful any
> of you have been at coming up with systems for shorting stocks, but
I am
> extremely frustrated by the need to maintain a dollar and/or beta
neutral
> portfolio in keeping with the rules of the funds that I manage. As
a rule,
> my short trades are lucky to break even. Fortunately, my long
trades are
> quite profitable.
>
> I am going to put forth some ideas that should have been more
obvious to me
> some time ago and may already be obvious to you. Like a lot of
you, I have
> what I think are excellent systems for trading the long side. I
also have
> excellent systems for trading "pairs". My pairs trading has been
100%
> isolated from the other styles of trading that I do.
>
> My daily search for pairs to trade never really had a starting point
> (watchlist). The system takes each of the currently active stocks
(8,000+)
> and tries to find another stock to trade against it. There was no
starting
> bias. The system looks for the most highly correlated pairs of
stocks to
> trade; one long and one short.
>
> Late yesterday, I had a thought come to me to take the just the buy
signals
> generated by my best "long" system and only look for a pair to
trade against
> each of those. It's early days in the research, but it looks like
an
> exceptionally good idea. Instead of making a mediocre 1.5 to 2%
per month,
> the research suggests almost doubling that return while still
maintaining a
> dollar, beta, sector and volatility neutral stance.
>
> Any comments would be appreciated and I'd be happy to work closely
with
> anyone interested in pursuing this endeavour. AmiBroker is
definitely the
> tool of choice for this job, hence my posting to this group.
>
> Cheers
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