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You
mentioned -4% return per month. Was that a typing error? I
assume you meant a positve 4%?
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Not
much required in the way of volunteering except some suggestions from time to
time as to how best to code some logic. Regarding drawdowns,
anything more than 2% peak-to-trough is outside of expectations of those
investing in the funds I manage.
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<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Tuesday, April 29, 2003 6:26
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
(More) Real World TradingChuck,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.> >
CheersSend
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