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Chuck,
Sorry for the confusion ... That was a tilde " ~ " in front of the 4%
not a minus sign ... as in about 4%.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> You mentioned -4% return per month. Was that a typing error? I
assume you
> meant a positve 4%?
>
> 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.
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Tuesday, April 29, 2003 6:26 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: (More) Real World Trading
>
>
> 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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