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Of
course it was a tilde, I can see it now. I should invest some of my
trading profits in a pair of glasses.
<SPAN
class=355063500-30042003>
<SPAN
class=355063500-30042003>Sorry.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Tuesday, April 29, 2003 8:28
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
(More) Real World Trading (for
Fred)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@xxxx]> 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>
> > Yahoo!
Groups Sponsor> > > > Send BUG REPORTS
to bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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