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<FONT face=Arial color=#0000ff
size=2>Average holding period for my typical trading is something like 20
days.
<FONT face=Arial color=#0000ff
size=2>
There
are all kinds of reasons for shorts not doing as well as longs.
Among the primary reasons is the fact that you can only make a 100% on shorts
and there is no limit on longs. The up-tick rule is a nuisance and,
you are correct, the typical down move is quick compared to the more trendier up
move.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: epintoem
[mailto:epintoem@xxxxxxxxx]Sent: Tuesday, April 29, 2003 6:41
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
(More) Real World TradingChuck,I can probably
see why the shorts counldnt be working as well as thelongs.The
nature of the market is to buy and hold. So the trend for thelong tends to
be longer than the trend for the shorts which to mewould seem to be sharp
and of a shorter duration. Shorts are tradedmostly by short term traders.
What is the average holding term you are looking at?--- In
amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"<chuck_rademacher@x>
wrote:> You may recall that I have been making a concerted effort to
come upwith> some system ideas using "pairs trading". I
don't know howsuccessful 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 betaneutral> portfolio in keeping with
the rules of the funds that I manage. Asa rule,> my short
trades are lucky to break even. Fortunately, my longtrades
are> quite profitable.> > I am going to put forth some
ideas that should have been moreobvious to me> some time ago and
may already be obvious to you. Like a lot ofyou, I
have> what I think are excellent systems for trading the long
side. Ialso 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
nostarting> bias. The system looks for the most highly
correlated pairs ofstocks to> trade; one long and one
short.> > Late yesterday, I had a thought come to me to take the
just the buysignals> generated by my best "long" system and only
look for a pair to tradeagainst> 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 stillmaintaining
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 isdefinitely the> tool of choice for this job, hence my
posting to this group.> > CheersSend
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