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[amibroker] Re: (More) Real World Trading (for epintoem)



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I trade futures so I dont have the problem that you have for trading
shorts. I do have a couple of ideas for trading shorts. I dont have
any formula for correlating the stocks that need to be traded in pairs. 

I use trend line breaks to trade shorts.

--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> Average holding period for my typical trading is something like 20 days.
> 
> 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.
>   -----Original Message-----
>   From: epintoem [mailto:epintoem@x...]
>   Sent: Tuesday, April 29, 2003 6:41 PM
>   To: amibroker@xxxxxxxxxxxxxxx
>   Subject: [amibroker] Re: (More) Real World Trading
> 
> 
>   Chuck,
> 
>   I can probably see why the shorts counldnt be working as well as the
>   longs.
> 
>   The nature of the market is to buy and hold. So the trend for the
>   long tends to be longer than the trend for the shorts which to me
>   would seem to be sharp and of a shorter duration. Shorts are traded
>   mostly 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 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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