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<span
>What is the
inverse correlation of SP500 vs. Swiss
Franc ?
<span
>Is it
worth a look as a valid pair at times?
<span
>
<span
><a
href="">http://www.sharelynx.net/Markets/Charts/DigisysFut.htm
<span
>
<span
>Just a Thought…
<span
>Mr Valley
<span
>
<span
>
<font size=2 color=black
face=Tahoma>-----Original
Message-----
From: epintoem
[mailto:epintoem@xxxxxxxxx]
Sent: Tuesday, April 29, 2003 7:45
PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: (More)
Real World Trading (for epintoem)
<span
>
<font size=2 color=black
face="Courier New">I trade futures so I dont have the problem that you have for
trading<span
>
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@xxxx]
> 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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