|
PureBytes Links
Trading Reference Links
|
Normally there is a an inverse relationship between SP500 and bonds.
Gold and the Swiss Franc tend to move in the same direction. So also
the Euro.
--- In amibroker@xxxxxxxxxxxxxxx, "Mr Valley" <valleymj@xxxx> wrote:
> What is the inverse correlation of SP500 vs. Swiss Franc ?
> Is it worth a look as a valid pair at times?
>
> http://www.sharelynx.net/Markets/Charts/DigisysFut.htm
>
> Just a Thought…
> Mr Valley
>
>
> -----Original Message-----
> From: epintoem [mailto:epintoem@x...]
> Sent: Tuesday, April 29, 2003 7:45 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: (More) Real World Trading (for epintoem)
>
> 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
> >
> >
> > Yahoo! Groups Sponsor
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
>
>
>
>
> Yahoo! Groups Sponsor
>
>
<http://rd.yahoo.com/M=229633.3212141.4526654.2595810/D=egroupweb/S=1705632=
1
>
98:HM/A=1556779/R=0/*http://shop.store.yahoo.com/cgi-bin/clink?ftd2+shoppin=
g
>
:dmad/M=229633.3212141.4526654.2595810/D=egroupweb/S=1705632198:HM/A=155677=
9
> /R=1/1051668534+h%20>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service
> <http://docs.yahoo.com/info/terms/> .
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get A Free Psychic Reading!
Your Online Answer To Life's Important Questions.
http://us.click.yahoo.com/cjB9SD/od7FAA/AG3JAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|