|
PureBytes Links
Trading Reference Links
|
Gary,
My own personal testing seems to show that the best picks are as you
say what show up as top ranked at the beginning of any general market
buy. It is simple enough and fairly effective when using something
like NCAlpha to rank coupled with a RUTTR buy signal to DISALLOW
swaps following initial buys. If you are trading stocks you'll also
save of slippage.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Gary A. Serkhoshian"
<serkhoshian777@xxxx> wrote:
>
> Chuck hit the nail on the head with his recommendation to read the
Columbine Capital's material !!
>
> I'll have to re-read the docs they have avail on the site a few
more times to allow it to sink in, but Columbine Alpha.pdf really got
me thinking. Specifically, here's the quote that was the catalyst
behind this e-mail :
>
> "At the beginning of every month we measure each stock's
attractiveness with the
>
> Columbine Alpha and rank-order all the issues into deciles (equal
10% groupings).
>
> Stocks in the top 10% (ranked 1) are most likely to outperform the
market, and
>
> those in the bottom 10% (ranked 10) are most likely to
underperform."
>
> With Frank's PT, we can score and rank, but sometimes I find that
with daily rankings (I'm currently playing around with Werner Gansz'
ncAlpha) the pickings get to be of a relative lower quality.
However, it is difficult to easily quantify what this quality
threshold is as the market cycles through various periods.
>
> This idea is, instead of trading out of my existing stock if it
falls out of the top 10 scored to a "better" top 10 stock, I can
trade out it if falls out of the monthly (or whatever historical
period) top 10% and move the money either to a top 10% stock or if
there aren't any go to cash. Sometimes the top 10 at any one time
can be below the historical top 10% threshold, and this is the issue
I'm trying to address (a bit too wordy I'm afraid).
>
> So, my question is - is it possible in AB to calc percentile
rankings on some historical period, save those values on a go-forward
basis and use them as a threshold to determine when to "trade-up" to
something better or go to cash if no alternatives exist.
>
> Hope this is clear. I am realtively new to all this. So, please
be patient if I'm asking some questions that have painfully obvious
answers.
>
> Regards,
>
> Gary
>
>
>
>
>
> ---------------------------------
> Do you Yahoo!?
> Yahoo! SiteBuilder - Free, easy-to-use web site design software
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for Your HP, Epson, Canon or Lexmark
Printer at Myinks.com. Free s/h on orders $50 or more to the US & Canada. http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/l.m7sD/LIdGAA/qnsNAA/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/
|