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Fred,
Thanks for the reply, and for sharing your insights stemming from countless hours of testing.
I'll try out your solution, and compare to switching during signals. For switching during signals, I've been using 5 max traded and 10 max ranked. I still need to optimize those numbers to see what works best for stocks.
Regards,
Gary
Fred <fctonetti@xxxxxxxxx> wrote:
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
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