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Hi John,
Thanks for the kind comments. The idea behind the presentation is that timing and selection should be viewed separately so that the results of one don't cloud the other, and then bring the two together in a synergistic fashion. More importantly, selection is value-added to a solid timing methodology.
In other words, we want a selection method that matches our timing signal. When we are trading short-term, swing-trading systems for example, we would want as much beta as we can stand to maximize returns over the period. Clearly there are other selection methods for short-term systems.
An example in the mutual fund world is the RUTVOL signal which is an intermediate term signal. Consequently, we'd want a selection method that matches that holding period. A good example is Werner Gansz' ncAlpha which essentially is telling you how well-behaved the price action is over a given period. UPI is another interesting selection method for int-term systems.
If this isn't too much info, then you could blend the two where you have a short term selection method on day of entry, but change your ranking method as the trade develops.
As many have written on this board, AmiBroker is limited only by what your imagination can produce. All of the above discoveries have only come about since my use of AB.
Hope this helps,
Gary
john gibb <jgibb1@xxxxxxxxxxxxx> wrote:
nice presentation, Gary!
Can you clarify or elaborate on the beta-volatility relationship you imply here (i hope I have quoted you accurately)?
"...beta (for selection) is more of a swing-term-selection methodology (where you are just trading pure volatility off of biotech)..."
thanks,
john
----- Original Message -----
From: Gary A. Serkhoshian
To: amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, November 13, 2003 7:32 AM
Subject: [amibroker] Portfolio Trading Presentation
Hi all,
I gave a presentation on Portfolio Trading up in scenic Buffalo, Texas a few weeks ago, and Bruce Robinson was kind enough to capture it as a screen cam. Should be helpful for those still confused about portfolio trading, and for those more experienced it'll provide a new perspective. Give it a look.
The presentation I'll give at the February AmiBroker conference in Clearwater will go into much more depth with plenty of examples and practical application. The talk in Buffalo was only slotted for an hour, and fortunately I will have substantially more time in Clearwater in order to really dig in to portfolio trading.
Should be good fun and great learning. As if you needed another reason to be in Florida during the Winter (not to forget our friends down-under who'll be sweltering in the Summer heat : ) .
Here's the link to the site:
www.omniphase.com/gary
username: guest
password: hollywood
The file is not small (67MB), and is a camtasia screen cam movie packaged with a player. Just double-click, it'll unpack, and play. I know your Mother told you to never click on .exe files off the web, but I can assure you it is safe !! : ) Dingo will club me over the head if it isn't : )
Hope it helps, and thanks to all the contributors who make this board a constant source of new learning.
Kind Regards,
Gary
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