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To all
of you taking the time to contribute your two cents worth on this subject.... a
heartfelt thanks!
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I
eagerly await the various next chapters.
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>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: bruce1r
[mailto:brucer@xxxxxxxxx]Sent: Friday, November 14, 2003 9:55
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Trading mutual funds...I thought that I offer a
primer on FT then get to some specific trading questions. First,
let's separate the FastTrack world into four topics -1. Mutual
fund trading2. FT as a tool3. Trade4. CommunityMutual fund
trading may seem conservative to some, but it is just another class of
issues that range from conservative to aggressive. Much of FT
evolved out of agressively trading Fidelity Selects. To that end,
the FT program has alway concentrated on pair switching - trading from one
fund to another based on a buy/sell signal. Long to MM is just a
special case.FT for Windows is the current incarnation of the tool
that is bundled with the mutual fund data. FT provides "clean" data
on funds (which is no small feat) that is back adjusted for distrbutions
in a timely manner. The tool is a Windows program in architecture,
but not in look and feel. Be that as it may, the tool offers some
very unique capabilities for ranking, manipulation of user defined
families, switching, etc.Trade is a language developed Ed Gilbert
that is an impressive piece of work that is free. It is vector
programming language (like AB), but with calculations extended to
families of funds/stocks, is better described as a matrix processor.
It is very fast, and allows indicators, timing signals, and trading models
to be developed very quickly. Frankly, until AB, I hadn't found
anything close, and like Fred, I've used many of them.All of this
came together into a community of people from varied backgrounds.
They concentrated on market timing and fund selection and developed
techniques that may have lacked the rigor of academia, but JUST WORKED
! In 1997, Don Beasley catalyzed this group by developing a
"Dominant Market Theory" that focused on the Russell 2000. This
turns out to be a very useful tool for timing. Others expanded on
this idea. Don Bell, who is very prolific, has developed a myriad of
timing signals for small-cap funds, junk bonds, tech's, etc. Werner
Gansz developed the basic Russell signals and also a program called
NCALPHA that is the tool of choice for ranking funds relative to an index
based on non-correlated Alpha (which can be thought of as the stock
picking skills of the fund manager).Next - how is it used, what are
the results?--- In amibroker@xxxxxxxxxxxxxxx, "bruce1r"
<brucer@xxxx> wrote:> Chuck - I think that I might be one of the
people that Fred was > referring to in an earlier post who comes from
this FT/Trade world > and also has some experience with
Amibroker. I am "stuck" somewhere > for the next day and will
have some time to post an overview and > hopefully answer a couple of
your questions. If you bear with me, > I'll go until the board
tells me to stop. Here are the bullets -> > 1. The
FastTrack community drew a group of people together over many >
years who have done a body of very impressive work on selection and >
intermediate term timing. I've become familiar with the depth and
> excellent quality of your work, and think that you would find it at
> least interesting.> 2. The work was focused on funds,
particularly small cap's because of > their trend persistence,
Alpha, and lower volatility.> 3. Much of the work is transferrable to
stocks as Gary S. has found.> 4. There are approaches to working around
the fund trading issues as > Fred has mentioned.> 5. For
whatever its worth, I've imported/ported much of the work to >
Amibroker.> > I'm off to dinner. More later.>
> Bruce R.> Send
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