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PureBytes Links
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I may be off the mark on this and it may not help
you but just in case you are not aware..here's some background on switching
Fidelity Select Funds. I heard Mark Pankin talk many years ago about this
approach. Has an interesting and free web site.
<A
href="">http://www.pankin.com/select/method.htm
If you navigate around you'll see copies of his
most recent talks. Seems like this organizes and approach to using AB with
ETF or other sector equities where the limits of the Fidelity organization
including the .75% or the 5 week short term constraint does/would not apply.
Joe Landry
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
Foster J.
Castner
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, March 27, 2004 9:28
PM
Subject: Re: [amibroker] Re: Sector
Trading (for Foster)
Hi b,Thanks for the info. If I can workup a
practical procedure I'll post it.Foster----- Original Message
-----From: "b" <<A
href="">b519b@xxxxxxxxx>To: <<A
href="">amibroker@xxxxxxxxxxxxxxx>Sent:
Saturday, March 27, 2004 10:40 AMSubject: Re: [amibroker] Re: Sector
Trading (for Foster)> Foster,>> Your detailed
reply is most thought-provoking.>> As for the equity feed back
problem, I think that might be> possible to do in a single AFL code
sequence - if one is> trading an ETF (or mutual fund) for each
sector.>> If one is not trading ETFs but rather is trading one's
own> portfolio of stocks from a sector, then things are a lot>
more complex because the portfolio equity curve is only> created after
the main part of the AFL code has run. In> this latter case, one would
have to rename the ~~~Equity> ticker to something like ~EC_1. Then
rerun the code for the> next sector and rename that ~~~Equity ticker to
~EC_2, and> so on for all the sectors one is interested in. Then
one> would load a new AFL that would just trade ~EC_1, ~EC_2,>
etc.>> It is important to include reasonable slippage, but
one> does not want to include slippage twice. In my mind, it>
would be best to set slippage and commissions to 0 (zero)> when
creating ~EC_1, etc. and used regular slippage when> switching between
~EC_1 and ~EC_2, etc.>> b>>> --- "Foster J.
Castner" <fcastner@xxxxxxxxxxxx> wrote:> > Rotational trading
can be based on most any measure of> > performance. To
my> > knowledge, some of the more common measures used are>
> Alpha, return,> > multiperiod returns with different weight
assignments to> > the different> > periods, relative
strength, momentum, , etc. Stops are> > sometimes
employed.> >> > The selection of the individual stocks or
funds that> > makeup the trading> > group is also
important. Vehicles with high relative> > correlations
(R> > Squared) are usually avoided for obvious reasons.
Groups> > made up of stocks> > or funds with widely
different volatilies are usually> > avoided because the> >
same set of parameters will usually not be optimum for> > all.
Sometimes this> > can be partially compensated for by dividing by
standard> > deviation or some> > other measure of
volatility.> >> > Another possible way around the problem
associated with> > greatly different> > volatilities (and
various other problems) would be to set> > up individual,>
> optimum trading systems for each vehicle in the trading> >
group and then setup> > a rotational system to trade the equity
curves for those> > individual, optimum> > trading
systems. The objective would be to stay invested> > in only
the best> > performing trading system/vehicle at any given
time.> > Unfortunately, I don't> > know how to program
that in afl. I posted a request for> > help with this>
> problem sometime ago but received no replies. I guess> >
what I need to know> > is how to use the equity curve data in a
PositionScore> > statement such as-> >> >
PositionScore = EMA(C, 9) - EMA(C, 16);> >>
> with the equity curve data replacing the C.> >> >
Foster> >>>>
__________________________________> Do you Yahoo!?> Yahoo!
Finance Tax Center - File online. File on time.> <A
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