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B:
I'm going to do a search for old notes in my desk
top computer and see. I'm also going to review the PPT presentation he has
on his site to see if I can
reconstruct the approach. Here's one
possibility 1) the 3 weeks ranking gives you position score. Pick the
top ranked fund to start a track, ranking once a week.
I don't remember about the 8 weeks but I think it's
the period for selling. It could be a "no worse than" ranking at the 8
week time frame, similiar to the strategies used in FastTrack and TRADE
community. The minimum hold time is 5 weeks, will save you from
whipsaws.
Note in his material he talks about multiple
tracks,or multiple positions in Select funds, phasing them in over
time (time averaging as the brokers call it). In an AB strategy the
number of positions would increase over time (one new position every 3 weeks)
until the basket grows to 10? Too many! You might as well own just one
market index fund.
Later he says the optimal number of
positions for reduced volatility with satisfactory returns are 2-3.
More positions, lower volatility but lower returns.
Looks like the beginning of the
specs for an AB program! Hmm! I'm considering subscribing to
the Manage My Funds newsletter to see what's up. Of course it might be more fun
to follow MMF's advice rather than trying to code my own strategy. He's
doing all the work including a hedging strategy. ETF
positions would be easier to deal with.
Best regards
JOE
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
b
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, March 30, 2004 1:52
AM
Subject: Re: [amibroker] Re: Sector
Trading (Pankin Approach)
Joe,How did the 3 and 8 week rankings interact? Did
the onemultiple or add the results of the two? Or was one a filterand
the other the ranking score?b--- Joe Landry <<A
href="">jelandry@xxxxxxxxxxxxx>
wrote:> ..... The parameters now are> proprietary but at
the time a 3 week and a 8 week> rankings was applied, ....
> As far as the 3-8 week, the times "they have a changed"> since
1996 as far as volatility and Fidelity Select Fund> performance
goes. > > Joe L.
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