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Bruce - Thanks,that's what I needed with the phome
message I left for you. Sorry missed your call the other day.
On Ron, I had a senior momen! I
had forgotten about his approach but do remember his being at HIA and
HAL PC. I worked
on duplicating his ranking formula with AB for a
while.
JOE
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
bruce1r
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, March 30, 2004 1:25
AM
Subject: [amibroker] Re: Sector Trading
(Pankin and Yurconis Approaches)
Joe -Was checking in while in Dallas and saw your
note. I thought that you might also point them at Ron Rowland at the
link below. <A
href="">http://www.allstarinvestor.com/ASFT/welcome.aspHe
has a long history tracked by Hulbert and a fair amount of information on
methodology on his site.<A
href="">http://www.allstarinvestor.com/help/UG_Tools.aspHis
12/90 - 1/04 ANN was reported at 22.9%. I'm not defending him, but
there are some things to keep in mind when comparing him or Pankin to the
theoretical back results of ManageMyFunds. Rowland and Pankin traded
Fidelity Selects with the .75% short term trading ding, and the 3%
front-end load. Plus, Fidelity Selects are terrible performers
relative to the underlying sector indices. Without the 3% issue
anymore, Rowland can update his strategy to include other ETF's and funds,
including short funds. We'll have to ask him the next time he talks
in Houston.-- Bruce--- In amibroker@xxxxxxxxxxxxxxx, "Joe
Landry" <jelandry@xxxx> wrote:> B and Dingo - Glad you followed
up on Mark Pankin's site. I heard him speak in Houston
in 1996 or 97 and still have an Excel sheet that I used for a whiile. His
talks were just as straight forward as the content of his web site
indicates. Must come from being a good teacher. >
> Thanks for the managemyfunds site. Will check it out.>
> When you look at the return curves you've got to remember the
trading strategy was done with a once a week sampling of the price..
The price of the select fund was recorded as of close Friday and the
rankings were done and decisions were made for Monday. The
parameters now are proprietary but at the time a 3 week and a 8 week
rankings was applied, there was a 5 week hold period to avoid the .75%
hickey that Fidelity would impose, but he says that on average his
research shows the fund hold time should be 5 weeks even if no penalty was
imposed. > 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. > > ---
Original Message ----- > From: b > To:
amibroker@xxxxxxxxxxxxxxx > Sent: Monday, March 29, 2004
12:19 PM> Subject: Re: [amibroker] Re: Sector Trading
(Pankin and Yurconis Approaches)> > >
Joe,> > Thanks for the URL to an interesting site.
Pankin seems> like a level headed guy. His material is so
clearly> presented and free from mathematical detail I
never would> have guessed he has a Ph.D. in
mathemetics.> > As for his sector rotation model,
the results appear to> average about 8% above his benchmark
(about 18%/year vs> 10%/year for the S&P). However I do
not like to see two> back to back yearly losses of over 20%
each (2001 and> 2002). That is a drawdown of over
40%.> > Hopefully we can use AB to develop something
with a better> profit and drawdown profile. For example,
Dennis Yurconis> has a method with a much smoother equity
curve achieved by> using 2 distinct methods of sector
rotation - a momentum> based method and a breakout method.
Here is the URL> performance charts for these sector
methods.> > <A
href="">http://www.managemyfunds.com/sector_performance.htm]>
> b> > --- Joe Landry
<jelandry@xxxx> wrote:> > 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 > > >
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