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[amibroker] Re: AFL Code Question



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<FONT face=Arial 
color=#0000ff size=2>Nice post, b!!
<FONT face=Arial 
color=#0000ff size=2> 
<FONT face=Arial 
color=#0000ff size=2>Thanks!
<FONT face=Arial 
color=#0000ff size=2> 
<FONT face=Arial 
color=#0000ff size=2>d

  
  
  From: b [mailto:b519b@xxxxxxxxx] 
  Sent: Tuesday, March 30, 2004 10:26 AMTo: 
  amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Re: Sector 
  Trading (Yurconis Approach)
  Joe:Thanks for the explaination about the Pankin 
  numbers from afew years ago. It makes sense for something like 3 weeks 
  tobe used for ranking and 8 weeks to be used as areevaluation 
  point.A couple weeks ago I signed up for ManageMyFunds(Yurconis)on 
  a month by month basis ($25/month) to see whatit is like. That gives 
  me:1. The timing signals page. Any changes in timing signalsare 
  also sent by email so one does not have to login eachday, but this page 
  also gives background with chart infoand commentary for each signal. In 
  addition to the 2 sectorrotation methods, signals are also provided for 
  trading theS&P, the Nasdaq, gold, bonds. The S&P and Nasdaq 
  signalscan be either long or short. The sector methods generallyswitch 
  from one sector to another (always long, nevershort) although the 
  conservative sector strategy can be incash at times. Of course, I can not 
  reveal what the stateof each signal is right now.2. A "Newsletter" 
  page that looks like it comes out once amonth (the current copy is dated 
  March 4). 3. A "News and Updates" page in which has 1-3 
  paragraphcomments on various items including research into 
  newmethods.NOTES and FIRST IMPRESSIONS: It appears that 
  the first two lines of the signals page isupdated each day (generally 
  stating no signal change forthat day). Once a week new charts and 
  commentary areprovided for each signal. Older charts seem to stay 
  untilreplaced by new one - so one needs to check the last dateon the 
  chart to see how many days old it and the relatedcommentary is.The 
  service appears to be in the start up stage. I appreciate the 
  attention to Money Management that appearsto be behind each of the 
  methods. A smooth equity curve anda profitable one are priorities. 
  The S&P and Nasdaq methods are presented as leveragedmethods 
  in the performance info, and in the Rydex orProfunds recommended. Of 
  course one could trade the signalsin a non-leveraged way. The sector 
  rotation methods do notappear to be leveraged. If one follows his 
  illustratedmethod of combining the sector and S&P methods (the 
  S&Pmethod acts like a "hedge" when it is in the short mode),the 
  total leverage would be about 130% (if 100% is nonleveraged). 
  b--- Joe Landry <jelandry@xxxxxxxxxxxxx> wrote:> 
  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 >   
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