|
PureBytes Links
Trading Reference Links
|
Hi DIMITRIS,
Sunday, July 4, 2004, 6:42:35 PM, you wrote:
DT> Yuki, It seems you want the first and the last trading bars of a
DT> month. If 29 is Sat, 30 is Sun and 31 is a holiday then Day()>29
DT> would make no sense...the interesting bars would be 26, 27 and
DT> 28. Dimitris Tsokakis
Basically correct. I looked at it two ways: day of the month, and
trading day of the month. Day of the month has statistical
significance. Trading day of the month had much less significance.
In fact, it had almost zero compared to day of the month. So, I'll
increase position size on any 30th or 31st, including the 27th or
higher in February, as well as any trading day up to but not past the
4th of any month. If it sets up like you outlined above, that's is
simply the way it sets up that particular month; next month will be
different. As you know, I'm a patient girl, which I think is a big
reason I'm successful. Different months will have different numbers
of 'PrimeA' days of course. But in my back testing there is no
denying the statistical significance. It *is* significant enough to
bump up the risk a bit. Not to go crazy, but to take on a little bit
more risk.
I am planning to take a deeper look at situations like you outlined
above, however. I suspect, but cannot say with any authority yet,
that what happens in these cases is that the money moves after the
1st. Traders tend to shy away from long holiday periods anyway, so
that might explain why I find little or no statistical significance
for the 27th or 28th, etc., in situations like that. Testing for
those situations where there are no trading days at the end of the
month (no PrimeA days, anyway), but only at the beginning, might be
revealing. Or it might not. ^_-
I am still playing with a PrimeB, which might include another day or
two, particularly the 5th and/or 6th where there are two weekend days
(or holidays) in 1 through 4 (as is the case this month). If I
decide to do that, I'll shrink position size a bit on non Prime
periods, and have yet a third position size for PrimeB, somewhere
between non-Prime and PrimeA. But I'm still looking into this.
This is all somewhat odd, because I just read some data on the US
regarding mutual fund shenanigans, and it pretty much said you are a
fool if you buy around the end of the month, because of mutual fund
window dressing. I've more or less always been aware of this, but my
holding period is much shorter, so maybe I take advantage of this
game if it's played in Japan, and I'm sure it is, although maybe not
to such a large extent. Interestingly, the data I was reading said
that regular buying on the 28th added something like 4 percent a year
to overall returns over many years. Again though, they are talking
about long holding periods. I cannot reproduce that with my holding
periods.
Yuki
------------------------ Yahoo! Groups Sponsor --------------------~-->
Yahoo! Domains - Claim yours for only $14.70
http://us.click.yahoo.com/Z1wmxD/DREIAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|