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Wayne,
Here is a PDF from Charlie Kirkpatrick which discusses a real time portfolio using just three elements. Two of which are fundamental the third price momentum. http://www.mta.org/awards/01/2001DowAwardb.pdf
I believe fundamentals can be used to increase the probability of success (based on testing and results) but the key is how you measure success. Kirkpatrick’s strategy has continued to perform well and has consistently beaten the market but you had better be able to stomach the large drawdowns. I have a enclosed pic of real time performance since the beginning of last year of the Kirkpatrick (kirk.gif)model. As you can see relative performance is great but its a model that needs a trending market. Also enclosed is a backtest of a modified version (valuemo.gif) with more history. Better equity curve and roughly half the risk of the market but still large drawdowns.
Where I have found value is using a combination of systems with little multicollinearity. I would to love tell you its made me rich beyond my wildest dreams and that I only post here for the intellectual curiosity however, the reality is like all systems mine is a work in progress. The good news is that in aggreagte they do have an equity curve I can live with and actually trade. Since my primary job is to provide research I also like the fact that you don't hear about too many fund/tech systems so perhaps where there is no crowd there is more opportunity.
OK, I have beaten the horse dead..time to climb back into the shadows.
Duke Jones, CMT
-------Original Message-------
> From: "seneca_kw" <seneca_kw@xxxxxxxxx>
> Subject: [amibroker] OT: Re: Technical Vs technofundumental trading
> Sent: 08 Feb 2005 05:22:44
>
> Fred,
>
> You're probably right, I just haven't seen anyone put forward hard
> numbers to support it. The details of the testing would be a little
> tricky. Off the top of my head, I guess I would create a watchlist
> of stocks with top-rated fundamentals and one with bottom-rated
> fundamentals. Then I'd run various types of trading setups with each
> watchlist and see if the differences in the results were
> statistically significant.
>
> One of the problems, though, is that you would need to test over at
> least several years of data, and since fundamentals are constantly
> changing, you'd have to adjust for that somehow.
>
> Wayne
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" wrote:
> >
> > You're right ... It does SOUND good ... If you have earnings data
> for
> > a few years I suggest you test your theory of buying good
> fundamental
> > candidates on dips .vs. buying candidates based on price action
> > leading up to the dip, preferably from at least the previous dip.
> In
> > ten words or less I think you'll find that stocks with better price
> > action perform better ... Why ? because not only is everyone aware
> of
> > the published fundamentals and already factored that into current
> > price, but SOME are more aware then that and that is factored into
> > price as well.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "seneca_kw"
> wrote:
> > >
> > > To my mind, this is one of the biggest questions in trading.
> Does
> > > including fundamentals provide an additional edge? It certainly
> > > seems plausible. If you're buying pullbacks, it makes sense that
> a
> > > company with strong fundamentals is more likely to reverse to the
> > > upside than a company with weak fundamentals.
> > >
> > > The fact that something is plausible doesn't make it true. Like
> > > everything, it needs to be tested, and that's what I'd be very
> > > interested in hearing about. Even if someone doesn't have
> results
> > to
> > > share, I'd be interested in discussing ideas about HOW to do the
> > > testing.
> > >
> > > Wayne
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Claude Caruana"
> > > wrote:
> > > > Hi all,
> > > >
> > > > I am an Amibroker user for a few weeks now and I must say it is
> > > about to
> > > > turn my trading method 180%.
> > > >
> > > > I initially purchased Amibroker to be able to generate optimal
> > > signals for a
> > > > watchlist of around 100 stocks which I have selected for their
> > > fundumentals,
> > > > however I am finding that my results work much better and more
> > > consistently
> > > > on the entire stock universe (The 7000 tickers I have loaded in
> > my
> > > db) than
> > > > if I try running it on any watchlists containing less that 200
> > > tickers.
> > > >
> > > > I find that, in general, the most reliable entry signals occur
> > very
> > > > infrequently, and hence, signals are too few and far apart to
> > create
> > > > consistent results when the basis is my 100 stock watchlist. If
> I
> > > try to
> > > > "loosen the parameters" and get an optimal number of signals
> for
> > my
> > > 100
> > > > stocks, then the system will not be as reliable as the one
> > > with "tighter
> > > > parameters" scanning the entire stock universe.
> > > >
> > > > Before I ditch my fundumental approach (which quite franky has
> > yet
> > > to give
> > > > me positve results!) altogether and start using a technical-
> only
> > > system, I
> > > > would be very grateful if anybody could confirm whether my
> > > observation about
> > > > entry signals is normal, or whether I am missing something.
> > > Finally, are
> > > > there any of you out there who trade using technicals only?
> > > >
> > > > thanks for any feedback!
> > > >
> > > > Claude
>
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