rgds, Pal
--- In
amibroker@xxxxxxxxxxxxxxx,
"seneca_kw" <
seneca_kw@x...>
wrote:
>
> Duke,
>
> Thanks for the interesting
link. I hadn't seen that study before.
> It shows that a
combination of TA and FA can be successful, but it
> doesn't quite
answer the question that I had in mind.
>
> Take the
example of a simple reversion-to-the-mean system: buy when
a
>
stock closes below the lower Bollinger Band and exit N days later.
> Does adding a fundamentals screen help? To test this, I'd
divide
> stocks into at least five categories, from the lowest-rated
> fundamentals to the highest. Then I'd test each category using
the
> same system paramenters. Ideally, the results should be
worst for
> the lowest-rated fundamentals, and should improve uniformly
and
> consistently up to the highest-rated. That would show that
using
> fundamentals adds value.
>
> But even if using
fundamentals increases the profit per trade, it
> doesn't necessarily
follow that you'd want to incorporate them into
> your system.
They may decrease the number of signals to the point
> that your
overall profits are lower even though your per-trade
profit
> is
higher. In the example system, I know that I can improve per-
>
trade profits by tightening the requirements (eg stock must close
at
> 90% of lower BB). Maybe I'm better off chucking the
fundamentals
> screen, tightening the BB requirements, and screening
the whole
> market (which is what I think the original poster was
asking).
> These are the kinds of questions that I'm interested in
investigating.
> Wayne
>
>
> --- In
amibroker@xxxxxxxxxxxxxxx, "duke.jones" <Duke.Jones@xxxx>
>
wrote:
> > 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@xxxx>
> > > 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
> > >
> > > Check AmiBroker web
page at:
> > >
http://www.amibroker.com/> >
>
> > > Check group FAQ at:
>
http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
> >
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> > -------Original
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