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Sorry ... I don't do forum graphs as I don't do forum email
--- In amibroker@xxxxxxxxxxxxxxx, "Duke Jones, CMT" <Duke.Jones@xxxx>
wrote:
> Fred,
>
> Here is a graph of the results from 03/31/01. Pretty harsh
> drawdown but does recover nicely.
>
>
>
> Duke Jones, CMT
> HYPERLINK "http://www.dukejones.com"www.dukejones.com
> _____
>
> From: Fred [mailto:ftonetti@x...]
> Sent: Thursday, February 10, 2005 2:20 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] OT: Re: Technical Vs technofundumental
> trading
>
>
> It's too bad this study apparently ended in 2000 as it would
> have
> been interesting to see the results since then forward as
> well.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "seneca_kw"
> <seneca_kw@xxxx> 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.
> HYPERLINK
> "http://www.mta.org/awards/01/2001DowAwardb.pdf"http://www.m
> ta.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:
> > > > HYPERLINK
> "http://www.amibroker.com/"http://www.amibroker.com/
> > > >
> > > > Check group FAQ at:
> > HYPERLINK
> "http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> "http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > >
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> > > -------Original Message-------
>
>
>
>
>
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