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If I were sure we were about to be in either a bear or bull market
I'd be happy to go on a buying or shorting spree respectively
irregardless of the fundamentals.
Do yourself a favor ... single out the bull and bear markets since
1970 and take random selections of say 25 - 50 stocks and see how
they do buying the beginning of bulls and shorting at the beginning
of bears.
Then over the same period of time use whatever method you want of
selecting the same number of stocks and use random timing or a
rotational method.
Then compare the results.
--- In amibroker@xxxxxxxxxxxxxxx, "Pal Anand" <palsanand@xxxx> wrote:
>
>
> Going on a Buying/Selling spree in a bull/bear market, ignoring the
> company fundamentals, one will lose, unless one learns of a better
> approach, of which I'm certain. I would be greatful, if anybody
can
> refute it.
>
> rgds, Pal
> --- 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.
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 Message-------
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