|
PureBytes Links
Trading Reference Links
|
Duke,
Thank you. That's exactly what I was talking about. If it's not too
much trouble, would you mind forwarding those to my email address?
(I'm not on email distribution - if not, no big deal - I'll pick it
up when the email archives are issued)
Wayne
--- In amibroker@xxxxxxxxxxxxxxx, "Duke Jones, CMT" <Duke.Jones@xxxx>
wrote:
> Wayne,
>
> The process you mentioned is a good exercise to test your
> hypothesis. I can only relay from my tests that the
> fundamentals are not linear in their performance curve
> meaning the worst will not always be the worst performing.
> My best guess is part of that is system related and part of
> that is market related (short covering etc.)
>
> Here is a simulation report of a linear regression system
> (run dates 04/01/01-2/09/05 ) which is a good proxy for your
> reversion example. The candidates are selected from a pool
> of securities that are screened each month for EPS Rank, RS
> Rank and a few other fundamental factors. Once screened the
> securities are traded strictly from a technical perspective.
> The second list is the S&P 500 and you can see the
> performance drops quite a bit. The good news is that you can
> increase your probability of success using fundamental
> factors in your screening so it's an area I would continue
> to explore in your research.
>
> The bad news is that in real time trading the system results
> are not quite that good, but still very respectable versus
> the risk that is taken. :-)
>
> Sorry for the Wealth-script example Tomasz but I am still
> working on porting to Amibroker. :-)
>
> Duke Jones, CMT
>
> _____
>
> From: seneca_kw [mailto:seneca_kw@x...]
> Sent: Thursday, February 10, 2005 1:54 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] OT: Re: Technical Vs technofundumental
> trading
>
>
> 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
> > >
> > > YAHOO! GROUPS SPONSOR
> > >
> > > ADVERTISEMENT
> > >
> > > -------------------------
> > > YAHOO! GROUPS LINKS
> > >
> > > To visit your group on the web, go to:
> > > HYPERLINK
> "http://groups.yahoo.com/group/amibroker/"http://groups.yaho
> o.com/group/amibroker/
> > > To unsubscribe from this group, send an email to:
> > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > > Your use of Yahoo! Groups is subject to the Yahoo!
> Terms of
> Service.
> > -------Original Message-------
>
>
>
>
>
> 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
>
>
>
>
>
>
> Yahoo! Groups Sponsor
>
>
> ADVERTISEMENT
> HYPERLINK
> "http://us.ard.yahoo.com/SIG=129p7dcb8/M=298184.6018725.7038
> 619.3001176/D=groups/S=1705632198:HM/EXP=1108151675/A=253211
> 4/R=2/SIG=12kfl48ja/*http:/clk.atdmt.com/NFX/go/yhxxxnfx0020
> 000014nfx/direct/01/&time=1108065275625897" \n
>
> HYPERLINK
> "http://view.atdmt.com/NFX/view/yhxxxnfx0020000014nfx/direct
> /01/&time=1108065275625897"
>
> HYPERLINK
> "http://us.adserver.yahoo.com/l?M=298184.6018725.7038619.300
> 1176/D=groups/S=:HM/A=2532114/rand=142030644"
>
> _____
>
> Yahoo! Groups Links
> * To visit your group on the web, go to:
> HYPERLINK
> "http://groups.yahoo.com/group/amibroker/"http://groups.yaho
> o.com/group/amibroker/
>
> * To unsubscribe from this group, send an email to:
> HYPERLINK
> "mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubs
> cribe"amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> * Your use of Yahoo! Groups is subject to the
> HYPERLINK "http://docs.yahoo.com/info/terms/"Yahoo! Terms of
> Service.
>
> --
> No virus found in this incoming message.
> Checked by AVG Anti-Virus.
> Version: 7.0.300 / Virus Database: 265.8.7 - Release Date:
> 2/10/2005
>
>
> --
> No virus found in this outgoing message.
> Checked by AVG Anti-Virus.
> Version: 7.0.300 / Virus Database: 265.8.7 - Release Date:
> 2/10/2005
------------------------ Yahoo! Groups Sponsor --------------------~-->
Has someone you know been affected by illness or disease?
Network for Good is THE place to support health awareness efforts!
http://us.click.yahoo.com/Rcy2bD/UOnJAA/cosFAA/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/
|