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Sorry, it is hard for me to digest your refutation, because you
havent disproved it yet.
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <wd78@xxxx> wrote:
>
> ----- Original Message -----
> From: Pal Anand
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, February 10, 2005 5:59 PM
> Subject: [amibroker] OT: Re: Technical Vs technofundumental
trading
>
>
>
>
> 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.
>
> Consider it refuted. I don't lose and I don't look at or use any
fundamentals.
>
> 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
> > > >
> > > > YAHOO! GROUPS SPONSOR
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of
> > Service.
> > > -------Original Message-------
>
>
>
>
>
>
>
>
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>
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