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No, I like to compare the results of Warren Buffet investment
strategy with others, which is proof enough for me. This is not to
say that traders who use technical trading methods alone, are not
successful.
Each of those traders interviewd in "the Market Wizards" and "The New
Market Wizards" by Jack Schwager say that they use technical methods,
almost exclusively.
I am arguing for the case for techno-fundamental trading, especially
in stock selection (filtering) and the future implications of it for
the Amibroker software.
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
>
> 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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