Take an antacid
tablet. Coments such as yours or mine are both either taken at face
value or rejected because nobody posts their statements. That should
make no difference as long as everybody is satisfied with what they are
doing.rgds, Pal
--- In
amibroker@xxxxxxxxxxxxxxx,
"wavemechanic" <
wd78@x...> 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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> > > >
> > > >
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> > > >
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> > > >
Your use of Yahoo! Groups is subject to the Yahoo! Terms
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> > Service.
> > >
-------Original Message-------
>
>
>
>
>
>
>
>
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>
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