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That is my whole point. I don't have to when I combine TA with
Fundamental Analysis (FA). This thread has gone long enough. I'm
afraid that folks may be getting tired of this. I'm.
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
>
> It's not likely you have any where near the same information
sources
> for fundamentals the WB has.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Pal Anand" <palsanand@xxxx>
wrote:
> >
> >
> > 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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