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Brian
Did you see the dates for the correlation
matrix? Data is from Jan 1,1987 to Sept 30,2001. Perhaps this was
done some years ago and hasn't been updated.
Dave
----- Original Message -----
Sent: Thursday, March 09, 2006 10:47
PM
Subject: [amibroker] Re: Short system
advice?
Thanks for all the great advice, everyone -- much
appreciated ;-)
Something in return, since this last post touches on
it... sector
correlations...
ProFunds offers a sector correlation
matrix on their web site that
is quite interesting -- find it at
http://staging.profunds.com/usermedia/pdf/Matrix-1001.pdf
And,
I agree with the importance of money management. Scaling in and
out and
using small "feeler" trades has helped me control my
emotions, which from
my perspective is the most important aspect of
trading successfully.
Enjoy!
Brian
--- In amibroker@xxxxxxxxxxxxxxx,
dimension@xxx wrote:
>
> I have a couple of systems that work very
well with giving buy and
> sell/short signals (although I need to alter
some parameters
slightly
> depending on if I am testing for long vs
short). They absolutely
shine with
> the indices or etfs, but
are HORRIBLE with individual stocks. I
think that
> is to be
expected...every security has its own psychology behind
it and
>
hence the need for software like AmiBroker in helping to identify
that
> psychology. That said, what works for a given security
may also
work well
> for other stocks that fall within the same
sector. I have also
found that
> just about every system can
be improved upon with a good money
management
> policy applied to
it. It would be a mistake I think to implement a
system
> with out a
sound exit/stop/loss policy.
>
> Those are the quick advice I can
give...they may be common sense
to most I
> suppose.
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Brian
>
Sent: Thursday, March 09, 2006 2:12 PM
> To:
amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Short system
advice?
>
> I have some nice, well-tested long systems in place.
I was
surprised
> when testing my discretionary systems, to find
that none of my
short
> signals performed nearly as well as the
long signals, in the
> optimization/backtest/monte carlo
simulations.
>
> Is this common?
>
> In addition, I
am looking for some ideas around what indicators to
use
> as the
foundation for building an adequate short system. Any
ideas? I
>
did some searches on previous messages here, and did not find
anything
> of value. General rules of thumb, and bits of experiential wisdom,
are
> also welcome -- as they apply to short systems.
>
> Thanks in advance,
>
> Brian
>
>
>
>
>
>
> Please note that this group is for
discussion between users only.
>
> To get support from AmiBroker
please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups
Links
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
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