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Paul,
> 4. Short selling is difficult except through the use of Contract for
> difference.
I am interested in the subject of efficient and reliable shorting.
You might find something of interest in the following ideas:
a) A bought put is a reasonably efficient short (liquid puts not
readily available in AUS but OK for the US market - the US market is
well regulated - readily accessible to nonUS citz's - foreign traders
in the US, who stay in the US, only need to hedge against one
currency - costs of carry, for options, are high but costs include
the guaranteed stop loss/insurance).
b) CFD's - we would have to compare the carry cost of a
GuaranteedStopLoss CFD to make a fair comparision to a put? (refer to
IGMarkets for examples of GSL costs on stock CFD's)
c) IGMarket's PDS on GSL's contains an out clause during a
ForceMajeur, including the event that borrowed stock that IG use to
hedge the GSL on a short CFD might be recalled - IGMarkets reserve
the right to etc etc.
d) GSL short CFD's are not time limited - the stop loss fee is paid
upfront and is set regardless of time ?
d) In "The Mathematics Of Money Management" Ralph Vince says:
"There is another benefit here that is not readily apparent that has
enormous merit i.e. that we know what our worst case is, in advance.
Considering how sensitive the optimal f equation is to the biggest
loss in future, such a strategy can get us much closer to the peak of
the f curve by allowing us to pre-determine whhat our largest loss
can be with certainty.
Second, the problem of a loss of 3 standard deviations, or more,
having a much higher probability of occurrence than the Normal
Distribution applies, is eliminated. It is the gargantuan losses in
excess of 3StdDev that kill most traders. A strategy such as this can
totally eliminate such terminal losses".
A good example of why I am such a big fan of RV.
I am still on the lookout for alternative shorting instruments/assets
and open to any advice anyone can give on shorting i.e. what are the
best instruments/assets to use for shorting and why?
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxx> wrote:
>
> Herman,
> These are specific to ASX that I've found
> 1. Australia is a pennies paradise, most resource stocks are
pennies, and
> they can be hugely profitable
> 2. sectors behaves differently
> 3. False breaks happens all the time except in the hottest sectors
of the
> time.
> 4. Short selling is difficult except through the use of Contract for
> difference.
> 5. there is a co-relation between AUD strength and the strength of
the
> market.
> 6. Futures liquidity could be quite bad after hours or during US
working
> hours.
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Herman
> Sent: Monday, 9 June 2008 12:04 AM
> To: brian_z111
> Subject: Re: [amibroker] Re: Trading International Portfolios
>
>
>
>
> Well Brian, there is some parallelism here but only in the final
decision to
> focus more on trading. I have not given much thought to my personal
assets,
> emotional needs, or those of the World :-) Taking the risk of
boring people
> here is my personal approach to trading. I,
>
>
>
>
> 1) Only trade extremely simple trading rules.
>
> 2) Trade any stock, wherever I may find it (Explorations), that
gives good
> profits and that can be traded with minimal effort.
>
> 3) Do not use Stops/Money Management until the system is proven,
i.e. the
> system must be profitable without those frills.
>
> 4) Always start small. imo, If the system works with a few shares
it will
> work with more shares.
>
> 5) Trade frequently; at least once a day/stock. In my experience
this
> increases profits and reduces DDs.
>
> 6) Don't like product/market research. Trading 100% exposure
reversals
> systems it makes no difference to me whether the market goes Up or
Down;
>
> 7) Find manual trading extremely boring and try to automate all
trading (not
> always easy).
>
> 8) Love searching and coding wild trading ideas, I look at price
only.
>
> 9) I must always find some time to play (code) new ideas.
>
>
>
>
> Don't ask me why I want to focus more on trading; I just suddenly
got the
> urge. I think it may be because I came close to coding-burnout in
trying to
> automate a complex trading procedure. In terms of skills, I think I
reached
> my match. So, I'll trade the system manually, if it works I'll pay
someone
> with the required expertise to code the difficult parts.
>
>
>
>
> I give myself 100 days (the look back period of my current system)
to
> determine whether trading is worth the effort for me.
>
>
>
>
> best regards,
>
> herman
>
>
>
>
>
>
>
> For tips on developing Real-Time Auto-Trading systems visit:
>
> http://www.amibroke <http://www.amibroker.org/userkb/> r.org/userkb/
>
>
>
>
> Saturday, June 7, 2008, 7:21:22 PM, you wrote:
>
>
>
>
> > As usual you are hinting at some very interesting
ideas/questions -
>
> > anywhere from 2-10.
>
>
>
>
> > To provide some context.
>
>
>
>
>
>
>
>
>
>
> > A trading fiction by z:
>
>
>
>
>
>
>
> > I am not an international trader.
>
> > I am a virtual trader.
>
>
>
>
> > The objective of the game is to start with a set capital account
and
>
> > maximise the annual % return.
>
> > The player with the max return is the winner for that year.
>
>
>
>
> > I am at war with the 'otherworld' whose inhabitants are known
amongst
>
> > gamesters as 'the Worlds' (tax collectors, providers,
accountants,
>
> > lawyers, brokers, advisors etc).
>
>
>
>
> > The objective of the Worlds is to gain a share of the traders
capital
>
> > for themselves.
>
>
>
>
> > The Worlds control the rules of the game.
>
> > The rules are a composite and constantly morph.
>
> > Not all rules can be known in advance and they don't necessarily
have
>
> > to be fair or consistent.
>
> > If a gamester asks a World for an interpretation they are not
>
> > compelled to answer, or give a correct answer.
>
> > The Worlds are constantly squabbling amongst themselves, and
fighting
>
> > each other, for a bigger stake in the game.
>
>
>
>
> > They create and provide all of the infrastructure, and virtual
>
> > content of the game, for which they receive worldly tokens.
>
>
>
>
> > I have a game profile (age, account size, skills, personality,
>
> > experience, tools etc).
>
> > My profile can be changed in some, but not all, areas.
>
> > To change a property of the profile requires a proactive effort.
>
> > Sometimes that involves a massive input of energy.
>
> > Profile changes often take a while to be approved.
>
>
>
>
> > The nature of the game varies and comprises several sub-games.
>
> > I have nominated Technical Analysis as my sub-game of choice.
>
>
>
>
> > In preparation for the game I have spent years studying and
>
> > practising the Laws of Technical Analysis.
>
>
>
>
> > I have played many simulated games.
>
>
>
>
> > I have read many instruction manuals.
>
>
>
>
> > I have purchased analytical software, and like a pubescent
>
> > sportsperson, I have trained long and hard with it, to build my
>
> > trading muscle.
>
>
>
>
> > I have developed my game philosophy, and strategies, and mentally
>
> > rehearsed them over and over.
>
>
>
>
> > I am ready to play.
>
>
>
>
> > I know that the game will be fast and furious and full of
unexpected
>
> > turns and twists.
>
>
>
>
> > There will be some unanticipated events.
>
>
>
>
> > I know that I can't carry all of my training aids with me - they
are
>
> > too heavy and will slow me down.
>
>
>
>
> > I abandon them.
>
>
>
>
> > I no longer require the long analytical work outs - I change to a
>
> > portable small analytical backup tool (if necessary the rules of
the
>
> > game allow withdrawal, to return to analytical development etc,
>
> > provided the player has the required funds to rejoin the game)
>
>
>
>
> > I choose my trading vehicle - a single desk multi-asset trading
>
> > platform with superior leveraging and exotic short instruments.
>
>
>
>
> > The platform optimises my prepared strategies.
>
> > It is not the safest platform around.
>
> > The skill levels needed to drive the multi are much higher than
the
>
> > other models.
>
> > I am taking on extra risks but I want to win - I don't want to
come
>
> > second.
>
> > I can't do that with the slower vehicles.
>
>
>
>
> > I know that the platform isn't 100% dependent and that it does
not
>
> > have all of the tools I need.
>
>
>
>
> > If my strategy isn't performing or I want to use diverse
strategies I
>
> > will have to change platforms (sometimes the Worlds change the
>
> > platform so that it is no longer attuned to my needs).
>
>
>
>
> > I can change platforms during the game, but this can be a fatal
>
> > distraction (I have reasearched a wide range of trading
platforms, in
>
> > advance, and I am ready to make a quick move if needed).
>
>
>
>
> > I have researched all of the available, albeit incomplete,
training
>
> > material for my chosen platforms (it is essential to memorize
every
>
> > detail, of their performance capabilities, in advance).
>
>
>
>
>
>
>
>
>
>
> > I am ready.
>
>
>
>
> > Let the game begin.
>
>
>
>
> > Winner takes all.
>
>
>
>
> > Losers are banished from the game forever!
>
>
>
>
> > brian_z
>
>
>
>
>
>
>
> > ------------------------------------
>
>
>
>
> > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>
> <http://www.amibroker.com/devlog/> >
http://www.amibroker.com/devlog/
>
>
>
>
> > For other support material please check also:
>
> <http://www.amibroker.com/support.html> >
> http://www.amibroker.com/support.html
>
> > Yahoo! Groups Links
>
>
>
>
> > http://groups. <http://groups.yahoo.com/group/amibroker/>
> yahoo.com/group/amibroker/
>
>
>
>
> > Individual Email | Traditional
>
>
>
>
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> yahoo.com/group/amibroker/join
>
> > (Yahoo! ID required)
>
>
>
>
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>
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>
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>
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>
------------------------------------
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