I think whether a system will fail at a point in the
future is of less reference value for our opreration. Find a
valid system and get the milk out of it as much as possible, by the time the
system approaches its longevity, you will probablay have already been much
richer.
And the above opinion has not taken into account the
following facts:
1--You can diversify your markets, one strategy is unlikely
to become ineffective for all selected markets at the same time
2--You can diversify your strategies, it is even more
unlikely that all strategies will become ineffective at the same
timee
3--You can monitor temporarilly failed strategies, there is
no gurantee that if one strategy performs badly today, it will not recover
tommorow. Check out the idea of trading the equity curve
4--You can have a ranking system to evaluate all
strategy/market combinations and only trade the top 50% ( or x%, depend
on the bench depth)
Huanyan
----- Original Message -----
Sent: Wednesday, June 03, 2009 3:45 AM
Subject: Re: [amibroker] Re: Do all trading
systems stop working? - Howard Bandy's book
Ed,
The fact that certain sectors and individual issues
outperform the broad averages during various periods is a given. As a
result, irrespective of specific trading time frames (e.g., day/minute to buy
and hold) everybody is a market timer in the sense that buying is based
on the belief that within the individual's time frame a sale can be made for a
profit. Use of an appropriate "system(s)" whether mechanical,
discretionary, or a mixture is essential to trading/investing success (i.e.,
arguably beats having a "dream"). Whether systems must fail at some
point, as Howard claims, is certainly questionable and at best, imo,
applies for the most part to strictly mechanical
methods.
Bill
----- Original Message -----
Sent: June 02, 2009 2:43 PM
Subject: [amibroker] Re: Do all trading
systems stop working? - Howard Bandy's book
Wave,
I should have included the time frame I was
ranking over. My ranking is EOD, for trades lasting from a few weeks
to a few months - basically swing trading.
The point I was trying to
make was that Howard Bandy may be right, but there are still sectors of the
market that outperform the broad averages like the S&P - at
least over the short term.
Another point that Bandy makes is that
very short term trading systems (day trading) seem more resistant to
breaking - so all may not be lost. Finally, another curious feature is
that an end of the month trade covered in his book is well known but
continues to work - witness the last few days of trading !
!
ReefBreak
--- In amibroker@xxxxxxxxxps.com,
"wavemechanic" <fimdot@xxx> wrote:
>
> Happen to be doing
well now. How about KOL in 11/08?
> ----- Original
Message -----
> From: Ed Hoopes
> To:
amibroker@xxxxxxxxxps.com
> Sent: June 02, 2009 12:58 PM
>
Subject: [amibroker] Re: Do all trading systems stop working? - Howard
Bandy's book
>
>
> I guess that we all need
to get better at market timing if we're going to trade SPY.
>
> Out of the 1600 or so ETF-CEF funds there are a few
that stand out - all are sector funds that happen to be doing well.
>
> Check out:
> KOL -
Coal
> PWND - Wind Energy
> IDX
- Indonesia
> PSTL - Steel
>
> ReefBreak
>
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxps.com,
"brian_z111" <brian_z111@> wrote:
>
>
> > Yes, last year was the real benchmark for
managers/investors/traders ... I hope I learned my lessons ready for
the next one. High volatility and correlated screaming bear years are here
to stay.... they are the inevitable consequence of momentum trading, which
is a self perpetuating system until the music stops and someone is left
holding the parcel.
> >
> >
> >
> >
>
> --- In amibroker@xxxxxxxxxps.com,
"wavemechanic" <fimdot@> wrote:
> >
>
> > > I suspect that these funds are not run by
black boxes although the managers are working within a defined
methodology. In any case, over the last couple of years the picture is
a little different relative to the S&P500. In that case, all are
in the same ballpark (a little higher/lower over time) except for two
underperformers - PSP and STH. So, relative to these funds make life
simple buy SPY and close your eyes.
> > >
> > > Bill
> > >
> > >
> > >
> > >
> > >
----- Original Message -----
> > >
From: Ed Hoopes
> > > To: amibroker@xxxxxxxxxps.com
> > > Sent: June 02, 2009 11:02
AM
> > > Subject: [amibroker] Re: Do all
trading systems stop working? - Howard Bandy's book
> >
>
> > >
> >
> There are publicly traded funds organized around various
trading systems. Below are a few for comparison:
>
> >
> > > NFO - Insider
Info
> > > STH -
Stealth
> > > XRO - Sector
Rotation
> > > PIQ - Magni
Quant
> > > PSP - Private
Equity
> > > FVI - ValueLine 100
Stocks
> > > BWV - Covered
Calls
> > > CSD - Spin Off
Companies
> > > DEF - Defensive
Stocks
> > > EZY - Low PE Ratio
Stocks
> > >
> >
> Now take each one of the above and do a relative
performance to the overall market - like VTI Vanguards Total Market ETF -
and you can see how well they work.
> > >
> > > NFO, PSP, EZY top the list with a
modest out performance using my ranking algorithm. The majority equal
the market or underperform.
> > >
> > > For me the most disappointing is
FVI only as good as the broad market - so much for $650.00/yr
fundamental/technical analysis newsletter. XRO - is the
worst.
> > >
> >
> ReefBreak
> > >
>
>
>
>
>
>
>
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