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In a message dated 98-04-18 15:51:04 EDT, you write:
<< I use
groups of systems that are based on breadth..interest rate and fed
policy..price momentum and lastly sentiment...I am
neither bullish nor bearish but rather follow a system and know the
historcial results.. this is why we are all using tradestation.. >>
Fed policy is seen with interest rate moves.. on the Prime rates..Discount
rates.. Reserve requirements.. fed funds rates.. different length short and
long term notes.. 3 month t bills..all these can be accessed in ASCii
format and thus tradestation.. As far as sentiment one can easily look at
put call ratios.. public short sales.. or total short sales.. these and
put/call ratios are true sentiment readings..Basically by taking the number
of various non corralated systems on a buy that is how we allocate in or
out of the market.. everything can be done in either excel or
tradestation.. and be verified.. this isn't the holy grail ..It doesn't
exist.. but is a systematic way of entering by percentage allocations and
sometimes jsut avoiding certain markets..
How do you enter and backtest fed policy and sentiment into an automated
trading system? Also, seeing how there are always the EXACT number of longs
and shorts in the S&P, how on earth can sentiment be anything but 50%?
Andy Abraham cta
Angus Jackson
www.angusjackson.com
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