[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: HELP!



PureBytes Links

Trading Reference Links

<x-html><!doctype html public "-//w3c//dtd html 4.0 transitional//en">
<html>
<body bgcolor="#FFFFFF">
>From what I can tell this seems nothing like Melissa. Are you getting multiple
copies of mail from other sources as well or only from here? I suspect
it may be a problem in your ISP's server.
<p>jdfo wrote:
<blockquote TYPE=CITE>&nbsp;
<blockquote 
style="BORDER-LEFT: #000000 solid 2px; MARGIN-LEFT: 5px; PADDING-LEFT: 5px"><b><font face="Arial"><font size=-1>-----Original
Message-----</font></font></b>
<br><font face="Arial"><font size=-1><b>From: </b>RAY RAFFURTY &lt;rrraff@xxxxxxxx></font></font>
<br><font face="Arial"><font size=-1><b>To: </b>RealTraders Discussion
Group &lt;realtraders@xxxxxxxxxxxxxx></font></font>
<br><font face="Arial"><font size=-1><b>Date: </b>Monday, March 29, 1999
11:58 AM</font></font>
<br><font face="Arial"><font size=-1><b>Subject: </b>HELP!</font></font>
<br>&nbsp;<font color="#000000"><font size=-1>Help, I am receiving four
copies of all the posts to Real Traders.&nbsp; Is any one else having this
problem and how can I get it to just send one copy?&nbsp; It just started
this morning.&nbsp;&nbsp; Thanks.</font></font>&nbsp;<font color="#000000"><font size=-1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
Good luck and good trading,</font></font>&nbsp; <font color="#000000"><font size=-1>Ray
Raffurty</font></font>&nbsp; <font color="#000000"><font size=-1>There
is word out (ABC) that a virus called Melissa is currently infecting Windos
'98 and OutLook Express. Could this your problem?john</font></font>
<br>&nbsp;</blockquote>
</blockquote>

</body>
</html>
</x-html>From ???@??? Mon Mar 29 19:32:49 1999
Received: from list.listserver.com (198.68.191.15)
	by mail05.rapidsite.net (RS ver 1.0.2) with SMTP id 10821
	for <neal@xxxxxxxxxxxxx>; Mon, 29 Mar 1999 21:34:19 -0500 (EST)
Received: from localhost (localhost [127.0.0.1])
	by accessone.com (8.8.5/8.8.5/PIH) with SMTP id SAA23186;
	Mon, 29 Mar 1999 18:26:08 -0800 (PST)
Received: from atlrel2.hp.com (atlrel2.hp.com [156.153.255.202])
	by accessone.com (8.8.5/8.8.5/PIH) with ESMTP id SAA22986
	for <realtraders@xxxxxxxxxxxxxx>; Mon, 29 Mar 1999 18:22:36 -0800 (PST)
Received: from xsvr1.cup.hp.com (xsvr1.cup.hp.com [15.0.66.179])
	by atlrel2.hp.com (8.9.3/8.8.5tis) with ESMTP id VAA08658
	for <realtraders@xxxxxxxxxxxxxx>; Mon, 29 Mar 1999 21:22:14 -0500 (EST)
Received: (from kmorgan@xxxxxxxxx)
	by xsvr1.cup.hp.com (8.8.6/8.8.6) id SAA10212
	for realtraders@xxxxxxxxxxxxxx; Mon, 29 Mar 1999 18:22:26 -0800 (PST)
Message-Id: <199903300222.SAA10212@xxxxxxxxxxxxxxxx>
Date: Mon, 29 Mar 1999 18:22:25 PST
Reply-To: kmorgan@xxxxxxxxxx
Sender: owner-realtraders@xxxxxxxxxxxxxx
From: Kevin Morgan <kmorgan@xxxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Subject: Re: GEN: MY SYSTEM
X-Mailer: Elm [revision: 112.8]
X-Listprocessor-Version: 8.1 -- ListProcessor(tm) by CREN
X-Loop-Detect: 1
X-UIDL: cd61cc18a939cf91af31916d567dc52d.0c

Thomas I think your approach is interesting but perhaps seriously flawed.

I believe the best way to assess it is to measure it.  Measuring it
won't be trivial; you can paper trade it for 6 months and see how it's
doing, or you can select a set of stocks using information from 6 months
ago, using the same selection criteria you would use now, and then use
the last 6 months of actual data to drive a fast paced simulation of
what your results would have been.  

One concern: the "leader" would bounce around alot, generating relatively
high transaction costs.  Imagine the worst case and you are changing horses
once just about every trade day, call it 300 times/year.  If your costs
are 0.33% you've eaten up 100% of your starting equity in costs.  This
is extreme, lets consider "realistic" but still pretty bad, say you change
stocks 100 times, remember that's 200 trades (selling one, buying another).  
How far in the hole do you want costs to put you? Most folks would say "less 
than 5%, much less", because if doing 25% return is pretty darn good in stocks,
we'd be giving up one fifth of our profits to costs and ending up with 20% 
gain (more or less).  To get 5% costs with 100 switches (200 trades), we need 
costs of 5%/200 or 0.025% per trade.  15/X = 0.00025, so X = 60000.  If
you only have 30000...you're now suffering 10% costs if you switch 100 times 
and you are starting in a deep hole.

So consider this side of things carefully.

I really don't know if 100 switches would be likely or not!  I'd have to
do a few sims, and they take alot of hand work or some decently complex 
programming to input all stock data streams, do the daily assessment, etcetera.
The danger is that even after a few weeks, there are two stocks that are
constantly oscillating back and forth in leadership.

How about a modified method that tried to be a bit more dynamic about
selection, and choose and stuck with the top N, where N is determined by
a reasonable gap between those and others?  Or something like that that
was still deterministic (no choices by you, very bad) and yet didn't allow
the thing to degrade to making changes almost every day.

Finally, there is the problem that you are constantly using a trailing
indicator to purchase a stock with, namely, percentage increase in price
since a arbitrarily selected starting point.  You risk always getting onto
the horse that now falls behind.  You could end up constantly taking
loss after loss, and yet always be "on the leader" one day after its 
made its move!  It's not actually of value to your account to be "on the
leader", it's of value to have been on a horse that's moved forward around
the track!  Now if you could predict which horse is going to overtake the
leader and get on just before it makes it's move...

By the way, I've done similar work using the IBD relative strength figures
to select stocks.  Bottom line: the major stock movement really is the
driver overall!  If you get on the leaders and the overall market starts
downshifting, doesn't matter, you're going to go backwards.

Also, your technique is somewhat similar to the "PitBull" technique that
is sold for $80 or so, select high IBD relative strength and EPS stocks
that haven't doubled in price in the last year or two and switch if one
falls below a threshold in EPS and/or RS.

Just some thoughts,

-Kevin