Hello Brian,
I would be happy to open up a bit...
At our fund we run several different strategies.
We run long short books,we run option dispersion strategies,pure option volatilty trades and directional trades..
The first two strategies "stand" on their own,as the are "notionally hedged"....
We do run directional books that tend to be trend following/breakout.As you may imagine the Sharpes on breakout type sytems is not terribly high,and whether you believe Sharpe is an appropriate measure of performance,many institutions who allocate money certainly do.
When you overlay a breakout system with a long volatility strategy that trades off of a lower time frame,your net returns typically are lower,but the standard deviation of returns is significantly lower.
This is one instance..I apologise for being somewhat vague,but I am obligated to do so...
----- Original Message -----
From: "brian.z123" <[EMAIL PROTECTED]>
Date: Wednesday, August 30, 2006 8:15 pm
Subject: [amibroker] Re: Quotes Plus Mutual Funds
To: amibroker@yahoogroups.com
> Allan,
>
> Can you define "non correlated" stategies or provide an example
> without giving away the family jewels?
>
> Maybe it is worthy of a topic on it's own.
>
> BrianB2.
>
> --- In amibroker@yahoogroups.com, "matrix10014" <[EMAIL PROTECTED]>wrote:
> >
> > Hi Ken,
> > I run a hedge fund out of NY and we do employ a ranking system
> very
> > similar to what you find in HGSI.We add a value overlay,but I
> will
> > tell you that trying to duplicate/improve on what they do is
> > probably not the best use of your time.IMHO,if you are a
> momentum
> > type trader,their approach is excellent and I do not think you
> will
> > build a better mousetrap.I have a very talented quant as well
> phd
> in
> > applied math working for me and much of what they do is
> exceedingly
> > similar to HGSI and Zacks..
> >
> > When we stopped trying to reinvent the wheel and focused our
> efforts
> > on diversifying into "non correalted" stategies ,we were far
> more
> > productive and profitable
> >
> > Just my 2 cents
> >
> > --- In amibroker@yahoogroups.com, Ken Closewrote:
> > >
> > > Brian: thanks for the reminder on your xls; I will go look
> at
> it,
> > but I have
> > > plugged the trigger on the new subscription.
> > >
> > > Regarding your comment: " "My opinion was that the QP
> ranking
> > systems were
> > > fairly transparent and could be duplicated in AB with
> relative
> > ease'", I
> > > think this is an assertion that may prove harder to fulfill
> than
> > you
> > > realize. Unless you have already done this (and if you
> have,
> you
> > would be
> > > my new best friend because I would like to see it), I think
> you
> > will find
> > > that developing a ranking score (and I do not mean the
> > PositionScore
> > > variable within AB) that is integer based is extremely
> difficult.
> > I have
> > > tried numerous approaches, including using PositionScore,
> and do
> > not get
> > > anything meaningful. In fact, I believe I am correct that
> the
> > only way to
> > > create integer rankings of calculated quantities within Ab
> is to
> > use the
> > > so-called Osaka plugin, something of complexity that I have
> so
> far
> > been
> > > unwilling to tackle. Drawing QP3 integer rankings out has
> been
> my
> > only
> > > "easy" solution.
> > >
> > > If anyone wants to refute my claim, I would be more than
> welcome
> > to see an
> > > approach that is shareable, doesn't require C++ programming
> > skills, and
> > > satisfies the need to create integer ranking scores/numbers.
> > >
> > > Ken
> > >
> > > -----Original Message-----
> > > From: amibroker@yahoogroups.com
> [mailto:[EMAIL PROTECTED]
> > On Behalf
> > > Of brian.z123
> > > Sent: Wednesday, August 30, 2006 9:00 AM
> > > To: amibroker@yahoogroups.com
> > > Subject: [amibroker] Re: Quotes Plus Mutual Funds
> > >
> > > Ken,
> > >
> > > The answer to your question is no.
> > > You would not have access to the ranking scores if you had
> not
> > purchased
> > > SPP.
> > >
> > > I have posted an updated QPAmiCompare.xls file.
> > > I used the file in the first place to track the raw data
> that
> was
> > used in
> > > various places between QP and Ami.
> > > The QP scan database, which is installed on your hard-drive,
> > appears to be
> > > the underlying database for SPP.
> > > From the SPP help/data fields section each of the fields in
> SPP
> > states if it
> > > is a computed or imported field so they can be cross
> referenced
> to
> > each
> > > other.
> > > So with the exception of QRS and EPS rank all of the other
> ranks
> > are
> > > calculated in SPP and not part of the Ami package.
> > >
> > > To correct my previous statement on ethical grounds:
> > >
> > > "My opinion was that the QP ranking systems were fairly
> > transparent and
> > > could be duplicated in AB with relative ease'"
> > >
> > > I am biased towards creating my own rankings anyway.
> > > I wasn't considering QP for the rankings.
> > > Most if not all of the rankings used in QP are already part
> of
> the
> > public
> > > domain.
> > >
> > > BrianB2.
> > >
> > >
> > > --- In amibroker@yahoogroups.com, Ken Closewrote:
> > > >
> > > > Thanks Steve, for your comments. I, too, am beginning to
> > > concentrate on
> > > > just ETFs and the "daily" funds from Profunds, Rydex, and
> > > Potomac. Hence my
> > > > desire to isolate just those. If I had spent more time
> with
> > the
> > > trial I
> > > > might have tried to get by without the SPP. but all the
> pretty
> > red
> > > and green
> > > > boxes got to me and I liked them. Can I assume that I
> still
> would
> > > have had
> > > > access to the ranking scores even if I had not purchased
> the
> SPP?
> > > >
> > > > Ken
> > > >
> > > > _____
> > > >
> > > > From: amibroker@yahoogroups.com
> > [mailto:[EMAIL PROTECTED]
> > > On Behalf
> > > > Of Steve Dugas
> > > > Sent: Tuesday, August 29, 2006 1:36 PM
> > > > To: amibroker@yahoogroups.com
> > > > Subject: Re: [amibroker] Quotes Plus Mutual Funds
> > > >
> > > >
> > > > Hi Ken - I see that Joe has already come up with a
> solution for
> > > you. When I
> > > > went back to QP recently, I did not sign up for SPP since
> I am
> > now
> > > > concentrating only on 2x +/- funds. There are not that
> many of
> > > them so I
> > > > just created my watchlists by hand. I did want to get the funds
> > > themselves
> > > > into AB so I could access them there, but for testing, etc I
> > > generally use
> > > > the benchmark indices rather than the funds themselves. QP
> lacks
> > > several of
> > > > these benchmarks, especially for the foreign markets, so
> for
> > these
> > > I
> > > > substitute the most popular ETF's instead.
> > > >
> > > > BTW, if you like the 2x funds, don't forget about
> DireXion.
> Their
> > > American
> > > > funds are 2.5-beta. Also, for anyone that might not be aware,
> > > ProFunds
> > > > introduced their 2x +/- ETF's last month. See www.proshares.com
> > > for more
> > > > info.
> > > >
> > > > Steve
> > > >
> > > > ----- Original Message -----
> > > > From: Ken Close
> > > > To: amibroker@yahoogroups.com
> > > > Sent: Tuesday, August 29, 2006 6:31 AM
> > > > Subject: RE: [amibroker] Quotes Plus Mutual Funds
> > > >
> > > > Steve:
> > > >
> > > > Many thanks. Now that I am signed up, am discovering various
> > > unfriendly
> > > > aspects to the program(s) that I guess I did not discover
> or
> try
> > > hard enough
> > > > during the trial period. But I want the data (mainly the ranks
> > > which can be
> > > > imported into AB) so I will have to slog thru a learning curve,
> > > just like
> > > > with ..... well ...... AB. I dont want to do complex
> things,
> > just
> > > isolate
> > > > ETFs and Rydex/Profunds Mutual Funds. Should be simple
> and
> > almost
> > > > intuitive. It is not.
> > > >
> > > > Thanks for the response.
> > > >
> > > > Ken
> > > >
> > > > PS: If you dont mind, is the easiest way to get a
> Watchlist
> of
> > the
> > > > Rydex/Profunds Mutual Funds to import via a lst or txt
> file of
> > the
> > > symbols??
> > > >
> > > > _____
> > > >
> > > > From: amibroker@yahoogroups.com
> > [mailto:[EMAIL PROTECTED]
> > > On Behalf
> > > > Of Steve Dugas
> > > > Sent: Monday, August 28, 2006 3:28 PM
> > > > To: amibroker@yahoogroups.com
> > > > Subject: Re: [amibroker] Quotes Plus Mutual Funds
> > > >
> > > >
> > > > Ken - By Default, QP plugin does not retrieve MF's or
> futures.
> Go
> > > to File >
> > > > Database Settings > Configure, check the box for MF's and hit
> > > Retrieve.
> > > >
> > > > Steve
> > > >
> > > > ----- Original Message -----
> > > > From: Ken Close
> > > > To: amibroker@yahoogroups.com
> > > > Sent: Monday, August 28, 2006 3:08 PM
> > > > Subject: [amibroker] Quotes Plus Mutual Funds
> > > >
> > > > Maybe this is obvious, but how do I chart Quotes Plus 3 Mutual
> > > Funds.
> > > >
> > > > I do not see any data plugin just for QP Mutual Funds.
> > > >
> > > > I am plotting stocks and ETFs find with the QP3 database.
> I
> have
> > > mutual
> > > > fund data on my drive (can plot with QP charting package),
> but
> I
> > > do not see
> > > > how to make AB do that.
> > > >
> > > > Thanks for your suggestions.
> > > >
> > > > Ken
> > > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > 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
> > >
> >
>
>
>
>
>
>
__._,_.___
----- Original Message -----
From: "brian.z123" <[EMAIL PROTECTED]>
Date: Wednesday, August 30, 2006 8:15 pm
Subject: [amibroker] Re: Quotes Plus Mutual Funds
To: amibroker@yahoogroups.com
> Allan,
>
> Can you define "non correlated" stategies or provide an example
> without giving away the family jewels?
>
> Maybe it is worthy of a topic on it's own.
>
> BrianB2.
>
> --- In amibroker@yahoogroups.com, "matrix10014" <[EMAIL PROTECTED]>wrote:
> >
> > Hi Ken,
> > I run a hedge fund out of NY and we do employ a ranking system
> very
> > similar to what you find in HGSI.We add a value overlay,but I
> will
> > tell you that trying to duplicate/improve on what they do is
> > probably not the best use of your time.IMHO,if you are a
> momentum
> > type trader,their approach is excellent and I do not think you
> will
> > build a better mousetrap.I have a very talented quant as well
> phd
> in
> > applied math working for me and much of what they do is
> exceedingly
> > similar to HGSI and Zacks..
> >
> > When we stopped trying to reinvent the wheel and focused our
> efforts
> > on diversifying into "non correalted" stategies ,we were far
> more
> > productive and profitable
> >
> > Just my 2 cents
> >
> > --- In amibroker@yahoogroups.com, Ken Close
> > >
> > > Brian: thanks for the reminder on your xls; I will go look
> at
> it,
> > but I have
> > > plugged the trigger on the new subscription.
> > >
> > > Regarding your comment: " "My opinion was that the QP
> ranking
> > systems were
> > > fairly transparent and could be duplicated in AB with
> relative
> > ease'", I
> > > think this is an assertion that may prove harder to fulfill
> than
> > you
> > > realize. Unless you have already done this (and if you
> have,
> you
> > would be
> > > my new best friend because I would like to see it), I think
> you
> > will find
> > > that developing a ranking score (and I do not mean the
> > PositionScore
> > > variable within AB) that is integer based is extremely
> difficult.
> > I have
> > > tried numerous approaches, including using PositionScore,
> and do
> > not get
> > > anything meaningful. In fact, I believe I am correct that
> the
> > only way to
> > > create integer rankings of calculated quantities within Ab
> is to
> > use the
> > > so-called Osaka plugin, something of complexity that I have
> so
> far
> > been
> > > unwilling to tackle. Drawing QP3 integer rankings out has
> been
> my
> > only
> > > "easy" solution.
> > >
> > > If anyone wants to refute my claim, I would be more than
> welcome
> > to see an
> > > approach that is shareable, doesn't require C++ programming
> > skills, and
> > > satisfies the need to create integer ranking scores/numbers.
> > >
> > > Ken
> > >
> > > -----Original Message-----
> > > From: amibroker@yahoogroups.com
> [mailto:[EMAIL PROTECTED]
> > On Behalf
> > > Of brian.z123
> > > Sent: Wednesday, August 30, 2006 9:00 AM
> > > To: amibroker@yahoogroups.com
> > > Subject: [amibroker] Re: Quotes Plus Mutual Funds
> > >
> > > Ken,
> > >
> > > The answer to your question is no.
> > > You would not have access to the ranking scores if you had
> not
> > purchased
> > > SPP.
> > >
> > > I have posted an updated QPAmiCompare.xls file.
> > > I used the file in the first place to track the raw data
> that
> was
> > used in
> > > various places between QP and Ami.
> > > The QP scan database, which is installed on your hard-drive,
> > appears to be
> > > the underlying database for SPP.
> > > From the SPP help/data fields section each of the fields in
> SPP
> > states if it
> > > is a computed or imported field so they can be cross
> referenced
> to
> > each
> > > other.
> > > So with the exception of QRS and EPS rank all of the other
> ranks
> > are
> > > calculated in SPP and not part of the Ami package.
> > >
> > > To correct my previous statement on ethical grounds:
> > >
> > > "My opinion was that the QP ranking systems were fairly
> > transparent and
> > > could be duplicated in AB with relative ease'"
> > >
> > > I am biased towards creating my own rankings anyway.
> > > I wasn't considering QP for the rankings.
> > > Most if not all of the rankings used in QP are already part
> of
> the
> > public
> > > domain.
> > >
> > > BrianB2.
> > >
> > >
> > > --- In amibroker@yahoogroups.com, Ken Close
> > > >
> > > > Thanks Steve, for your comments. I, too, am beginning to
> > > concentrate on
> > > > just ETFs and the "daily" funds from Profunds, Rydex, and
> > > Potomac. Hence my
> > > > desire to isolate just those. If I had spent more time
> with
> > the
> > > trial I
> > > > might have tried to get by without the SPP. but all the
> pretty
> > red
> > > and green
> > > > boxes got to me and I liked them. Can I assume that I
> still
> would
> > > have had
> > > > access to the ranking scores even if I had not purchased
> the
> SPP?
> > > >
> > > > Ken
> > > >
> > > > _____
> > > >
> > > > From: amibroker@yahoogroups.com
> > [mailto:[EMAIL PROTECTED]
> > > On Behalf
> > > > Of Steve Dugas
> > > > Sent: Tuesday, August 29, 2006 1:36 PM
> > > > To: amibroker@yahoogroups.com
> > > > Subject: Re: [amibroker] Quotes Plus Mutual Funds
> > > >
> > > >
> > > > Hi Ken - I see that Joe has already come up with a
> solution for
> > > you. When I
> > > > went back to QP recently, I did not sign up for SPP since
> I am
> > now
> > > > concentrating only on 2x +/- funds. There are not that
> many of
> > > them so I
> > > > just created my watchlists by hand. I did want to get the funds
> > > themselves
> > > > into AB so I could access them there, but for testing, etc I
> > > generally use
> > > > the benchmark indices rather than the funds themselves. QP
> lacks
> > > several of
> > > > these benchmarks, especially for the foreign markets, so
> for
> > these
> > > I
> > > > substitute the most popular ETF's instead.
> > > >
> > > > BTW, if you like the 2x funds, don't forget about
> DireXion.
> Their
> > > American
> > > > funds are 2.5-beta. Also, for anyone that might not be aware,
> > > ProFunds
> > > > introduced their 2x +/- ETF's last month. See www.proshares.com
> > > for more
> > > > info.
> > > >
> > > > Steve
> > > >
> > > > ----- Original Message -----
> > > > From: Ken Close
> > > > To: amibroker@yahoogroups.com
> > > > Sent: Tuesday, August 29, 2006 6:31 AM
> > > > Subject: RE: [amibroker] Quotes Plus Mutual Funds
> > > >
> > > > Steve:
> > > >
> > > > Many thanks. Now that I am signed up, am discovering various
> > > unfriendly
> > > > aspects to the program(s) that I guess I did not discover
> or
> try
> > > hard enough
> > > > during the trial period. But I want the data (mainly the ranks
> > > which can be
> > > > imported into AB) so I will have to slog thru a learning curve,
> > > just like
> > > > with ..... well ...... AB. I dont want to do complex
> things,
> > just
> > > isolate
> > > > ETFs and Rydex/Profunds Mutual Funds. Should be simple
> and
> > almost
> > > > intuitive. It is not.
> > > >
> > > > Thanks for the response.
> > > >
> > > > Ken
> > > >
> > > > PS: If you dont mind, is the easiest way to get a
> Watchlist
> of
> > the
> > > > Rydex/Profunds Mutual Funds to import via a lst or txt
> file of
> > the
> > > symbols??
> > > >
> > > > _____
> > > >
> > > > From: amibroker@yahoogroups.com
> > [mailto:[EMAIL PROTECTED]
> > > On Behalf
> > > > Of Steve Dugas
> > > > Sent: Monday, August 28, 2006 3:28 PM
> > > > To: amibroker@yahoogroups.com
> > > > Subject: Re: [amibroker] Quotes Plus Mutual Funds
> > > >
> > > >
> > > > Ken - By Default, QP plugin does not retrieve MF's or
> futures.
> Go
> > > to File >
> > > > Database Settings > Configure, check the box for MF's and hit
> > > Retrieve.
> > > >
> > > > Steve
> > > >
> > > > ----- Original Message -----
> > > > From: Ken Close
> > > > To: amibroker@yahoogroups.com
> > > > Sent: Monday, August 28, 2006 3:08 PM
> > > > Subject: [amibroker] Quotes Plus Mutual Funds
> > > >
> > > > Maybe this is obvious, but how do I chart Quotes Plus 3 Mutual
> > > Funds.
> > > >
> > > > I do not see any data plugin just for QP Mutual Funds.
> > > >
> > > > I am plotting stocks and ETFs find with the QP3 database.
> I
> have
> > > mutual
> > > > fund data on my drive (can plot with QP charting package),
> but
> I
> > > do not see
> > > > how to make AB do that.
> > > >
> > > > Thanks for your suggestions.
> > > >
> > > > Ken
> > > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > 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
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
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