Thank you for the very interesting comment. Since my background is information technology and not physics/mathematics, this view on the subject is new to me. Here a mix of questions/comments in order of occurence. - What does HS mean? - About the Wait: I guess I did not see this as it's own cycle step. I rather just viewed the trade filters combined with entry/exit signals as methods on how to make the strategy wait for the right moment. - About the vocabulary: I added more vocabulary and added the page references. This is in fact a very good idea. The thesis file behind the link is updated. - About "MP comes from the market and SP = 0.5MP": This is not quite correct. SP (Safety Price) = 0.5IV while IV comes from the calculated intrinsic value represented as sticker price (could also be seen as SP :/). - And later in your text "MP is a function of IV": This should be "SP (Safety Price) is a function of IV (Sticker Price)". - About the orthogonality: So the hold/wait is like a time series as an x axis, on which orthogonal markers are put that represent the changes as buy/sell. This is still 1-dimensional I guess. I think I understand it now, thanks for the explanation. Also thank you for the kind words and uncovering of marks trolling. ;9 Though I will still analyze his links, since they are new to me afterall. Mark also took back his plagiarism accusation while talking to him via PM. I did not know a sharpe ratio of 60+ was even possible. I think I have to sleep over this to fully grasp it.
Seems like http://www.ndr.com would be interesting aswell, though I don't find any information on that platform you talk about. Do you have information available there?
Here is what is ahead for you besides fame and fortune. The Intermediate term Investing is derigour for the financial industry AUM based corps. There are capacity trading issues for them so they are caught in the buy and hold world. BUT there is a niche "inside" this capacity to operate in optimized money making. This is the position trading and using a 100,000 share cap (about six capital doublings per year). You are correctly pursuing the niche between big money buy and hold and small money nimble position trading (4 to 6 days). The feature you will add at some point is the "sector factory"; it has about 200 elements and you can "use" all three shells to define it. Within each sector, you can differentiate the leaders and laggers stocks using sub sector factory criteria. The key clue here is the "relative rank" of each sector. In the strata of these setor groups, the MP really lags the rise (or fall) by measureable event offsets. So unlimited capital can be seguayed from one sector to another optimally. This is where you do computer dedicating for parallel analysis. Say you did get to have a saftey price (to handle bad news) If you see WAIT as preparation for the future,then you can have a "Gating Price" for early entry into a rising sector and trade the laggers after the gating price has been hit by the leaders. One final note. When the computer became a tool in the financial industry, the regulators, at some point, began to use it for "profiling" potential neer do wells (criminals). My lawyers did not give me a free hand with regard to "repairing" their mistakes. I would have liked to for the simple reason of "seeing what they were screwing up". Ultimately, I failed to be an insider trader for non technical reasons; but technically I continued to be a criminal who was no longer mistakenly cited. You are gaining in having an approach that will be profiled as "insider trader". I know you are only at the "value trader" orientation so far. But you do have the boxes on your flow sheets to "change the emphasis" of what is what for riding the ripples, waves and tides. Take a vacation sometime and sail through the "convergence". Our ship could only make 12 knots tacking under full power (22 knot hull speed). Markets do have prefect storms. This is when the regulators go nutso thnking the profits are impossible. Failsafe does not come from a safety price but your concept can be used appropriately on the "preparation" side. Ultimately there are four theme components of effective and efficient dynamic systems (automation of portfolios). You have considered about 3/8 of them. Best I have seen so far.
Now you have gotten me interested even though I should go sleep. XD What are those four theme components of which I considered 3/8? And why 3/8 when they are 4? Thanks in advance!
It is always the subjectivity of fundamental analysis with its tricky programming chart trading synch issues that prevents me from exploring such ideas in forex markets. Fear no evil, hear no evil, see no evil and that is robotic automation that won't ever be accused of manipulative trading. I prefer artificially intelligent genetically programmed robots to handle my trades. Summarizing api's though, building one is too time consuming for a thesis and won't be profitable anyway.
Subes, I have begun reading the document and also page one of this thread. At some point you may have said that this will also serve as a launching pad to make other systems and familiarize your self. Maybe I miss read, You mention allot of issues with the fundamental screening. Data is only for past 3 years and some aspects are not quantifiable such as the legal battle.... If I may give my suggestions here. Firstly you could use 3 years of data to pre screen, once the pre screen is done you can go and get get previous 7 years data. As I am sure you are aware, it is important to make sure the data has not been corrected. Also, keep an eye out for companies that may have been de listed. When we look back we tend to not look at recently de listed companies. But a true back test must look at those. I am sure you can see why. AS for the lawsuits and such, you may want to try a company that uses twitter like data as their raw data. Even a search engine may do. searching a company and certain default words can some times pop up a red flag. Instead of alerting one about the issue, just drop the stock. Now you can back test a bit more easily. Instead of relying on what you think you or a client would have done, you can simple see if the words ABAT and fraud popped up before the entry date. It does not need to perfect, more on this later. If you are looking for good ideas what you can do is find a rating agency, or a company that feels the urge to express their opinions. If you respect warren buffets ideas, you may want to simply choose from his current holdings. Theres alot of data you can add. The nature of data these days is such that at a point they actually stop helping. I have not read the whole article Like most that respond,I have not read the whole article. So excuse me if this was covered. Filtering for good ideas seems to be plagued with issues. I prefer the Waren buffet and analyst combo. But you could instead weed out bad companies. This may take out alot of the headaches. Hopefully you are left with companies that are for the most part OK. But you will have more of them. (Instead of few good companies) Less may not be better especially seeing as you have another stage. Instead of having 3-10 fundamentally good companies you will have 30-100. It sounds worse but think of it as you have the favourites and some medium long shots. Long shots pay off as much as favourites at the horse track. My Favorited was the sloppy track trifecta on the small tracks. no one saw that the nature of breeding made this a good bet. At times I was more in to it and missed going to the winner circle. Not only this, now you havent limited your other part of the system. Your more technical ideas can choose from a bigger universe. Let them have some say too. Actually, simply by pre screening with the TA and then using fundamentals you may be able to wipe out some of your competition. Fundmentaly it need not be perfect, remember you up against lines on charts arrows and what not. Take a look around the forum they are not magic. Nothing really is. You can also try to play with industry's and limit your self to what is hot. The under valued bit is good, let the analyst handle that. You should be able to find an analyst that has historical recommendations. Dont try to get the right stock (unless back testing proves the fundamentals perform twice as good.) A good goal to have is to have a trader us technicals on stocks that are not about to crash cause they have law suits or what not. You want good buy and hold stocks so that a trader can enjoy trading in an environment where he has a 5% advantage.Maybe get your picks from mutual funds? The idea is great and it need not be perfect , it just needs to be consistent. if it is off and not exactly what you want it is still consistent. The writing is peculiar to me. It is hard to understand the line of study. It is geared towards a study in markets and programming and commerce. I wonder what you are in. If it is more on the business side, there are other ideas that you can use. I find that a good free or add based back testing platform is lacking. As for this site. relax, you assume you need peoples help cause they seem smarter then you. You are here for reason, you post cause you want help. You do not post to help people. So your in the clear. I saw a few posts where you did some research to prove some one wrong, It may of been good for you. But it is not why you came here. 75% of a brain is a big chunk. What is left ? One must breath eat digest pulsate move fingers to type. Wow . Now words are formulated that put mine to shame. Not only that but a phd student is being corrected. So what is missing ? Maybe the 25% have been optimized. Or maybe me and you are running a bit low. (Your degree should balance us out to above 25%) If you stay on track you will find you will be on track. If you vear off course you will be on anothers course. Once that happens new ideas are taken away from me. and future new members P.S don't forget looking at volume during your screening. If you can program maybe you can get some ways to compare price and volume without having to give up a "seat in your living room". P.S.S. There is no evidence that academics are any worse that I have seen. The possibility of a bias here is huge. We like to say that the high school drop out has the most chances. I assume alot of trades are high school drop outs. maybe study's back up the claim. Typically a phd student is also less likely to lie on a survey. P.S.S You will find many here make the assumption that models that use information form the broker have a better advantage. you are adding in some thing that is related, but very distant on a intra day or week bases. There s a possibility that that unconnected inputs have a big advantage over the connected variables. Protect your 10,000 hours, go down your path.
Hi traitor786, thanks for your helpful response. MarkBrown is not a bad person, he just allowed himself some amusement with me. In fact he still helped me by expanding my views on this. My background is information technology. I did my bachelors degree in 3 semesters instead of 6 under special circumstances in applied informatics. I am now at the end of my masters degree with this thesis after 6 semesters in IT-Management. I am from Germany and 25 years old. During all this time I worked for a large IT-company in Germany in the field of customer loyalty. For that company I wrote a bachelor thesis regarding software product lines [SPL] (http://www.sei.cmu.edu/productlines/tools/framework/). I read the book from Phil Town more than three years ago and got the idea of learning about finance and start a hobby project to automate value investing. I decided to build a SPL platform at home to base that development on, which I finished after about a year. It implements scientifically new approaches to SPL-platforms and uses configuration management to facilitate artifact reuse to a high degree while preserving variability in products. After that I mostly only worked on the trading and investing stuff which resulted in this thesis and my trading platform idea. I learned about the finance and mathematics stuff on my way here in my free time. Also this is the first time I reach out widely with my work and ideas.
Maybe the API won't be profitable, but the stuff I learn while building it and the stuff I can create with it might become so. I guess I'm a learn-by-programming type of person.
If It is for IT I really have no input, the I guess it has nothing to with the idea but the work behind the screen. From what I gather the system can be seen as a typical algo with an added input of fundamental analysis. Though you offer many ways to filter the fundamental part, it is full of holes and issues. Besides your project, Maybe jumping directly in to the trading world is not the way to go. Before you get in to P/E ratios and Moving Averages why not go elsewhere. I am sure every relation has been noted. In a way you are doing much of what a member of this site does or hopes to do. keep in mind I have seen less then half you project. Today I skimmed over 2 posts one about gold and bonds and the other about the vix. These days good news can slide right by me as I use the net for my news source. It is great but sometimes searching for what I want vs being fed leads to missing important things. I just looked at yahoo and nothing stood out on the first page of finance. I Google'd and found that the vix made a 6 year extream. Going deeper, I learn that last time this happened the vix jumped up the next day by 60% Now I got to look in the post about bonds and gold. Last example, It is widely said that the average life span of a currency is 40 years and the US dollar must therefore collaps. people look at inflation. Today I read that hyper inflation is a reality, but historically, inflation has never taken down a core economy. It tends to effect the other economies. going back to the first example again, 6 year in one market or another occure often. the post I saw on ET went further looking at I think the corolation between vix and the DOW or the dows volume. he sited 20 or 30 year ext ream. You can see how there is so much mis information. and how such an occurance is not talked about that much. The system you built relys on real time data, alot of it and expensive data that cant be cross checked. This is when the idea of too much data becomes a bad thing. Errors are put in the system. Why not get free data. end of day yahoo data. add in coutries export number employment numbers ect. add in all markets and currencies and volume of each along with simple measures of things. have them all cross reference each other. as soon as a ratio develops that has not developed in the last 20 years or is out of a standard deviation the user is notified. accuracy is and lag are not issues. you can actually rate everything one a scale of 1-5 Even fomc can be rated by a analyst and you plot it in. You have all the markets seperated by industries. ect. end of day data or even end of week . Big money cant be withdrawn from a bank. nor can it be trusted in a single currency. Having volume and volume indicatators that also cross reference how ratio of volume change over price change and such, you should be able to see money flow form one market to the other. The data is free, bonds intrest rates metal comodities employment numbers exports imports gold currency, ... What can this system do when back tested ? well if i had it running here I would of seen the 6 year extreem on the vix. I would of seen the 20 or 30 year ext ream on the dow vs vix.I would of seen that the price move was odd. I would of seen other things too. maybe the relation of this to the price of gold was at record lows Maybe I would off seen money leaving the dow and money coming in to gold. More importantly as the ET poster stated the last time the relation was this high, the next day things exploded 60% (or whatever) But imagine if I had another occurance of this and the result was the same thing ! people play games over and over and economists try to understand it. No one gets it cause they lack to explain how relevant the information is. Here the system would tell the used only what is off of the norm what only occurs once in a blue moon. some ones selling the dow and the 3 other markets had added volume spread out over a week. Nothing to write home about, but your system is on the look out after money leaves some where to follow it so it sees that it is important. Once you have this, a pair trader can find another few indictaions. of what is happening. Gold and silver deviate from one another every once in a while. people bet. ... maybe there is more, maybe the deviation reverts to the norm once the euro usd relation revert to a norm. Now he can time things. and maybe understand what why they revert, what holds them together? and what are the triggers for entry maybe its new car sales. Its probably been done, its probably all summed up in the news any ways, it may have no "edge" but the data is out there. it can be double checked. and you seem to like to have alot of parameters. I guess its a model of the world. but we only look to cover what we can and try to be able to follow the money. you can run it and back test it. this can be your fundamental analysis. now your run your robot set to short the Dow and long gold or the usd.