Comments for Skill Analytics http://skillanalytics.wordpress.com A blog dedicated to discussing system-based trading strategies Fri, 07 Aug 2009 22:28:54 +0000 http://wordpress.com/ hourly 1 Comment on What I’m reading…. by fisherinvestments1 http://skillanalytics.wordpress.com/2009/05/15/what-im-reading/#comment-519 fisherinvestments1 Fri, 07 Aug 2009 22:28:54 +0000 http://skillanalytics.wordpress.com/?p=473#comment-519 I'm from Fisher Investments and we have a new book out on recognizing the signs of financial fraud: <a href="http://www.cnbc.com/id/32271868" rel="nofollow">How to Smell a Rat: The Five Signs of Financial Fraud</a> I’m from Fisher Investments and we have a new book out on recognizing the signs of financial fraud: How to Smell a Rat: The Five Signs of Financial Fraud

]]> Comment on Mathematical Masterbation by Max Dama http://skillanalytics.wordpress.com/2009/01/27/mathematical-masterbation/#comment-516 Max Dama Sun, 19 Jul 2009 00:39:40 +0000 http://skillanalytics.wordpress.com/?p=341#comment-516 Damian, I just found this post. Looked through the site (this might be the second time, not sure). Liked this one especially: http://skillanalytics.wordpress.com/2009/04/22/final-found-a-document-ive-been-looking-for-the-seven-sins-of-fund-management/ Combine that with Investors Intelligence's poll of FAs for a nice contrarian indicator: (free source) http://www.schaeffersresearch.com/streetools/market_tools/investors_intelligence.aspx I'm a normal kid fyi (I study on the weekend though which maybe gives me an edge). Anyway, none of the many people I've talked to about algo trading have found pure machine learning systems to be their holy grail. dskill - I trade about 1-2 times a week, but never scheduled, based on discretionary views and I also take advantage of two recurring/persistent inefficiencies (looking for more). Besides that I have a long-term/value portfolio and am looking into physical real estate. So far the machine learning systems I've tested haven't produced results I would feel confident trading on, especially intraday. It takes work to clean the data and build a bug-free system but I'm still optimistic. Persistent inefficiencies/arbs have been best in terms of reward/risk for me so far. Regards, Max Damian,

I just found this post. Looked through the site (this might be the second time, not sure). Liked this one especially: http://skillanalytics.wordpress.com/2009/04/22/final-found-a-document-ive-been-looking-for-the-seven-sins-of-fund-management/
Combine that with Investors Intelligence’s poll of FAs for a nice contrarian indicator: (free source) http://www.schaeffersresearch.com/streetools/market_tools/investors_intelligence.aspx

I’m a normal kid fyi (I study on the weekend though which maybe gives me an edge).

Anyway, none of the many people I’ve talked to about algo trading have found pure machine learning systems to be their holy grail.

dskill – I trade about 1-2 times a week, but never scheduled, based on discretionary views and I also take advantage of two recurring/persistent inefficiencies (looking for more). Besides that I have a long-term/value portfolio and am looking into physical real estate. So far the machine learning systems I’ve tested haven’t produced results I would feel confident trading on, especially intraday. It takes work to clean the data and build a bug-free system but I’m still optimistic. Persistent inefficiencies/arbs have been best in terms of reward/risk for me so far.

Regards,
Max

]]> Comment on RSI(2) System – Stock Trading System Fail! by doji http://skillanalytics.wordpress.com/2008/05/24/rsi2-system-stock-trading-system-fail/#comment-508 doji Sun, 14 Jun 2009 00:08:06 +0000 http://skillanalytics.wordpress.com/?p=33#comment-508 If some thing as simple as the one described works, market automatically corrects itself, if you know what I mean :) IMO, RSI is best used at avoid wrong whipsaws or timing entries. I have built a stochastics + RIS + some custom indicators bases system that works we pretty well. You may like to try. Doji If some thing as simple as the one described works, market automatically corrects itself, if you know what I mean :)

IMO, RSI is best used at avoid wrong whipsaws or timing entries. I have built a stochastics + RIS + some custom indicators bases system that works we pretty well. You may like to try.

Doji

]]> Comment on Survivorship Bias – A note to all developers of system testing software by dskills http://skillanalytics.wordpress.com/2009/02/06/survivorship-bias-a-note-to-all-developers-of-system-testing-software/#comment-502 dskills Mon, 08 Jun 2009 11:54:47 +0000 http://skillanalytics.wordpress.com/?p=361#comment-502 Agreed Cyrus - I just wish I could find a good solution to the problem! Agreed Cyrus – I just wish I could find a good solution to the problem!

]]> Comment on Survivorship Bias – A note to all developers of system testing software by Cyrus http://skillanalytics.wordpress.com/2009/02/06/survivorship-bias-a-note-to-all-developers-of-system-testing-software/#comment-501 Cyrus Mon, 08 Jun 2009 11:26:16 +0000 http://skillanalytics.wordpress.com/?p=361#comment-501 The historical record shows that most stocks under-perform the indexes they are members of and many of them lose virtually all their value. Survivorship bias is VERY significant: http://michaelcovel.com/pdfs/TrendingStocksDriveTheMarket.pdf The historical record shows that most stocks under-perform the indexes they are members of and many of them lose virtually all their value. Survivorship bias is VERY significant:

http://michaelcovel.com/pdfs/TrendingStocksDriveTheMarket.pdf

]]> Comment on MOMO1 by MOMO1 has buys for tomorrow… « Skill Analytics http://skillanalytics.wordpress.com/strategies/momo1/#comment-492 MOMO1 has buys for tomorrow… « Skill Analytics Mon, 01 Jun 2009 21:05:36 +0000 http://skillanalytics.wordpress.com/?page_id=15#comment-492 [...] right now.  In any case, we have 3 stocks for purchase tomorrow at the close being generated by MOMO1 – SLX, GDX and EWS.  We also have the Skills Index about to go on Buy [...] [...] right now.  In any case, we have 3 stocks for purchase tomorrow at the close being generated by MOMO1 – SLX, GDX and EWS.  We also have the Skills Index about to go on Buy [...]

]]> Comment on Why Mutual Funds Don’t Think Outside The Box by TigerFund http://skillanalytics.wordpress.com/2009/02/18/why-mutual-funds-dont-think-outside-the-box/#comment-470 TigerFund Sun, 24 May 2009 17:14:14 +0000 http://skillanalytics.wordpress.com/?p=390#comment-470 Not only MF managers as a group under performed the market because of their bureaucracies and laziness, but also, since they are the biggest money segment, they failed the country as the watch dog of our wealth and assets. Within 1-2 year time span, 401K became 201K, pension fund got bankrupted, our financial market became the play ground of a few gamblers in the last 10 years, where were these MF managers as a group? Do they deserve the huge pay check they got? To me, that's the more important issue to our society. Not only MF managers as a group under performed the market because of their bureaucracies and laziness, but also, since they are the biggest money segment, they failed the country as the watch dog of our wealth and assets.

Within 1-2 year time span, 401K became 201K, pension fund got bankrupted, our financial market became the play ground of a few gamblers in the last 10 years, where were these MF managers as a group? Do they deserve the huge pay check they got?

To me, that’s the more important issue to our society.

]]> Comment on New Tool: Relative Strength by trader847 http://skillanalytics.wordpress.com/2009/01/25/new-tool-relative-strength/#comment-467 trader847 Sat, 23 May 2009 21:54:52 +0000 http://skillanalytics.wordpress.com/?p=337#comment-467 I have read Michael Carr's new book and have only been able to use the moving average ratio as an RS tool. I was happy to see this discussion because I wanted to use the alpha strategy in Tradestation but was unable to figure out the calculation. Since I'm doing a linear regression on the price changes of the stock and S&P 500, do I use daily price changes or weekly and how many data points do I need. I wanted to do the regression in Tradestation and not Excel and form an array of price changes for each stock and the index so that I could run the calculation on a universe of stocks. What is the exact calculation for alpha? And can I just select the high alpha stocks; what need is there to divide by the standard deviation of the alpha's for the universe of stocks. Thank you - Frank I have read Michael Carr’s new book and have only been able to use the moving average ratio as an RS tool. I was happy to see this discussion because I wanted to use the alpha strategy in Tradestation but was unable to figure out the calculation. Since I’m doing a linear regression on the price changes of the stock and S&P 500, do I use daily price changes or weekly and how many data points do I need. I wanted to do the regression in Tradestation and not Excel and form an array of price changes for each stock and the index so that I could run the calculation on a universe of stocks. What is the exact calculation for alpha? And can I just select the high alpha stocks; what need is there to divide by the standard deviation of the alpha’s for the universe of stocks. Thank you – Frank

]]> Comment on Leverage killed the Investment Bank star by Stock Forum http://skillanalytics.wordpress.com/2008/09/18/leverage-killed-the-investment-bank-star/#comment-444 Stock Forum Mon, 18 May 2009 23:59:34 +0000 http://skillanalytics.wordpress.com/?p=116#comment-444 I will be linking to your site great article. I will be linking to your site great article.

]]> Comment on Leverage killed the Investment Bank star by Stock Forum http://skillanalytics.wordpress.com/2008/09/18/leverage-killed-the-investment-bank-star/#comment-443 Stock Forum Mon, 18 May 2009 23:59:17 +0000 http://skillanalytics.wordpress.com/?p=116#comment-443 I will be linking back I really like your site keep up the good work. I will be linking back I really like your site keep up the good work.

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