Droskill -
I was lumping together a couple of monthly biases. I'm a little pressed
for time, but let me see if I can offer some info. For market indexes
-
* There is the well-documented end of month effect that you referred
to
* There is a positive bias to certain months in year 1, 3, and 4 of
the presidential cycle
For rotational systems -
* Many monthly systems with intermediate holding periods will perform
better if the rotation is done after the first trading day of a month -
this can be a little counterintuitive
* Some trading systems show improvement when waiting till the next
Friday
I, and others, could theorize about why, but it is difficult, if not
impossible, to prove cause and effect. So, my testing has mainly
focused on proving these biases to be robust.
Lastly, if you want to consider sectors and monthly bias, and also see a
little bit of a conundrum about whether something is "too optimized" or
not, you might take a look at the system behind the following links -
http://www.cxoadvisory.com/blog/reviews/blog1-07-10/
http://www.optionetics.com/market/articles/18343
-- BruceR
--- In [email protected], "droskill" <drosk...@...> wrote:
>
> When you say "strong monthly bias" are you referring to the
End-of-month/beginning-of-month bias? I'm also curious what you mean by
Friday bias if you feel like sharing.
>
> Thanks again!
>
> --- In [email protected], "Bruce" brucer@ wrote:
> >
> > You're welcome and glad that you found it useful. I use rotational
systems quite a bit in my investing and in some work that I do for a
couple of money managers. FWIW, I've found reasonably strong monthly
bias and also Friday bias that improves many systems, and that I monitor
in an ongoing basis. I've also gotten a few requests through AmiBrokerU
about rotational techniques. So, I'll try to post some more about it.
> >
> > -- BruceR
> >
> > --- In [email protected], "droskill" <droskill@> wrote:
> > >
> > > Bruce - just wanted to thank you for the PeriodSig function -
fantastic and something I've needed for some time.
> > >
> > > --- In [email protected], "Bruce" <brucer@> wrote:
> > > >
> > > > I'm buried in some end of the year paperwork right now, but let
me offer a couple of quick comments.
> > > >
> > > > 1. The dropdown list of names is in the expanded version that I
plan to put in the subscriber area along with some other functions
related to portfolio mixes, such as percentage allocations, re-balance
intervals, etc. My long-term intent is really to offer "starter"
examples in the FREE CODE area that users can expand on. We want to
concentrate on breadth of topics there.
> > > >
> > > > 2. One simple tip that might help deal with WL numbers in many
places is to name your watchlist to their number plus that name. That
will make the numbers easier to find in a long list of names in the
watchlist tree. For example, my watchlist 13 is named "13 - Select".
> > > >
> > > > 3. Lastly, the ATC should be going into Group 253 since
atcFlagDefaults was used in the ATC call in the example that I posted.
I may have misread your note, but it seemed to say that you believe are
seeing it in the watchlist. As far as what the ATC is named, you can
use the name instead of the number by changing the AddtoComposite
statement to the following -
> > > >
> > > > AddToComposite( Lavg, "~ListAvg_" + CategoryGetName(
categoryWatchlist, wlnum ),
> > > > "X", atcFlagDefaults + atcFlagEnableInIndicator );
> > > >
> > > >
> > > > -- BruceR
> > > >
> > > >
> > > > --- In [email protected], furinkazaan <furinkazaan@>
wrote:
> > > > >
> > > > > Bruce, I notice that the parameters use a WLNUMfor a watch
list number.
> > > > > Since I intend to run this on many sectoral watchlists, I
wonder if we can
> > > > > show the 'Watchlist Name' instead of/ in addition to WL NUM?
Can the
> > > > > Parameters dialog be coded to offer a drop-down list of all
watchlists to
> > > > > the current market? Can the LAVG be defined to show "~ListAVg"
+ Watchlist
> > > > > Name?
> > > > >
> > > > > while its fantastic that each atc is written ijnto the
watchlist folder for
> > > > > which it is computed, if I got them all into 1 group to check,
say relative
> > > > > performance, then I'd have trouble identifying eact atc by
just the WL Num.
> > > > >
> > > > > can you help? Best wishes for a great year ahead!
> > > > >
> > > > >
> > > > > 2009/12/11 furinkazaan <furinkazaan@>
> > > > >
> > > > > > Thanks very much Bruce. I intend to set this up over the
weekend. I'll
> > > > > > report progress.
> > > > > >
> > > > > > 2009/12/9 Rick Osborn <ricko@>
> > > > > >
> > > > > >
> > > > > >>
> > > > > >>
> > > > > >>
> > > > > >> changed the AA range and ran a dummy scan. That did the
trick
> > > > > >> Thanks
> > > > > >>
> > > > > >>
> > > > > >> ------------------------------
> > > > > >> *From:* Bruce <brucer@>
> > > > > >> *To:* [email protected]
> > > > > >> *Sent:* Tue, December 8, 2009 8:16:46 PM
> > > > > >>
> > > > > >> *Subject:* [amibroker] Re: AmibrokerU Update
> > > > > >>
> > > > > >>
> > > > > >>
> > > > > >> Rick -
> > > > > >>
> > > > > >>
> > > > > >> Not much info, so I can't be sure. A SWAG would be to check
the From/To
> > > > > >> range in the AA window. As I noted in the original article,
I used the
> > > > > >> existing AA user interface as an easy way to control the
range. If that is
> > > > > >> it, you can change the AA range and run a dummy scan to
"set it". Or, you
> > > > > >> might want to look at the ListAvg AFL code for a comment
that notes that a
> > > > > >> variable called "bir" can be set to 1 to use all bars by
default.
> > > > > >>
> > > > > >> -- Bruce
> > > > > >>
> > > > > >> --- In amibro...@yahoogrou ps.com
<amibroker%40yahoogroups.com>, Rick
> > > > > >> Osborn <ricko@> wrote:
> > > > > >> >
> > > > > >> > Bruce
> > > > > >> > All the values in all the watchlists are 1000.
> > > > > >> > What am I doing wrong?
> > > > > >> >
> > > > > >> >
> > > > > >> >
> > > > > >> >
> > > > > >> >
> > > > > >> > ____________ _________ _________ __
> > > > > >> > From: Bruce <brucer@>
> > > > > >> > To: amibro...@yahoogrou ps.com
<amibroker%40yahoogroups.com>
> > > > > >>
> > > > > >> > Sent: Tue, December 8, 2009 2:28:20 PM
> > > > > >> > Subject: [amibroker] Re: AmibrokerU Update
> > > > > >> >
> > > > > >> >
> > > > > >> > Sure, I'll give a (hopefully) useful example. And, I'll
try to do more
> > > > > >> > of this, where possible, in the future. In order to
facilitate this,
> > > > > >> > though, it is best to use a Chart Template, Complete file
and record a
> > > > > >> > generic procedure for how to use it. Rather than
introduce that now,
> > > > > >> > I'll walk you through a manual install.
> > > > > >> >
> > > > > >> > So, download the ListAvg.afl file to your include
directory. If you
> > > > > >> > have done a stock install, it will be at C:\Program
> > > > > >> > Files\Amibroker\ Formulas\ Include. You can verify this
by selecting the
> > > > > >> > Tools / Preferences menu and then the AFL tab. The
standard include
> > > > > >> > path will be the first Pick button.
> > > > > >> >
> > > > > >> > Now, take the following code and either save it in your
Custom formulas
> > > > > >> > directory, or enter it into the code editor. The editor
can be launched
> > > > > >> > from the Analysis / Formula Editor menu.
> > > > > >> >
> > > > > >> > Once it is copied into the editor, you can use the Tools
/ Insert Chart
> > > > > >> > menu to get a chart.
> > > > > >> >
> > > > > >> > This indicator uses parameters to select a watchlist to
perform the
> > > > > >> > ListAvg on. Right click on the chart and select
parameters.. You will
> > > > > >> > need to enter a watchlist number. When ready, click the
Calculate
> > > > > >> > parameter button to perform the calculation. Since this
can be lengthy,
> > > > > >> > it is only done on user action. But, it is written to an
AddtoComposite
> > > > > >> > ticker ("~ListAvg" + number) for each watchlist, and
simply read
> > > > > >> > thereafter.
> > > > > >> >
> > > > > >> > #include <ListAvg.afl>
> > > > > >> > wlnum = Param( "Watchlist", 13, 1, 100, 1 );
> > > > > >> > trig = ParamTrigger( "Calculate", "CLICK" );
> > > > > >> > Lavg = Nz( Foreign( "~ListAvg" + wlnum , "C" ) );
> > > > > >> > if ( trig )
> > > > > >> > {
> > > > > >> > Lavg = ListAvg( CategoryGetSymbols( categoryWatchlist,
wlnum
> > > > > >> > ) );
> > > > > >> > AddToComposite( Lavg, "~ListAvg" + wlnum, "X",
> > > > > >> > atcFlagDefaults + atcFlagEnableInIndi cator );
> > > > > >> > }
> > > > > >> > Plot( Lavg, "Watchlist " + wlnum + " ListAvg",
colorDefault );
> > > > > >> >
> > > > > >> > Lastly, since you mentioned sector averages - I'll
mention one example
> > > > > >> > use from my experience. Technology averages do not
typically indicate
> > > > > >> > the health of innovative small-cap tech stocks. The
averages are driven
> > > > > >> > by Intel, Microsoft, etc. An average of targeted,
innovative small-cap
> > > > > >> > tech companies in a watchlist can be more useful for
stock investing.
> > > > > >> >
> > > > > >> > Hope that helps.
> > > > > >> > -- Bruce
> > > > > >> >
> > > > > >> > --- In amibro...@yahoogrou ps.com, furinkazaan
<furinkazaan@ ...>
> > > > > >> wrote:
> > > > > >> > >
> > > > > >> > > Bruce, thanks for the afl. It comes at the most
oppurtune time when
> > > > > >> > I'm
> > > > > >> > > considering creation of many sectoral indices. However,
rookie that I
> > > > > >> > am, I
> > > > > >> > > am not able to figure out how to use the AFL. I would
appreciate a
> > > > > >> > > step-by-step detail on how to use it, including where
to copy the afl,
> > > > > >> > where
> > > > > >> > > to store the csv list of tickers etc., and how to run
it.. Can the afl
> > > > > >> > be
> > > > > >> > > pointed to a watchlist instead of a csv file of
tickers?
> > > > > >> > >
> > > > > >> > > Thanks again.
> > > > > >> > >
> > > > > >> > >
> > > > > >> > > 2009/11/18 Bruce brucer@
> > > > > >> > >
> > > > > >> > > >
> > > > > >> > > >
> > > > > >> > > > Quick update - I've added a Free Code module and Free
Code article
> > > > > >> > to
> > > > > >> > > > AmibrokerU called ListAvg. For those who need for an
equal weighted
> > > > > >> > > > average of a list of tickers, the Code module
provides a function
> > > > > >> > that
> > > > > >> > > > implements the result in a single call. If you are
interested in the
> > > > > >> > > > background on the need for this function, and the
problem with other
> > > > > >> > > > types of index and list averages, the article should
be of interest.
> > > > > >> > > > Here are the links (sorry they are long, I'll fix
that soon) -
> > > > > >> > > >
> > > > > >> > > >
> > > > > >> > http://www.amibroke ru.com/FreeLibra ry/FreeCode/
tabid/99/
> > > > > >> articleType/ Arti\
> > > > > >> > \
> > > > > >> > > >
> > > > > >> > cleView/articleId/ 109/ListAvg- ndash-A-Function
-to-Calculate-
> > > > > >> an-Equal- Wei\
> > > > > >> > \
> > > > > >> > > >
> > > > > >> > ghted-Average- of-a-List- of-Tickers.
aspx<http://www.amibroke
> > > > > >> ru.com/FreeLi\
> > > > > >> > brary/FreeCode/ tabid/99/ articleType/ ArticleView/
articleId/
> > > > > >> 109/ListAvg- nd\
> > > > > >> > ash-A-Function- to-Calculate- an-Equal- Weighted-
Average-of- a-List-of-
> > > > > >> Ticke\
> > > > > >> > rs..aspx>
> > > > > >> > > >
> > > > > >> > > >
> > > > > >> > http://www.amibroke ru.com/FreeLibra ry/FreeArticles/
tabid/63/
> > > > > >> articleType/ \
> > > > > >> > \
> > > > > >> > > >
> > > > > >> > ArticleView/ articleId/ 110/ListAvg- ndash-Uses-
and-Example.. aspx<
> > > > > >> http://www\
> > > > > >> <http://www>> .amibrokeru. com/FreeLibrary/ FreeArticles/
tabid/63/
> > > > > >> articleType/ ArticleVie\
> > > > > >> > w/articleId/ 110/ListAvg- ndash-Uses- and-Example. aspx>
> > > > > >> > > >
> > > > > >> > > > As we prepare to open up subscriptions to AmibrokerU
soon, I've
> > > > > >> > received
> > > > > >> > > > some questions about what types of free and
subscription content
> > > > > >> > that we
> > > > > >> > > > plan to add. In general, we will offer "lite" of
"subset" versions
> > > > > >> > of
> > > > > >> > > > premium code and articles available in the
subscription sections.
> > > > > >> > > > ListAvg is an example of that. It implements an equal
weighted
> > > > > >> > average
> > > > > >> > > > of a CSV list, and is effectively re-balanced daily.
Plans call for
> > > > > >> > a
> > > > > >> > > > full-featured routine in the subscription section
called WtMixRebal
> > > > > >> > that
> > > > > >> > > > implements weighed averages that can be re-balanced
at different
> > > > > >> > periods
> > > > > >> > > > or based upon a signal. This module is useful for
index averages as
> > > > > >> > > > well as portfolio modeling of a weighted list of
tickers with
> > > > > >> > shorting
> > > > > >> > > > and margin with a fast, single function call.
> > > > > >> > > >
> > > > > >> > > > In addition to educational articles, I'm going to try
to cover
> > > > > >> > broader
> > > > > >> > > > topics of applications, with examples, that I've
found useful. In
> > > > > >> > that
> > > > > >> > > > spirit, the next topic will be about connecting to
Excel and
> > > > > >> > > > manipulating spreadsheets, charts, and data. That may
seem a little
> > > > > >> > > > odd, but there are many uses for such an interface -
both for input
> > > > > >> > to
> > > > > >> > > > and output from Amibroker. For example - summary bar
charts, command
> > > > > >> > > > button trading control, etc. More later ....
> > > > > >> > > >
> > > > > >> > > > -- BruceR
> > > > > >> > > >
> > > > > >> > > >
> > > > > >> > > >
> > > > > >> > >
> > > > > >> >
> > > > > >>
> > > > > >>
> > > > > >>
> > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
