Comments for Jump Up!

Comment on Information Theory and Portfolio Management by Soham Das

Soham Das — Tue, 30 Jun 2009 07:21:09 +0000

Hmm, there seems to be a lot many more “unknowns” in the equation.

Your selection of the filter which will pick stocks largely depends on the strategy you are employing. Trend Following will have different master-filter[if I am allowed to use it ] when compared to trend fading, or stat. arb for that matter.

You might like to ping me at my email, if you like to talk.

Comment on Information Theory and Portfolio Management by Prashanth

Prashanth — Tue, 30 Jun 2009 07:11:07 +0000

Thanks for the reply. To be honest, I don’t know for sure what I am looking for. I am working on building a stock trading strategy that shall pick stocks based upon some criteria which I still am not sure off.

I have tried Relative Strength based picking (Buy Strong and Rotate on either weekly or fortnightly basis), but results aren’t as good as I was expecting. Some sectors show strong co-relation while others haven’t. If results do not give a edge, what good would it be compared to just buying the hot stocks or even simpler, just tossing the coin where if done for a long time, one has a probability of 50% success. Mix some Money Management and that itself may outperform my strategy

This has moved me to see what kind of strategies (without Fundamental filters) can be thought of. I have read quite a bit and searched even more, but out in the open, there seems to be no idea providers . Hence looking for papers which have done studies as to whether on a longer run, there is any way to extract info from RS.

Comment on Information Theory and Portfolio Management by Soham Das

Soham Das — Tue, 30 Jun 2009 05:26:18 +0000

Hi Prashanth, Stock Ranking Papers as in?

Comment on Information Theory and Portfolio Management by Prashanth

Prashanth — Tue, 30 Jun 2009 05:21:30 +0000

Sorry about this off-topic question. Wanted to know if you are aware of any stock ranking (not ROC or Relative Strength based) papers that I can read about.

Comment on State of PMS in India by shakeel

shakeel — Mon, 29 Jun 2009 04:22:36 +0000

Very true Soham,and there is just too much emphasis on the degrees out here.Self acquired knowledge ,discipline is not valued.Anway the PMS are at a loss here.Continue the good work.

Comment on CodeName: Hector by Soham Das

Soham Das — Fri, 26 Jun 2009 08:11:38 +0000

Very good question, Prashanth,
As mentioned in the previous comment, yes I have undertaken OOS tests, in other markets[same tf] as well as, in NIFTY itself with recent OOS data.

The results match.

More importantly the delay set is 1. The commissions are standard 3bps of trade value.

Hope, I answered your question

Comment on CodeName: Hector by Prashanth

Prashanth — Fri, 26 Jun 2009 07:59:55 +0000

Maybe a bit late, but have you done a OOS test? How vastly does it differ from above backtest. Also, what were the settings (Delay, Charges, etc).

Thanks

Prashanth

Comment on About by Gangineni Dhananjhay

Gangineni Dhananjhay — Wed, 24 Jun 2009 15:34:20 +0000

Hi Soham,

Interesting posts viewing financial markets with quantitative lens. I came to your blog via MarketSci. one similarity is having a Btech degree in ECE. another is my near devotion to Dr Brett Steenbarger’s writings. My blog is http://www.hilotrader.blogspot.com

Comment on Implications of Sharpe Ratio by diego joachin

diego joachin — Fri, 19 Jun 2009 16:03:04 +0000

Hi
What do you think about the relation between using Zvalue and sharpe ratio? What other performance indicators would you suggest?

Thnx for the papaer, I will read it and possibly comment about it at other blog where I tend to post [www.ca-bi.com/blackbox].

Hope this be the start of speculative relation.

Comment on To Fade or To Follow by Soham Das

Soham Das — Thu, 11 Jun 2009 04:04:07 +0000

Hi Eric,
11k contracts is a healthy number from SGX standards. Right now I am staring at 294 contracts as volume traded for 11thJune, 0932 IST [GMT-5.30].

Hence I would suggest you to trade the Indian markets if possible directly. The catchword is “if possible”