Ping Ed

Ed, I am ready to delve further into being a more active trader (open
and closed funds only, no individual stocks at this time) and I need to
request a favor. I have read your posts for years at FA ( btw, glad to
see that you are back) and I believe that you, uncleharly and lead
could give me some basic information on momentum trading. I am looking
into patching together a home brewed proggy to help automate the
process. Specifically, I would like to know what momentum tools you
use. This would not be what commercial program you use, but rather
that you look at say the price delta on a daily/weekly basis and do a
comparison against members of it's group, recommended books/authors,
websites etc. that you could point me to. All this would be a big help
coming from someone who has a feel for the process already. I am sure
that this will not be a speedy process for me. I am like a lot of
people who learn the most when they are actually doing a task. To
actually program the tool, I by definition, must understand the
concepts first. Otherwise I would just be wasting time, which could be
better spent on other things, like drinking beer. Is this something
that you might be interested in helping out with? TIA

Re: Ping Ed

Well, I don't use any particular system. I do assemble a buch of small
hypothetical portfolios by region and sector. I watch them and see if one or
more of them stands out. If one seems to be doing well I might purchase the
strongest ETF/CEF in the group. I occassionally reset the start date and
prices of the groups so it's easier to what's going on now rather than what
the results are from say the start of the year.

Groups that I'm currently watching are:
Gold - IAU GLD (only need one of these)
Health - XLV VHT IYH IBB IXJ BBH PPH
Dow Sectors - IDU, the rest all start with IY, M C K E F G H J R W Z
Global iShares - IXC IXG IXJ IXN IXP IOO EFA
Latin - BZF CH EWZ EWW LAQ LDF MXE MXF ILF
Japan - EWJ ITF FJSCX JOF JEQ N225 UJPIX
S&P Select Sectors -
Asia - APB APF CHN EPP EWA EWH EWJ EWM EWS EWT EWY FXI GCH GRR IF IFN IIF
JEQ JFC JOF KEF KF MF SAF SGF TDF TF TFC TTF TWN
Europe - CEE EF EWG GER GF IRL RNE SWZ TRF SNF EWO EWK EWN EZU EWQ EWI EWP
EWD EWL EWU IEV
US Value - IVE IJJ IJS IWD IWN IWW IWS
US Growth - IVW IJK IJT IWF IWO IWZ IWP
Global Indexes - ^N225 ^KS11 ^TWII ^STI ^HSI ^SETI ^KLSE ^MXX ^GSPTSE ^FCHI
^GDAXI ^FTSE
Emerging markets - EMF MSF

I also have a few watchlists. That's about it, well, that and looking into
why a particular group may be doing well using newspapers that are local
whenever possible.


"gander" <> wrote

> Ed, I am ready to delve further into being a more active trader (open
> and closed funds only, no individual stocks at this time) and I need to
> request a favor. I have read your posts for years at FA ( btw, glad to
> see that you are back) and I believe that you, uncleharly and lead
> could give me some basic information on momentum trading. I am looking
> into patching together a home brewed proggy to help automate the
> process. Specifically, I would like to know what momentum tools you
> use. This would not be what commercial program you use, but rather
> that you look at say the price delta on a daily/weekly basis and do a
> comparison against members of it's group, recommended books/authors,
> websites etc. that you could point me to. All this would be a big help
> coming from someone who has a feel for the process already. I am sure
> that this will not be a speedy process for me. I am like a lot of
> people who learn the most when they are actually doing a task. To
> actually program the tool, I by definition, must understand the
> concepts first. Otherwise I would just be wasting time, which could be
> better spent on other things, like drinking beer. Is this something
> that you might be interested in helping out with? TIA
>

Re: Ping Ed

"Properly measured, the average actively managed dollar must underperform
the average passively managed dollar, net of costs. Empirical analyses that
appear to refute this principle are guilty of improper measurement."
- William F. Sharpe, Nobel Laureate in Economics, 1990
The Arithmetic of Active Management, The Financial Analysts' Journal Vol.
47, No. 1, January/February 1991. pp. 7-9

Order Our New Hardcover Book:
Index Funds: The 12-Step Program for Active Investors




"gander" <> wrote in message
news:
> Ed, I am ready to delve further into being a more active trader (open
> and closed funds only, no individual stocks at this time) and I need to
> request a favor. I have read your posts for years at FA ( btw, glad to
> see that you are back) and I believe that you, uncleharly and lead
> could give me some basic information on momentum trading. I am looking
> into patching together a home brewed proggy to help automate the
> process. Specifically, I would like to know what momentum tools you
> use. This would not be what commercial program you use, but rather
> that you look at say the price delta on a daily/weekly basis and do a
> comparison against members of it's group, recommended books/authors,
> websites etc. that you could point me to. All this would be a big help
> coming from someone who has a feel for the process already. I am sure
> that this will not be a speedy process for me. I am like a lot of
> people who learn the most when they are actually doing a task. To
> actually program the tool, I by definition, must understand the
> concepts first. Otherwise I would just be wasting time, which could be
> better spent on other things, like drinking beer. Is this something
> that you might be interested in helping out with? TIA
>

Re: Ping Ed

NoEd wrote:
> "Properly measured, the average actively managed dollar must underperform
> the average passively managed dollar, net of costs. Empirical analyses that
> appear to refute this principle are guilty of improper measurement."
> - William F. Sharpe, Nobel Laureate in Economics, 1990
> The Arithmetic of Active Management, The Financial Analysts' Journal Vol.
> 47, No. 1, January/February 1991. pp. 7-9
>
In the 6th edition of his book "Investments", Sharpe et al, he quotes
the reference above but not, as far as I can see, your actual sentence.
He does, however, have a section on "Evaluating Investment System" on
pages 804-5 in which he refers to the holy grail of mechanical
investment systems and the claims made by their originators. He then
discusses the 7 most common errors made by the claimants with the result
that "..their proofs often rest on shaky ground." He does not quite say
"always" but that is the implication and he recommends caveat emptor to
those contemplating buying such systems.

Observers might note a worrying trend here, that I have agreed with NoEd
at least twice now :-)



> Order Our New Hardcover Book:
> Index Funds: The 12-Step Program for Active Investors
>
Who are the authors of "Our Book"?

>
>
>
> "gander" <> wrote in message
> news:
>
>>Ed, I am ready to delve further into being a more active trader (open
>>and closed funds only, no individual stocks at this time) and I need to
>>request a favor. I have read your posts for years at FA ( btw, glad to
>>see that you are back) and I believe that you, uncleharly and lead
>>could give me some basic information on momentum trading. I am looking
>>into patching together a home brewed proggy to help automate the
>>process. Specifically, I would like to know what momentum tools you
>>use. This would not be what commercial program you use, but rather
>>that you look at say the price delta on a daily/weekly basis and do a
>>comparison against members of it's group, recommended books/authors,
>>websites etc. that you could point me to. All this would be a big help
>>coming from someone who has a feel for the process already. I am sure
>>that this will not be a speedy process for me. I am like a lot of
>>people who learn the most when they are actually doing a task. To
>>actually program the tool, I by definition, must understand the
>>concepts first. Otherwise I would just be wasting time, which could be
>>better spent on other things, like drinking beer. Is this something
>>that you might be interested in helping out with? TIA
>>
>
>
>

Re: Ping Ed

Latest list not included: Technology
IXN XLK IYW IGW IGM IGV IGN PSI PSJ VGT

Since Nov 1, PSI and IGW have been the strongest in a strong group.
Each are in the semiconductor sub-sector and are up about 15%.
Six month chart gives IGW a slight edge, 3 month chart gives PSI a slight
edge.
They track pretty closely so spreads would probably determine which to buy
if shopping tech etf's.


"gander" <> wrote in message
news:
> Ed, I am ready to delve further into being a more active trader (open
> and closed funds only, no individual stocks at this time) and I need to
> request a favor. I have read your posts for years at FA ( btw, glad to
> see that you are back) and I believe that you, uncleharly and lead
> could give me some basic information on momentum trading. I am looking
> into patching together a home brewed proggy to help automate the
> process. Specifically, I would like to know what momentum tools you
> use. This would not be what commercial program you use, but rather
> that you look at say the price delta on a daily/weekly basis and do a
> comparison against members of it's group, recommended books/authors,
> websites etc. that you could point me to. All this would be a big help
> coming from someone who has a feel for the process already. I am sure
> that this will not be a speedy process for me. I am like a lot of
> people who learn the most when they are actually doing a task. To
> actually program the tool, I by definition, must understand the
> concepts first. Otherwise I would just be wasting time, which could be
> better spent on other things, like drinking beer. Is this something
> that you might be interested in helping out with? TIA
>

Re: Ping Ed

Thanks for the information; I now have a better picture.

What causes an initial strike position on the stock/cef's you are
watching - just a price move by a certain %? Is your style of
investing something like this: you have a set amount that you are
willing to allocate to an investment, after the initial strike position
and positive movement you continue to invest up to you allocation?

Which broker are you currently using? What do you like about the
broker to continue your business with them. Assuming that my project
continues to progress, I am sure that I will politely pester you again.

Re: Ping Ed

"gander" <> wrote

> Thanks for the information; I now have a better picture.
>
> What causes an initial strike position on the stock/cef's you are
> watching - just a price move by a certain %? Is your style of
> investing something like this: you have a set amount that you are
> willing to allocate to an investment, after the initial strike position
> and positive movement you continue to invest up to you allocation?

No I lump sum. Here's a picture:


If you look at the 50 day (red) line and the 100 day (green) line, you will
see that they crossed in May. Shortly after that the MACD signal went above
zero. I bought then. LDF is my favorite Latin fund.

You can try this with some other funds to see how you would have done.
Sometimes you need to adjust the MA's to see how the results differ. I often
sell too soon, usually when something gets too good to be true.

Re: Ping Ed

Ed wrote:
>I occassionally reset the start date and
> prices of the groups so it's easier to what's going on now rather than what
> the results are from say the start of the year.

Becoming more of a random occurance for me, 3, 4, x yearly, and needn't
be over all the groups, especially while only fewer groups are tracked.
Underlying profit is probably the factor that drives me to reposition
balances to zero and push for another move. Usually has to be money on
the line, too. Notes I keep in an couple of areas tend to be
overlooked unless they're serious on put money.

> Gold - IAU GLD (only need one of these)

I was tracking/considering gold from someone else posting awhile back,
various offerings between fund/etf/stocks - bought into a stock.



Fingers crossed, recent and pushing, nor quite out of marginal
territory.

Re: Ping Ed

I recently bought some GLD:


While earnings may improve for miners as the gold price rises the stocks in
this group are a miserable lot.




"Flasherly" <> wrote in message
news:
>
> Ed wrote:
>>I occassionally reset the start date and
>> prices of the groups so it's easier to what's going on now rather than
>> what
>> the results are from say the start of the year.
>
> Becoming more of a random occurance for me, 3, 4, x yearly, and needn't
> be over all the groups, especially while only fewer groups are tracked.
> Underlying profit is probably the factor that drives me to reposition
> balances to zero and push for another move. Usually has to be money on
> the line, too. Notes I keep in an couple of areas tend to be
> overlooked unless they're serious on put money.
>
>> Gold - IAU GLD (only need one of these)
>
> I was tracking/considering gold from someone else posting awhile back,
> various offerings between fund/etf/stocks - bought into a stock.
>
>
>
> Fingers crossed, recent and pushing, nor quite out of marginal
> territory.
>

Re: Ping Ed

Ed wrote:
> I recently bought some GLD:
>

> While earnings may improve for miners as the gold price rises the stocks in
> this group are a miserable lot.

Gold mining stocks received a lift Wednesday as the price of gold
reached a 22-year high and analysts forecast higher average prices for
the metal moving forward. . . .as funds stepped up their buying of the
metal. . . .analyst John H. Hill forecast averages of $470 an ounce
and $490 an ounce in 2006 and 2007, respectively, compared with a year
to date average of $441 per ounce, driven by Indian fabrication,
Chinese retail investment, and recycled Middle East oil dollars.
[That's $30, then $20 on 7% to 11% over two years - not exactly like
writing home about ILF).

Jim Cramer during the "Mad Money Lightning Round" - "As much as I like
Newmont, I like Goldcorp. (GG:NYSE - commentary." [ie, Pay for comment
- can't imagine paying for a trained shoe-throwing buffon emphasize the
saliency of GG.]

[Last, what industry synopsis wouldn't be complete with a Forbes',
albeit dated and contracted, spin. (Hm, I've read this before and
liked it - may be why I went with GG for a class)]. . .as I have been
advising (Carlton Delfeld, head of the global advisory firm, Chartwell
Partners) for some time, gold has been a magnificent investment and
still has considerable upside. It is a rare portfolio that I build for
a client that does not have some allocation to gold [for] three basic
reasons why investors should: [1] gold prices are not normally
correlated to other asset-class prices. . .serves as a buffer [against]
assets classes are out of favor. [2] Central banks have been net
sellers of gold ... accounting for about 9% of the $4.4 trillion in
world central bank foreign exchange and gold reserve, down from 15% in
early 2000. . . .some central banks are now going the other way. For
example, the Russian central bank wants to increase gold's share of
its reserve from 5% to 10%. Global investors are also using gold as a
hedge for a global recession and potential decline in value of the U.S.
dollar or the euro.

> > Fingers crossed, recent and pushing, nor quite out of marginal territory.

"Every single woman I ever knew is a puzzle to me, as, I have no doubt,
she is to herself."
-William Makepeace Thackeray

Re: Ping Ed

"Flasherly" <> wrote

> Gold mining stocks received a lift Wednesday as the price of gold
> reached a 22-year high and analysts forecast higher average prices for
> the metal moving forward. . . .as funds stepped up their buying of the
> metal. . . .analyst John H. Hill forecast averages of $470 an ounce
> and $490 an ounce in 2006 and 2007, respectively, compared with a year
> to date average of $441 per ounce, driven by Indian fabrication,
> Chinese retail investment, and recycled Middle East oil dollars.
> [That's $30, then $20 on 7% to 11% over two years - not exactly like
> writing home about ILF).



> Jim Cramer during the "Mad Money Lightning Round" - "As much as I like
> Newmont, I like Goldcorp. (GG:NYSE - commentary." [ie, Pay for comment
> - can't imagine paying for a trained shoe-throwing buffon emphasize the
> saliency of GG.]

The man is a lunatic. Cramer loves LU as well.

Re: Ping Ed

Hi Gander,

Not Ed or the others, but I'll chime in if that's OK.

I don't try to attempt to play every trend - just the longer, more
steady ones. I like Bob's for helping to ID them - what's got the
momentum and does its peers. Otherwise, it's checking the news and the
various discussion boards to see what folks are playing. You're
looking for sectors, segments, regions or countries that are not only
trending well, but tend to diverge from the overall market in a good
way - when the market is flat or down, they're still up.

I determine what my target allocation is for a particular play that
I've identified and will start with an exploritory trade - say 25% of
my intended target. Then I'll watch if for a week or so and see if it
makes me money - does the trend continue. If so, I'll go with another
25% and watch it some more. If it continues to make me money, I'll go
ahead and play the remainder.

Then I watch it closely to see if the trend continues or if it
reverses. Normally, I'll set a mental stop loss of perhaps 5% to serve
as a trigger to reduce. And I'll do just that - reduce by say 25% and
watch to see if the reversal continues. If it does, I'll probably just
exit the play. It's very important that you do have an exit strategy.
It is no fun to ride a trend up and then ride it back down for a zero
sum game.

And you don't have to play every trend. I keep a core holding in my
accounts that pretty much stays pat. I only momentum trade with a
portion - say 20-30%. Also, I only do this in a tax-deferred account.
However, by choosing only a few trends and picking the long running
good ones, you don't have to trade much.

Right now, places to watch are: eastern europe, latin america, asia
(particularly korea, japan and india), natural resources (particularly
precious metals).

Oh, and buy a copy of Gary Smith's How I Trade for a Living. Great
book about momentum investing and a super bibliograhpy.

best,

rono

Re: Ping Ed

rono wrote:
> I determine what my target allocation is for a particular play that
> I've identified and will start with an exploritory trade - say 25% of
> my intended target. Then I'll watch if for a week or so and see if it
> makes me money - does the trend continue. If so, I'll go with another
> 25% and watch it some more. If it continues to make me money, I'll go
> ahead and play the remainder.
>
> Then I watch it closely to see if the trend continues or if it
> reverses. Normally, I'll set a mental stop loss of perhaps 5% to serve
> as a trigger to reduce. And I'll do just that - reduce by say 25% and
> watch to see if the reversal continues. If it does, I'll probably just
> exit the play. It's very important that you do have an exit strategy.
> It is no fun to ride a trend up and then ride it back down for a zero
> sum game.

Say your intended target is $80,000. Enter at $20,000 for a quarter
down, or 25 percent total of $320,000 liquidity. $20,000 makes 3% in a
week. So, you push the $600 and put $20,000, additionally, for
$40,600. Week two [up to week twelve] loses are 3% by Tuesday and
another 3% by Thursday. So, as you say, you've probably exited the
play within 10 market trading days through exponentially compounding a
loss at $2436. I base subsequent plays on a time it takes to earn the
initial 3% - though more, say, 6% for a earnest figure. How much rides
on a 6% profit can go as high as double-down, up to suitably weighty,
incremental sums over the liquidity base. The idea of what an initial
target serves for an impending event, to me, is reservedly valueless:
The target is simply phenomena, self-serving momentum. For coming out,
I may forget any and all the aforementioned if momentum becomes too
fast. There's another hump to consider when employing such precepts,
say, on a mutual fund. Fund house propensity rules state: loses
incured on the good boatload of money, Lickity Split, once having
absorbed such loses, and all subsequent fees, a priori, are reason
sufficient to be kicked out permanently from all further conveyances,
and branded, within jolly good measure as a forbidden trader of
ill-begotten losses, to boot.

- Ca. . . Ca. . . Ca . . Claudius, you idiot. -A Muse

Re: Ping Ed

Flash,

First of all, this is nothing about short term trading by intent. I
look for long running trends with which to ride with a portion of my
acct in order to improve my overall returns. An example would be
Eastern Europe starting last year and riding steady for over a year.
Another would be natural resources, another, lately, Korea or any
number of the emerging mkts. Real estate was nice for a couple of
years, but I didn't choose to play it because I know so little about
it.

So, I'm not attempting to ride every trend, nor am looking at anything
other than long term steady trends that are easy to discern.

As for my investing style, it's simply scaling in. Once I think I've
identified a good steady trend, and it's something I want to invest in,
I scale in my investment incrementally. You can do this however you
choose, but for clarity sake I used percentages in my example. In some
cases you might want to go with 50/50, 25/25/50, 33/33/33, or whatever.
The principal is that I SCALE IN my investment only so long as the
trend is my friend.

The exit strategy that you employ is again of your own choosing. What
is important is that you HAVE an exit strategy and that you USE IT.
This needs to be in place before you make the initial investment. What
is going to cause you to exit? With stocks this can be a simple stop
loss or trailing stop. However, the types of trends that I play are
normally best played with funds where you don't have stop losses
available. In this case, you can set a mental stop loss - how much
pain are you willing to endure on your initial probing play before you
call it a day, or how much of your gain are you willing to give back
before exiting. Do you use an overall market metric - say what's the
market doing on the whole? Again, this is your call.

The nut is that there are many trends in the stock market that occur in
the short to intermediate term. Some of these are able to be
idendified and if so, you can put some money on them and ride them.
You don't have to be in the first day, nor do you have to stay to the
last. There is plenty of money to be made along the way. AND, in my
case, I have a core portfolio that I'm not playing with, so I'm just
riding trends to improve my returns.

Over the long run, the b&h index efficient frontier types will tell you
that the market reverts to the mean and is perfectly efficient. Well,
over the long run, this seems to be true. No arguement from me.
However, just what is the long run? They often cite data back a
hundred years or so. Well, I don't know about you, but I'm not going
to live that long, alas and alack. For me the long term is 15-20
years. And more to the point, that in the short and intermediate term,
the market is hardly efficient. Witness the dot.com bull of the late
90's. Where was value at this time and for how may years was it
absent? After the crash, small cap value ran for several years - where
was tech? So, over the short term, there are many anomolies in the
market that occur and some of these can be identified and play to your
profit. Momentum investing is simply that - to attempt to identify
trends and tag along for the ride.

best,

rono

Re: Ping Ed

I'm getting bored, think I'll put out another chart.... If I don't update
the free site once in a while they shut it down..

www.freewebs.com/timer-stuff

I'll sum it up: buy after the trend turns up, sell after the trend turns
down..... you don't hit the bottom or the top, but you can get pretty close.

Happy Guy, "Laissez les bons temps roulez"
..
..
"rono" <> wrote in message
news:
> Flash,
>
> First of all, this is nothing about short term trading by intent. I
> look for long running trends with which to ride with a portion of my
> acct in order to improve my overall returns. An example would be
> Eastern Europe starting last year and riding steady for over a year.
> Another would be natural resources, another, lately, Korea or any
> number of the emerging mkts. Real estate was nice for a couple of
> years, but I didn't choose to play it because I know so little about
> it.
>
> So, I'm not attempting to ride every trend, nor am looking at anything
> other than long term steady trends that are easy to discern.
>
> As for my investing style, it's simply scaling in. Once I think I've
> identified a good steady trend, and it's something I want to invest in,
> I scale in my investment incrementally. You can do this however you
> choose, but for clarity sake I used percentages in my example. In some
> cases you might want to go with 50/50, 25/25/50, 33/33/33, or whatever.
> The principal is that I SCALE IN my investment only so long as the
> trend is my friend.
>
> The exit strategy that you employ is again of your own choosing. What
> is important is that you HAVE an exit strategy and that you USE IT.
> This needs to be in place before you make the initial investment. What
> is going to cause you to exit? With stocks this can be a simple stop
> loss or trailing stop. However, the types of trends that I play are
> normally best played with funds where you don't have stop losses
> available. In this case, you can set a mental stop loss - how much
> pain are you willing to endure on your initial probing play before you
> call it a day, or how much of your gain are you willing to give back
> before exiting. Do you use an overall market metric - say what's the
> market doing on the whole? Again, this is your call.
>
> The nut is that there are many trends in the stock market that occur in
> the short to intermediate term. Some of these are able to be
> idendified and if so, you can put some money on them and ride them.
> You don't have to be in the first day, nor do you have to stay to the
> last. There is plenty of money to be made along the way. AND, in my
> case, I have a core portfolio that I'm not playing with, so I'm just
> riding trends to improve my returns.
>
> Over the long run, the b&h index efficient frontier types will tell you
> that the market reverts to the mean and is perfectly efficient. Well,
> over the long run, this seems to be true. No arguement from me.
> However, just what is the long run? They often cite data back a
> hundred years or so. Well, I don't know about you, but I'm not going
> to live that long, alas and alack. For me the long term is 15-20
> years. And more to the point, that in the short and intermediate term,
> the market is hardly efficient. Witness the dot.com bull of the late
> 90's. Where was value at this time and for how may years was it
> absent? After the crash, small cap value ran for several years - where
> was tech? So, over the short term, there are many anomolies in the
> market that occur and some of these can be identified and play to your
> profit. Momentum investing is simply that - to attempt to identify
> trends and tag along for the ride.
>
> best,
>
> rono
>

Re: Ping Ed

Real estate was a domestic no-brainer for the longest time. Did well
there - lots of good name funds holdings. Haven't gotten in on Korea,
though was in several east European funds. East Europe is not what I'd
call a steady rider. EUROX, a chart-topper among the sector, comes to
mind with 20% downturns twice in the last yeal. Scale in, eh - I've
never considered that so temperately. I put significance on immediate
returns and weigh everything on what's going to make me the best money
- even to the exclusion of crossing sectors; the caveat is of course
being too concentrated. Wouldn't be the first time I've asked myself,
though - damn, wouldn't it be nice to have 70+% recently at the
exclusion of diversity. My point, I suppose if there's one handy, is
if I find myself holding XYZ, Bozo the fund manager's insipid returns,
he is not be further rewarded from my liquid reserves because I'm
scaling in that sector direction. At risk of overdiversifying, what
I've often used more than one fund in a sector to play against another,
ideally, neck-in-neck - unless not, in which case, Bozo is on the way
out. Right on an exit strategy, I agree, one must have one. If
anything, I probably come out too soon, although I shan't further
belittle the wayward passanger on the jolly Lickidy Split. I don't
take chances of severity - before the momentum on a field of
juggernauts. An acquaintance recently said, Flash - what you've got to
do is sink some money and consciously forget it. Strikes me as a
typical Greek thing to say, Greeks being such wheeler-dealers, and one
that probably came from his father, a uneducated bull of ignorance
bellowing under the guise of millionare property wheeler-dealer. Just
between you and me - B&H seems a conviction for lazy people to argue
when they're doing rather well - although your point is certainly
valid; there's none neither in arguing clairvoyance over bird entrails
within empericism.

-He's apt to argue with a sign post. -My father.