Techno-Fundie System - Aussie Stock Forums

Results 1 to 3 of 3
  1. #1

    Default Techno-Fundie System

    A big discussion on this thread is around technical versus fundamental trading. One advantage with mechanical technical trading is that you can backtest and get an idea what various systems would return, otherwise you would need to forward test. A short term discretionary trader would get a history fairly quickly but it would be hard to take a fundamental trader seriously unless they have 10-15 years under their belt.

    Good fundamental data is difficult to find and incorporate into systems (although the latest beta's of Amibroker sure helps). I do have dividend data going back 15 years and have put that into Amibroker. I wondered how a simple Techno-Fundie system would perform. The system selects shares that have a minimum dividend and are in a short term bullish phase.

    I was surprised how quickly a system emerged. Now the system is not me because it is too long term and boring to trade. But here are some of the stats:

    The run was from the 1st-Jul-1999 until 1st September this year. Brokerage is 0.12%

    Initial capital 100000
    Ending capital 2791619
    Net Profit 2691619
    Net Profit % 2691.62%
    Annual Return % 59.04%
    All trades 1957
    Avg. Profit/Loss 1375.38
    Avg. Profit/Loss % 3.51%
    Avg. Bars Held 39.57

    Winners (28.36 %)
    Total Profit 4914710.32
    Avg. Profit 8855.33
    Avg. Profit % 19.87%
    Avg. Bars Held 104.61

    Losers (71.64 %)
    Total Loss -2223091.32
    Avg. Loss -1585.66
    Avg. Loss % -2.97%
    Avg. Bars Held 13.82

    Max. system % drawdown -31.91%

    Not bad getting a 60% annual return through a couple of bad market periods. The percentage winners (28%) and the maximum drawdown (32%) would also make it difficult to trade this system. The maximum drawdown occured during 9/11 but the system recovered by December 2001. If I run the system from 2001 it returns 70% and the max drawdown is 23%

  2. #2

    Default Re: Techno-Fundie System

    The Amibroker code for the system is as follows:

    Only want liquid stocks. EMA of daily turnover has to be over $500k

    WC = ((Close * 2) + High + Low) / 4;
    Liquidity = EMA(V*WC,60) > 500000;

    Amibroker has Open Interest (OI) as well as OHLCV. A handy place to stick stuff. This is where I put the dividends. When I originally put the dividend data into Amibroker I wasn't sure if OI could contain decimals. So to convert to cents divide by 10,000

    Get total dividends over the last 250 days (approx 12 months)

    TotalDividend = Sum(OI/10000,250);

    Get yield as a decimal
    TotalYield = TotalDividend / C;

    Setting parameters for buy/sell yields

    BuyYield = 0.03;
    SellYield = 0.02;

    Lets buy if the yield is greater than 3%

    Buy = TotalYield > BuyYield

    and enough liquidity

    AND Liquidity == True

    not in long term decline. That is we don't want a high dividend
    because the stock has crashed.

    AND C > EMA(C,250)

    and bullish over a shorter term

    AND EMA(C,10) > EMA(C,20)

    buy on close

    BuyPrice = C;

    Sell if Yield goes below 2%

    Sell = TotalYield < SellYield OR

    or if stock crashes below 12 month EMA

    C < EMA(C,250);

    get rid of extra buys/sells

    Buy = ExRem(Buy,Sell);
    Sell = ExRem(Sell,Buy);

    find the dividends earned since we bought

    BarsSinceBuy = BarsSince(Buy==1);

    CollectedDividends = Sum(OI/100/100,BarsSinceBuy);

    We receive capital growth and all the dividends

    SellPrice = C + CollectedDividends;

    Position is 8% of total capital

    PositionSize = -8;

  3. #3

    Default Re: Techno-Fundie System

    The system above took only an hour. The only variables I played with were the dividends so it isn't curve fitted given the number of trades. It surprised me that 3% was the best cut-off. I thought that it would optimize higher.

    I think more could be done. The drawdown is quite large but given the returns it would be good to run unleveraged. Psychological it would be difficult to handle the low win rate but it does show that you can be profitable with less than 3 winners in 10 runs.


Similar Threads

  1. My Trading System
    By kingie_d in forum Trading Strategies/Systems
    Replies: 51
    Last Post: 29th-March-2009, 11:44 PM
  2. OzFx System :)
    By OzFx in forum Forex
    Replies: 53
    Last Post: 5th-May-2008, 11:11 AM
  3. The KR system
    By treefrog in forum Trading Strategies/Systems
    Replies: 10
    Last Post: 11th-January-2008, 03:15 PM
  4. A Sample System to Play With
    By lesm in forum Trading Strategies/Systems
    Replies: 16
    Last Post: 1st-September-2007, 12:03 AM
  5. System Development Setback
    By Bin57again in forum Trading Strategies/Systems
    Replies: 22
    Last Post: 10th-April-2007, 09:56 PM


Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts
Aussie Stock Forums