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Strategies & Market Trends : TA-Quotes Plus -- Ignore unavailable to you. Want to Upgrade?

To: Richard Estes who wrote (6083)	8/21/1998 2:26:00 PM
From: Nine_USA	Respond to of 11149

Richard, Thanks for taking the time to think about my objectives and respond. << The whole key is in your stock selection. There is no guarantee of a 5-10 output from a scan. Depending on what you do within the scan, you may have 100s of stocks. While funnymental data is rather static because of quarterly reporting, technical scans can change the output daily.>> I have been working with qp2 scans over the last 130 qp2 databases which I summarize and retain. The variables I deal with are quite static and the number of stocks selected has remained within a fairly stable range (1..12 and mostly 5..10). <<you set up a buy and hold type affair here, with no exits established.>> What I am trying to measure is the risk adjusted performance over a relatively long time frame, of a scan selected portfolio versus that of the SP500 or OEX100. The short aspect is intended to minimize the maximum downside and to reduce volatility. <<For the type thing you are trying to do, a spreadsheet application would be best.>> Agreed, but I hoped someone might have something close to this. <<But I am not sure the results would be meaningful.>> The validity of my scans over time is what I am trying to determine. The charting (or reporting) is just a tool to examine this question. <<If you developed a buy/sell TA system then you test its value, not the hedged aspects. If you go short and stay short with the same stock as a sell and hold, What tells you to cover?>> I am working with 2 different qp2 scans. One seeks to outperform the SP500 on the long side. The other is a short stock scan which seeks to outperform the SP500 (lose less, or hopefully provide a positive return). I plan to simultaneously hold both and seek a net performance superior to the SP500 (in particular the 10-25 largest cap stocks within it) while facing smaller maximum downsides and less volatility. I know this is ambitious to say the least, but my results to date appear to warrant further pursuit.