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Thanks. Now data like that would be valuable.

I have never heard of baseline co. But that sounds very interesting. Do you know whether they have fundamental data from before 1986? Now that would be excellent for more backtesting.

I got the fundamental data from a friend of mine. He had the entire dataset since 1989 in a database and he sent it to me. I am not sure where you can get fundamental data from. Maybe someone else on these forums may know.

Yes data like that would be valuable. I don't tend to make such macro forecasts on market actions. As I stated my goal was basically to beat the S&P500 by a sizable margin. If the ENTIRE market basically tanks then the model will simply not trade as the momentum based criteria will fail for...

The holding period is roughly a calender month. Sadly I dont have data from 1968-1982. It would be excellent to test out this model on an extended bear/ranging market. The model was built with in sample data from 1992-1996. The rest of the years is out of sample. So the only out of sample...

February trades: PBR: PETROLEO BRASILEIRO BER: BERKLEY W R CP CRDN: CERADYNE INC TKR: TIMKEN CO NEWP: NEWPORT CP VRTX: VERTEX PHARMACEUT IM: INGRAM MICRO A JNS: JANUS CAP GP CMN STK ILMN: ILLUMINA INC GT: GOODYEAR TIRE RUBBER A rather diverse bunch of picks. Industrial Groups...

Yea. The HF was founded by the son of Joe Ritchie I think. J. R. is the brother of Mark Ritchie aka God in the Pits author.

Well I believe they lost like 100mill. Considering they are 3bill in size I am going to guess they will survive. They are as hard to get into as the other top notch hedge funds (aka ridiculously hard).

Tell that to Renaissance. Or the tens of other billion dollar funds doing this. (Two Sigma, SAC etc)

I guess all the top Ibanks, HFs, and private traders employing high frequency trading models/methods dont understand markets. They should all be heading to spike500 to learn how to trade.

Well he could be a large quant HF with a lot of cash and great systems to boot. But I would doubt that.

Get FA data, set up a database with the data, create proper VB tools to backtest data on excel. At least thats how I am doing it. You should check out the folks at the Mechanical Investing forums on Fool. They backtest their strategies using fundamentals. I believe one of them set up an online...

I will keep a log of a new model I have made to systematically invest in US equities. The model is a long-only investment method which uses fundamental as well as technical factor in order to generate a list of candidates. The model combines momentum investing (using simply technical factors)...

It differed. For example naturally the GBP tanked however the CHF showed strength. This is usually expected because Switzerland is known to be a neutral country and a "safe haven" for capital in times of crisis.

Yes I have read it. But it really can't be missed. The terror attacks in London being a prime example when nearly every currency pair was affected by the event.

hehe Kathy Lien isn't even close to being a big player. Try the big macro trading firms first of all: Kovner, Bacor, Tudor, Soros. Then you have several banks (private/central) who are currency traders. You also have the high frequency FX firms such as Olsen and Financial Labs.

Yea. I dont think its really possible to automatically trade obvious pairs any longer which everyone and their sister is following. I will soon do some research on potential "pair trading" situation in FX during high stress events.

I have been trading spot FX part time since January 2005 as well as trading through algorithmic models since August of 2005 with success. Not every dealer is a thief nor is every trader supposed to win.

Interesting Steven, so you took pair trading another step by creating synthetic pairs? Were they selected due to fundamental relationships such as being the same sector etc?

That could be a factor. However, I also believe that this is due to the fact that markets nowadays are closely connected. You have fund managers holding positions in markets ranging from US equities, to East Asian currencies, to Scandinavian bonds. Thus, once any high stress events leads a...