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Trading System Applied to Large Mutual Fund Company

  • Dorian Minkov
Conference paper
  • 197 Downloads

Summary

Personal trading of our private portfolios is required for decreasing losses, and improving performance. Spending one hour per day with our portfolios is sufficient to achieve good results. A system is developed for both medium term, and short term trading. The system is applied to trading of mutual funds in a large mutual fund company.

General statistical analysis is performed at year end, and analysis of the liquidity, and the phase of the investment clock is made monthly to determine the most likely outperforming assets, and asset classes in the medium term. The system uses four types of technical analysis, namely trading analysis, MACD analysis, sentiment analysis, and statistical analysis. Technical buy/sell signal represents the first buy/sell signal given be either technical, MACD, or sentiment analysis. Sentiment condition, and statistical condition have to hold to confirm every buy/sell signal for major world stock fund. This versatility of the system makes it useful for both trending, and trading markets.

The system has been applied to two initially equal short term, and medium term portfolios for almost three years, and the annualized gain of the total portfolio is 36.5%. This trading system can be adapted to trading on a large stock exchange, and to commodity trading.

Key Words Trading system fundamental analysis technical analysis 

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References

  1. Brown DL, Bentley K (1995) Cracking Wall Street with your personl computer. John Willey and Sons, New York, pp 127–132Google Scholar
  2. Gentile T (2000) VIX keeps pointing in the right direction www.thestreet.com, 03.06Google Scholar
  3. Minkov D (1996) Optimization of a investment in south east Asian country funds investment company. Proceedings of the IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, New York, pp 302–311Google Scholar
  4. Sperandeo V (1997) Trader Vic II- Methods of Wall Street master, John Willey and Sons, New York, pp 104–110Google Scholar

Copyright information

© Springer Japan 2002

Authors and Affiliations

  • Dorian Minkov
    • 1
  1. 1.Fracture Research Institute, Department of Mechanical EngineeringTohoku UniversitySendaiJapan

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