Investment Viagra

Systematic Trading

Turtle rules - A good introduction to systematic trading.

Introduction to Testing Trading Ideas- Clear article from Vertical Solutions.

Does Trend Following work on Stocks - U.S. Paper on, well, Trend Following.

Momentum Trading - My own study of Momentum Trading

CANSLIM - A systematic approach to investing based on Fundamentals

Chance and Risk

Lets Make a Deal The Monty Hall Problem.

Perfect Storms Beautiful and True Lies in (Financial) Risk Management.

Trading & Investment Blogs

FT - Alpahaville Free daily news and comment for market proffesionals.

Traderfeed Brett Steenbarger on the Psychology of trading.

Ernie Chan Quant Trading Blogspot.

Taxation:

Residence and Domicile - HMRC Guidance issued Feb 2010.

My Stuff:

Excel Trading Tools A few simple (and not so simple) spreadsheets.

Snippets: Short Investment / Trading ideas and thoughts.

Software & Market Info:

FT Markets Data Online resource providing a broad range of market info.
Includes a stock filter tool.

See previous post here.

Directors Deals Near Closed Period

The following Companies had significant dealing near the start of the Company closed period. For further information a spreadsheet showing full details may be downloaded here:

BUYS

Company name	No of Directors Dealing	Total Value
QinetiQ Group PLC	2	£1,134,000
Lombard Risk Management PLC	3	£1,040,000
Conygar Investment Company (The) PLC	5	£977,800
Ideal Shopping Direct PLC	2	£432,000
Character Group (The) PLC	1	£347,000
Pure Wafer PLC	6	£293,500
BHP Billiton PLC	1	£278,000
Clarity Commerce Solutions PLC	3	£100,000
Alpha Strategic PLC	1	£68,900
Melorio PLC	1	£68,800
BSS Group PLC	2	£62,200
DSG International PLC	2	£58,300
Pursuit Dynamics PLC	1	£55,000
TUI Travel PLC	2	£53,000
ATH Resources PLC	1	£51,500

SELLS

Company name	No of Directors Dealing	Total Value
Berkeley Group Holdings	5	£18,860,000
ITE Group	2	£1,060,000
Goodwin	4	£942,000
iimia Investment Trust	2	£283,000
Ocean Power Technologies	2	£234,000
Misys	2	£200,000
Micro Focus International	2	£101,000
Consort Medical	2	£83,500
IdaTech	3	£0
Hyundai Motor Company	2	£0

Dealing near the Closed - method

I'm pulling together a spread sheet which combines Directors Deals data and Results Dates. The aim is to identify which directors have bought stock imediately prior to the Closed period. If nothing else this can flag up stock for further research. I'm filtering a fairly long list to show only those deals which:

• Are more than £15,000 in value
• Represent an increase of 5% + of the total
  
• Or a new holding
• By the Chairman, Chief Exec or Finance Director
• With Companies reporting in the next three months
• & Deals in the last three months
  

Later it will be worth looking at which Directors have a record of buying before strong positive results.

FTSE 100 Value Picks

Follows a selection of stocks from the FTSE 100 offering good value on a fundamental basis. The Fundamental Evaluation approach reviews stocks in a relative (as opposed to absolute) way, comparing stocks relative attractiveness against 5 criteria:

• Present Value of Future Dividends
• Present Value of Future Earnings
• Current Book value
• Current Cash Flow
• Price / Earnings / Earnings Growth ratios
  

We rank each stock in our basket on relative attractiveness. The most attractive stocks (top 20%) in the most categories are shown below. A pdf showing key data may be downloaded here.

Name	Close	Yield
Aviva PLC	403.30	8.18
Barclays PLC	317.40	3.62
BT Group PLC	145.90	4.46
Cable and Wireless PLC	135.90	6.25
Imperial Tobacco Group PLC	1852.00	3.94
National Grid PLC	640.00	5.57
Old Mutual PLC	117.10	2.09
Rentokil Initial PLC	104.60	0.62
Royal Dutch Shell PLC	1822.00	5.09
Sainsbury (J) PLC	336.00	3.93
Scottish & Southern Energy PLC	1109.00	5.95
Severn Trent PLC	1005.00	6.7
Thomas Cook Group PLC	224.00	4.35
Vodafone Group PLC	135.15	5.75

Sector Long / Short Plays (Month +)

Longs:

Sector	Close	Rank
Mining	21038.8	1
Industrial Engineering	4055.45	2
Chemicals	4674.83	3
Personal Goods	10325.8	4
Technology Hardware & Equipment	349.66	5
Health Care Equipment & Services	3213.21	6
Food & Drug Retailers	4878.84	6
General Retailers	1826.66	8
Beverages	7673.58	9
Forestry & Paper	3751.66	10

Shorts:

Sector	Close	Rank
Support Services	3666.77	28
Equity Investment Instruments	5012.76	29
Software & Computer Services	580.4	30
Tobacco	24245.9	31
Electricity	6217.06	32
Pharmaceuticals & Biotechnology	8459	33
Household Goods	6208.81	34
Automobiles & Parts	2747.23	35
Construction & Materials	3533.48	36
Nonlife Insurance	1272.91	37

Best and Worst Sectors over 1 month

Safety Stock

FTSE350 Stock with:

• Quick Ratio >= 2
• Current Ratio >= 2
• Interest cover >= 2

Name	Close	Most recent Quick ratio	Most recent Current ratio	Most recent Interest cover
Antofagasta	934.0	3.9	4.1	138.0
ARM Holdings	161.3	2.2	2.2	1240.0
Autonomy Corporation	1444.0	2.4	2.4	97.4
AVEVA Group	1015.0	2.7	2.7	5920.0
Bodycote	198.4	2.2	2.3	12.9
Brown (N) Group	274.0	4.3	4.9	7.9
Centrica	247.6	2.0	2.1	4.6
CSR	467.2	5.2	6.3	208.0
Eurasian Natural Resources	906.5	3.7	4.4	90.3
Fresnillo	890.0	4.4	4.9	31.4
Genus	612.0	2.2	2.8	5.8
Hunting	542.5	2.4	3.0	9.5
Imagination Technologies	237.9	3.2	3.5	113.0
JKX Oil & Gas	304.2	3.0	3.1	A lot
Man Group	371.2	3.9	3.9	32.8
Melrose Resources	355.0	2.8	3.4	7.9
Provident Financial	923.5	10.1	10.1	3.9
PV Crystalox Solar	65.9	2.4	2.7	215.0
Randgold Resources	4934.0	5.2	6.6	51.3
Renishaw	582.0	3.3	5.2	36.3
Salamander Energy	279.9	3.2	3.3	46.5
SOCO International	1399.0	13.8	14.0	29.7