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I'm probably the last guy to have figured this out, but on the off-
chance I'm only the next-to-the-last, here's my idea.:)
I don't so much follow individual stocks as much as the major
indices, and my main interest is in the health/lack of health in the
overall market. However, MS explorations, systems, etc., are pretty
much price-derived, making it tricky to incorporate fundamentals.
But what you could do is create a formula that DOES incorporate a
fundamental value, then reference that formula in an exploration.
For example, let's say you already have a trend-following system that
you use with the SP500, but it would be valuable for you to know when
the P/E is making it a little pricey (or cheap). You write a simple
formula, like CLOSE/$45.77 (get the earnings number from the Standard
& Poor's website: TTM, annualize-out the present quarter, estimated
2003, whatever way you choose). Then add it as a filter in your
exploration, like:
WHEN (colA>colB)AND WHEN (colC>colB) AND WHEN fml("SP500 P/E")<25
which would give you a signal when your first two conditions are met
AND WHEN the P/E for the SP500 is less than 25.
You could do this for a whole portfolio of stocks, too, but you'd
need a different formula for each one since they all have different
earnings levels and you'd have to change them once a quarter. Still,
if you want to incorporate a piece of fundamental data into a
mechanical system this would be a way to do it.
Luck to all,
Sebastian
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