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Totally agree with you,
the stocks's selection is one important steps in a profitable trading
system.
Actually, I don't know what is the best solution to select tradable
stocks.
1/ apply a trading system on a universe and trade only the best
performers , then make a turnover of the winners .
2/OR apply a filter on a universe and trade only the stocks with
this filter
this filter could be a trend filter ( the choice is large)
or a statistic filter to know if the distribution of the price is
random/not random
Stephane carrasset
> Although I do not use systems for most of my trading, I do use them
and agree that testing a universe is more appropriate as it tends to
produce a more robust system. In fact, imo, this is one of the
advantages of AB vs MS. With the universe approach, however, have
you looked at the desirability of using subsets? For example, rather
than combine stocks into a single universe, combine them into smaller
groupings that have a common characteristic such a volatility.
Intuitively, this would appear to be another step toward robustness.
>
> Bill
> ----- Original Message -----
> From: Stephane Carrasset
> To: amibroker@xxxx
> Sent: Wednesday, October 03, 2001 8:28 AM
> Subject: [amibroker] Re: Oscillators II (%D)
>
>
> Dimitri,
>
> I am not in favour for an optimization for one stocks, perhpas on
a
> universe of stocks would be better, it is one aim of the
montecarlo
> analysis, we'll have it perhpas in the system tester of
version4.8 of
> amibroker ^__^
>
> But I am thinking it is a good idea of variables OBOS level for a
> fixed stochastic with your code below
> obos level could be + or - 40% above or below the MEANST ( 70 is
+40%
> of 50)
>
> /*MEAN %D EXPLORATION*/
> MEANST=cum(stochd())/(cum(1)-18);
> filter=CUM(1)>100;
> numcolumns=1;
> column0=MEANST;
> column0format=1.0;
> column0name="MEAN STOCHD";
>
>
> SC
>
> > Optimization is neccessary for each stock in order to
> > find the best X1, Dbuy and Dsell.
> > For the moment I have not any homework for a universal
> > value of above parameters Time and experience will show
> > if it is possible and profitable.
> > Any co-operative idea appreciated.
> > Dimitris Tsokakis
> > --- In amibroker@xxxx, "Stephane Carrasset" <s.carrasset@xxxx>
> wrote:
> > > Dimitry,
> > >
> > > Optimization on a trading system means that you have
backtested
> on
> > > only one stock and not an universe of stocks?
> > >
> > > without optimization the idea of various OBOS level is great,
> > > instead of buy when stoch crosses below an OS level, we
could
> buy
> > > when stoch is < OS level and buy on close delay when H > ref
(H,-)
> > > *1.005
> > >
> > > SC
> > >
> > > > AVST=MA(StochD(X1),100);
> > > >
> > > > Let us try now to buy lower and sell higher.
> > > > The buy level will be AVST-Dbuy and the sell level will
> > > > be AVST+Dsell. If you guess now, optimization may give
> > > > the best values for the 3 parameters.
> > > > Optimize a current stock for all quotations using the code
> > > >
> > > > /*Buy-Sell moving levels for Slow Stochastic*/
> > > > Dbuy=Optimize("Dbuy",14,0,20,1);
> > > > Dsell=Optimize("Dsell",8,0,20,1);
> > > > X1=Optimize("X1",13,10,20,1);
> > > > s1=StochD(X1);
> > > > AVST=MA(s1,100);
> > > > Buy = Cross( s1,AVST-DBuy);
> > > > Sell = Cross( AVST+Dsell,s1);
> > > >
> > > > Then replace manually the 14, 8, 13 with respective results
of
> > your
> > > > optimization and scan and back test.
> > > > Compare the back test result with the traditional
> > > >
> > > > buy=cross(stochd(),30);
> > > > sell=cross(70,stochd());
> > > >
> > > > scan and back test.
> > > >
> > > > I found interesting net profit augmentation.
> > > > As for settings, I used buy at low, sell at high with delay
1
> day
> > > > (it is obvious that you get the signal today and you act
> tomorrow
> > > > and it is always important for back testing. Delay 0 is
> > meaningless,
> > > > the signal is first and then the action may be done.)
> > > > After the calculation of above parameters, you may see in
your
> > > > Indicator builder the new curves, pasting the formula:
> > > >
> > > > /*Slow Stochastic moving buy-sell levels*/
> > > >
> > > > Dbuy=14;
> > > > Dsell=8;
> > > > X1=13;
> > > > MaxGraph=12;
> > > > ST3=StochK(X1);
> > > > ST33=StochD(X1);
> > > > Graph0=ST3;
> > > > Graph1=ST33;
> > > > AVST=MA(StochD(X1),100);
> > > > Graph9=AVST-Dbuy;Graph10=AVST+Dsell;
> > > > Graph8=avst;Graph8Style=8;Graph8BarColor=2;
> > > > Graph9Style=Graph10Style=8;
> > > > Graph9BarColor=Graph10BarColor=1;
> > > >
> > > > and replace 14, 8, 13 with the results of optimization.
> > > > Real examples will follow.
> > > > Dimitris Tsokakis
>
>
>
>
>
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