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Interesting...
delta=C-Ref(C,-1);
md=MA(delta,45);
MAd=MA(abs(delta),45);
Graph1=MAd;
Graph1Style=1;
Graph1Color=colorGreen;
--- In amibroker@xxxx, "Avcinci" <avcinci@xxxx> wrote:
> Franco,
>
> Recently I was talking to a professional trader who told me that
some stocks simply don't behave well in any system and others do
extremely well (in backtesting). He attributes this to a term called
the "fractal efficiency ratio," coined by Perry Kaufman. A stock has
to have some non-random movement to be predictable. It's the total
change in price over a given period, divided by the sum of the
absolute values of all the daily changes in price. If a stock has
too small a directional component, then it's a poor candidate for any
system, regardless of how many filters or refinements you add.
You're better off using all that firepower on a better target. I've
been testing a lot of stocks lately individually, finding that many
simply give very bad backtest results and very non-robust parameter
coefficients. So, I eliminate them from my watchlist and concentrate
on those stocks that behave well. This seems to be working well. I
haven't had time to write any code yet to see if the good-performing
stocks have a higher fractal efficiency ratio (personality as you
call it?) than the poor performing ones, but it's worth a try. You
must test over a long enough period of time to encompass bullish,
bearish, and sideways markets, like 1/1/97 (or even earlier) to
present time. If you try this idea out, let me know how successful
you are. I'm very interested in this concept. When I get a chance,
I'll try it myself. But, in theory, it seems to have merit.
>
> Al Venosa
>
> ----- Original Message -----
> From: Franco Fornari
> To: amibroker@xxxx
> Sent: Friday, November 01, 2002 6:15 AM
> Subject: [amibroker] a few considerations about optimization
>
>
> Hello,
>
> trying to optimize any trading system, I think we all have
thought, sometime, we would like to avoid such a tedious process or
to do it once and for all.
> It could be possible? This question badgered me for a long time,
unfortunately with no success, yet I feel there must be a solution.
> Why I say that? Because a peculiarity of each stock,
called "personality" by someone, wich seems stable enough. In other
words, I think if we were able to mathematically represent this
characteristic, we could automatically optimize any trading systems.
> But, the big matter is: what is this characteristic (long term
volatility, frequency of peaks and troughs, price)? How could we
assess or measure it? And, first of all, does such a feature exist or
is it only a mirage? How do you think about?
>
> Best regards,
>
> Franco
>
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