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Comment to Al,
( from Gary - Canada ...new to the forum)
Thats an interesting point you made about "fractal efficiency ratio".
I have been backtesting dozens of systems over the past 3 years and
came across the same phenomenon. I too use the term "personality" to
describe how stocks respond to varioius systems. Some don't do well ,
no matter what systems I use. Then there are some which perform
stongly regardless of the system. Typlicaly, the better performing
stocks have a repeating trending component or a consistently high
True Range.
My big problem has been the identifiaction of the bad ones for
filtering purposes. Perhaps this "fractal efficiency ratio" can
help.
Gary
Canada
--- In amibroker@xxxx, "Avcinci" <avcinci@xxxx> wrote:
> Richard,
>
> I was not referring to the way stocks react to news events. I was
talking about how some stocks simply do poorly in backtesting,
offering a theoretical reason, based on Kaufman's work, for the lack
of good behavior in backtesting. This price behavior, which occurs
every day, seems to be true for these stock over long periods of time
(10 years or more). They are simply poor candidates for trading. You
may be right about backtesting being adequate to control this. In
fact, that's what I have done so far. But much of the tedium of
backtesting a list of 1000 stocks or more might be relieved if one
could devise a filter prior to testing all those stocks to come up
with a shorter list of stocks that are already good candidates for
trading.
>
> Al Venosa
> ----- Original Message -----
> From: Richard Harper
> To: amibroker@xxxx
> Sent: Friday, November 01, 2002 11:13 AM
> Subject: Re: [amibroker] Re: a few considerations about
optimization
>
>
> There will always be "fractal" (discontinuous) events in any
market. However, I believe the "average" way a stock responds to a
non-predicted "event" is dependant on characteristics which are
variable between stocks. A simple example is average volume. One
could theoretically encode the principles. As the average trader
gets smarter (this is happening, leveraged by computers) it may be
necessary. At this time, it is not necessary. In any event,
backtesting is adequate to control this. 911 was an event.
Including it would be one way to empirically assess an event.
>
> Richard
> ----- Original Message -----
> From: goldfreaz
> To: amibroker@xxxx
> Sent: Friday, November 01, 2002 6:24 AM
> Subject: [amibroker] Re: a few considerations about optimization
>
>
> 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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