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Avcinci;
I agree with your statement. I was simply
giving an example of what might be the source of a fractal "event". And
suggesting one of the variables in your hypothetical prescreen should be
volume.
This is intuitively obvious from your own
experience. Those stocks with very low volume can jump large
percentages. So big plays will have big effects. I think a prescreen
could be devised, but it may well be more work than just letting the backtesting
run.
In other words, with decreasing volume should come
decreasing predictability and increasing drawdown, and, of course, potentially
higher short term gains if you get it right. 8->
Richard
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Avcinci
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, November 01, 2002 12:23
PM
Subject: Re: [amibroker] Re: a few
considerations about optimization
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 adequateto
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
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Richard
Harper
To: <A title=amibroker@xxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
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
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=goldfreaz@xxxx
href="">goldfreaz
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
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" <<A
href="">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 thisto 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 timeto
encompass bullish, bearish, and sideways markets, like 1/1/97 (oreven
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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