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<SPAN
class=412044914-06022003>Ken,
I
agree with Dimitris. To select a basket of stocks you must first select an
indicator or method/style to trade them with. If your System/style is trend
following then selecting a basket that trends strongly (up or down) is
critical. The indicators that you read that tend to behave for trending
conditions tend to fail miserably in consolidations. The reverse is true for
Rolling stocks. You can use simple methods to begin the process such as 20 and
50 ma or slope of either. Many use a floor of price such as c>10 or 15 or
whatever. Volume is certainly a major consideration since without liquidity the
trade may be too challenging. Volatility is also something to consider and to
compare to your trading style. Do you (can you) stomach the wild rides of stock
like BEAS whose current ATR is >7% of the current price (today moved nearly
8% on the open!!) or are you more comfortable trading in the 3-5% range? Some
like to add fundamental criteria. Though not easily accomplished within AB there
are data suppliers (QP and TC2000 to name a few) that make such an initial
screen very easy. Add your own criteria to pare down your initial universe to a
more workable number. A lot of my work revolves around Sector Rotation.
Determining where the money is flowing in or out can help you to further refine
your list. I think Ara is also working in this area and may wish to add some of
his thoughts.
<SPAN
class=412044914-06022003>
IMO
this type of selection process offers insight into what is most likely to work
in the short term. Testing a basket selection using this type of approach over a
long period (years) may not yield the desired results because the above criteria
is constantly in motion. However if you find that your system or approach tends
to work well under those conditions then choosing stocks that meet a given
criteria can yield impressive results. Consider this a method of optimizing.
Instead of optimizing the settings in a group of indicators so that the results
test well on a given set of stocks, over a given time frame you are
instead selecting a given universe that tends to do well with a given set if
indicators.
<SPAN
class=412044914-06022003>
<SPAN
class=412044914-06022003>Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: DIMITRIS TSOKAKIS
<TSOKAKIS@xxxxxxxxx> [mailto:TSOKAKIS@xxxxxxxxx]Sent: Thursday,
February 06, 2003 5:50 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: NDX / QQQ - Can it
be traded ?Ken,I will try to describe an objective
method I often use to select stocks.First of all it depends on the
indicator/system you use [since I have not yet any ...holy grail
available]Let us suppose you want to use the smoothed MeanRSI as a general
indicator and you want to find "good" applications.The DEMA(MeanRSI,45)
is a quite smooth and descriptive oscillator for ^NDX market.If you
could buy at troughs and sell at peaks [with some zig period around 20] you
would have one of the best performances for this Market indicator. Does it
suites to ANY stock? Certainly not.Run the
f=Foreign("~SUMRSI","C")/Foreign("~COUNT","V");F=DEMA(F,45);z=20;Buy=TroughBars(f,z)==0;Sell=PeakBars(f,z)==0;Short=Sell;Cover=Buy;from,
say, May1, 2000 till now and see the top gainers [NTAP, JNPR, CIEN etc] and
the top loosers [FHCC, PDCO, ESRX etc]Since Peak/Trough system is, as you
know, unrealistic, try to replace it with a closest approximation.For
smoothed oscillators a 2-level system is really interesting.Try something
likef=Foreign("~SUMRSI","C")/Foreign("~COUNT","V");X=45;//Optimize("X",45,35,50,5);F=DEMA(F,X);x1=Optimize("X1",42,38,44,1);//buy
levelx2=Optimize("X2",56,55,60,1);//sell
levelb1=Cross(f,x1);b2=Cross(x1,f);//no need to be fanatic with the type
of cross, the system knows
betters1=Cross(f,x2);s2=Cross(x2,f);nb=Optimize("nb",1,1,2,1);ns=Optimize("ns",1,1,2,1);nSH=Optimize("nSH",1,1,2,1);nCO=Optimize("nCO",2,1,2,1);Buy=IIf(nb==1,b1,b2);Sell=IIf(ns==1,s1,s2);Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=IIf(nSH==1,s1,s2);Cover=IIf(nCO==1,b1,b2);Short=ExRem(Short,Cover);Cover=ExRem(Cover,ShortThe
good performance of JNPR in the theoretical Peak/Trough project [around
+1000% with 4/4/0 success] leaves room for good optimization
results[sometimes better than the "ideal" model: there are MANY combinations
better than +1000% for JNPR]The bad performance of ESRX means that this
stock need some other treatment. The same optimization confirms the ESRX
conclusion : It is better not to trade this stock, since the most profitable
combinationis the 0 trades !Of course, this method is not always
accurate, but it gives good advices for the first selection.Besides
that, I have met many times JNPR and RFMD in the 4-digit profitable stocks,
my experience is not great, I come back to basics [CSCO 70% and BEAS 30%]
quickly, I feel more safe there, but, it is a matter of taste [crude oil and
copper futures are also interesting, but let us talk for stocks in this
group]Does it help ?Dimitris --- In amibroker@xxxxxxxxxxxxxxx, "Ken
Close" <closeks@xxxx> wrote:> DT: can you name some additional
symbols, besides CSCO and BEAS, with> which you have seen similar
success. Thanks for sharing your> experience.> >
Ken> > -----Original Message-----> From: DIMITRIS TSOKAKIS
<TSOKAKIS@xxxx> [mailto:TSOKAKIS@xxxx]> > Sent: Tuesday,
February 04, 2003 3:38 AM> To: amibroker@xxxxxxxxxxxxxxx> Subject:
[amibroker] Re: NDX / QQQ - Can it be traded ?> > Herman,>
An annual system % return 100%-120% is reasonable for many QQQ > systems
from Jan2000 till now.> [Suppose always buy, sell, short, cover at
+1Open, 0.5% commission > and disabled stops]> I would be
surprised indeed to see a double return. > Above 200%-250% we may
find some other popular stocks, but not QQQ, > AFAIK.> I come
to believe there are some "functional" limitations for QQQ > curve to
exceed the annual 150%.> This conclusion is after MANY tests for various
trading systems, > optimised or not.> This is a reason I prefer
CSCO or BEAS for example, their curves are > more "profitable" and
more flexible.> Of course I [almost] always speak for medium speed
systems [not more > than 6 trades per year]> It is more than 8
months I did not trade a single QQQ share, I would > be glad to come
back to my old favorite, but for a better than 180% > annual
return.> This is my experience, I hope it hepls somehow...>
Dimitris > --- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
> <psytek@xxxx> wrote:> > Well Fred, the real values to
use when estimating whether a trading > system> > is
practical have never been answered on this list. You are a > trader, I
am> > still mostly a tinkerer, so I respect your opinion. As a rule I
> discard> > systems that do not survive my "acid test" of
0.5%. This allows my > to fumble> > placing the trade,
allows for some over-optimization, slippage, > slow data,> >
and even for some commission.> > > > There ought to be a
formula based on parameters like volume, > volatility and> >
price, to gives us a working estimate. Places that have lots of >
trading> > histories could crunch that out in seconds. Would be
interesting to > have a> > poll on this.> >
> > Herman.> > > > -----Original
Message-----> > From: Fred <fctonetti@xxxx>
[mailto:fctonetti@xxxx]> > Sent: Monday, February 03, 2003
4:03 PM> > To: amibroker@xxxxxxxxxxxxxxx>
> Subject: [amibroker] Re: NDX / QQQ - Can it be traded ?>
> > > > > Herman,> > >
> Let's use today as an example and assume you are going to trade
> QQQ> > after you make a decision on where NDX
closes ...> > > > At 4:00 PM QQQ was as at
24.50> > > > Between there and 4:15 QQQ got as
high as 24.54 and as low as > 24.48> > or 0.16%
over and 0.08% under as EXTREMES.> > > >
Thomas,> > > > I'm not quite ready to toss it on
the scrap heap yet. I just > started> >
playing with it.> > > > > > > > >
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