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Well, I almost did not respond (although
thanks for writing). I am not concerned with the price factors etc.
This is the thing I am concerned
with. I hear your other emphasis and am taking care of that. The
following is the area my previous post referred to.
“<font size=2
color=blue face=Arial>The challenge is to find a good range of settings with out
risking a curve fit, other wise the system will not likely trade in the same
manner as it tests.”
Any further comments on this one aspect of
your reply???
Anyone else???
Ken
-----Original Message-----
From: Jayson
[mailto:jcasavant@xxxxxxxxxxxx]
Sent: Thursday, February 06, 2003
11:41 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: Stock Selection was:
[amibroker] Re: NDX / QQQ - Can it be traded ?
Apples and Oranges Ken. Perhaps we can
make a Nectarine! If you choose a basket of stocks based on a given criteria
then testing that basket over 10 years may well hold no significance. Lets use
a simple filter.
C>10;
ma(v,50)>100000;
Lets consider that this is the criteria
for our initial scan/selection. Where were the conditions 1-2-5-10 years ago?
If the conditions were not met just 1 year ago would we have selected the stock
for use in our system? If not then what is the value of testing its results
2-5-10 years ago? With this approach you would need to test that the
conditions were in fact met X years ago then test forward using your selection
criteria to exit when necessary. This insures that you would not be testing
stocks that in RT you would have no intention of trading.
You may wish to be careful with your
Optimization. The challenge is to find a good range of settings with out
risking a curve fit, other wise the system will not likely trade in the same
manner as it tests.
Jayson
<span
>-----Original Message-----
From: Ken Close
[mailto:closeks@xxxxxxxx]
Sent: Thursday, February 06, 2003
11:10 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: Stock Selection was:
[amibroker] Re: NDX / QQQ - Can it be traded ?
Jayson: your advice is very good as
well as comprehensive….I am still left unsettled as to my approach.
Lets say my indicator/system is relatively
short term in nature (lookbacks are somewhat short). But, I want to
employ some of the principles that Fred talked about namely to be sure I
optimize over a long period so various market conditions are captured).
[I know the argument that the nature of the market changed on 3/1/2000 and
therefore optimizations should be done after that point---I tend to want to be
more conservative and capture conditions on both sides of the peak].
Also, a system that optimizes to good performance across that period seems a
more conservative and “robust” system. Witness Freds model of
results in his “spectacular” system—the equity curve kept
going up and was smooth as the system passed over 3/1/2000,
As I said previously, the optimization
process is a lengthy one, so my approach is to do all of what you said below in
other scans (I pull out of TC2000 many of the conditions you talk about
below). This is my selection watchlist. Then, I do not want to /
can not take the time to run optimizations on 300 or 800 stocks so I want a
screening approach that has a good probability of finding stocks that
“resonate” with my system. Then, I will optimize these
stocks.
I still have to try DTs approach and
probably alter it to conform a little more closely with my system.
Another approach is that if I have for example some trigger levels in my
model…..while these might optimize out to extremes for individual members
(think about RSI crossing 30 and 70), then my screening formula might set a
standard trigger of crossing 50 either way. Stocks that do
“well” against the 50/50 cross should do better when optimized to
exact levels. Stocks that do poorly against the 50/50 cross will still do
poorly when optimized. Don’t you think this is a correct way of
looking at it?
Thanks for the help. Any further
comments on the above point?
Ken
-----Original Message-----
From: Jayson
[mailto:jcasavant@xxxxxxxxxxxx]
Sent: Thursday, February 06, 2003
10:24 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Stock Selection was:
[amibroker] Re: NDX / QQQ - Can it be traded ?
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.
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.
Regards,
Jayson
<span
>-----Original Message-----
From: DIMITRIS TSOKAKIS
<TSOKAKIS@xxxxxxxxx> [mailto:TSOKAKIS@xxxxxxxxx]
Sent: Thursday, February 06, 2003
5:50 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: NDX / QQQ
- Can it be traded ?
<font size=2
face="Courier New">Ken,<font
size=2 face="Courier New">
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 like
f=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 level
x2=Optimize("X2",56,55,60,1);//sell
level
b1=Cross(f,x1);b2=Cross(x1,f);//no need to be
fanatic with the type
of cross, the system knows better
s1=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,Short
The 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
combination
is 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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> >
> >
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