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I
think I approach this problem in a different way. I agree with you
on all three points (A,B,C) mentioned below. Why then, you might
ask, do I still want my system to look at all of the stocks in the
universe?
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size=2>
To me
the answer is easy. I don't want to sit down daily, weekly or monthly and
portion the stocks out to nice little groups of "tradeable" and "not
tradeable". I don't think that I'm smart enough and I surely don't
have the time.
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<FONT face=Arial color=#0000ff
size=2>However, I can write systems that will do all of this for me.
In order for these systems to do the intended job, however, they need to see all
of the stocks every day. I let the system decide whether the each
stock "appears" to be tradeable or not. By letting the system do the
deciding, I can be fishing instead of perusing charts. I've been trading
for 40 years and have yet to look at a chart to make any sort of trading
decision. I have looked at charts in order to transfer the look and
feel of a chart to my trading systems, but not for making actual trading
decisions.
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size=2>
So,
I'm a single-click trader and I'm trading on behalf of several hedge
funds. My systems make a single pass through all of the active
stocks and decide which ones to trade and in which direction. I
blindly enter the orders before the market opens and I'm done (trading) for the
day. I spend the rest of the day doing research on how to improve my
systems. If the sun is shining and it's not too windy, I'm
fishing!
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<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: gosub283
[mailto:gosub283@xxxxxxxxx]Sent: Saturday, March 29, 2003 5:28
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
TESTING THE UNIVERSE ?Hi everyone,Please bear
with me on this subject becauseit's one which I have not yet found the
answerand one which I am not an expert. This question is basedon my
current assumptions and is open to comment,correction, or
debate.(This has been discussed before but, as an onlooker,I did
not see a solution.)Here it is:What is the point of testing
the whole universeof stocks with a trading system if it is
generallyunderstood that..A) Some stocks are just not "system"
tradeableB) Some systems are best suited to certain markets.C) Some
stocks have unique "personalities" which work with some
trading techniques but not others.It seems to me that a test of the
whole universe will givea squewed result because the performance of the
systemwill be lowered by the "untradeables" and the ones withthe
"wrong personality".I have written filters which divide up the
universe into twopersonality groups.(Good ones on the left...bad ones on
the right)This has helped to narrow down the basket a little.But maybe
there's another reason to test the whole universethat I m not aware of.
Any comments on this ? (for or against)PS: I think the focus should be
on devising ways to define and catagorize
"personalities", then go exploit them. (Definately
easier said than done)
;-(Cheers,Gosub283Send
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