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One
more thing about "dividing the stocks into tradeable and not tradeable"
groups. Let's just say that I could be convinced that it is a
good idea to take the time to divide the stocks into two groups as you
propose. How often do I do that? If I were to do
it monthly, then backtesting over ten years of data would have 120 different
groups (10 years times 12 groups) coming and going into my
backtesting. I would have to have a statement in my logic that
says: "if the month is January, 1992, use group one", if the
month is February, 1992, use group two", etc. If you don't do this,
you aren't really backtesting your whole system.
<FONT face=Arial color=#0000ff
size=2>
All I'm
suggesting is that life becomes a whole lot simpler if my single system does the
"dividing" dynamically for me every day. It simply ignores what it
has decided is not tradeable each day. I can then backtest this concept as
well as trade it going forward with great confidence.
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>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Chuck Rademacher
[mailto:chuck_rademacher@xxxxxxxxxx]Sent: Saturday, March 29, 2003
5:41 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] TESTING THE UNIVERSE ? (for GoSub)
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.
<FONT face=Arial color=#0000ff
size=2>
<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.
<FONT face=Arial color=#0000ff
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!
<FONT face=Arial color=#0000ff
size=2>
<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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