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If I
completely answer your question, I'll have to prevent you from talking to anyone
else!! Just kidding.
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My
systems "look" at all stocks, not just the ones that have done well.
The systems decide whether a particular stock is tradeable. Out of
8,000+ stocks, it might trade 20 in a week. Many people would ask
why bother looking at the rest. I can only answer that with a
question. How do I decide which ones to look at?
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Here
are some of the things in my flitering process:
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<FONT face=Arial color=#0000ff
size=2>AverageVolume > 100,000
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size=2>ActualClose > $1
Low
ratio of total candle height to candle body over some period of time.
(think about this one).
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I see
a posting from Jason who says that he filters on market cap. There's
nothing wrong with that, but United Airlines WAS a very large cap
stock. Since it isn't a large cap stock now, most people would
exclude it from their backtesting. If you want to filter based
on market cap, in my opionion it should be done dynamically. Put the
market cap figure in the data (as open interest or whatever) and let the system
filter it and and out over time.
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To me,
backtesting is real simple. I throw at it every stock that I WOULD HAVE
TRADED at some point in time. There would be a period where my
systems made a lot of money trading UAL, long and short. My systems
wouldn't even entertain the idea of trading it now. How can
you backtest a stock just because it meets your criteria now?
It may have trade in a shocking manner for ten years up until
now.
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Most
backtesters agree with "dividing up the stocks" into tradeable and non-tradeable
groups. My only comment is that it needs to be done in realtime, not
using the current look and feel of the stock.
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<FONT face="Times New Roman"
size=2>-----Original Message-----From: gosub283
[mailto:gosub283@xxxxxxxxx]Sent: Saturday, March 29, 2003 6:19
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
TESTING THE UNIVERSE ? (for
GoSub)Chuck,Thanks for your comments.If
you have been trading for 40 years, andyoure still around...then I have to
give somecredability to your findings :-)Are you only trading
stocks that tested withsome degree of success over a certian time period
?(Eg; The last five years)What is the criteria that you trade one
and not theother
?thanks,Gosub283--- In
amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher" <chuck_rademacher@x>
wrote:> 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?> > 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.>
> 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.> > 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!> > > -----Original
Message-----> From: gosub283
[mailto:gosub283@xxxx]> Sent: Saturday, March 29, 2003 5:28
PM> To: amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] TESTING THE UNIVERSE ?> >
> Hi everyone,> > Please bear
with me on this subject because> it's one which I have not
yet found the answer> and one which I am not an expert.
This question is based> on 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 universe> of stocks with a
trading system if it is generally> understood
that..> A) Some stocks are just not "system"
tradeable> B) 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 give> a squewed result because the
performance of the system> will be lowered by the
"untradeables" and the ones with> the "wrong
personality".> > I have written filters which divide
up the universe into two> personality 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 universe> that 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,>
Gosub283> > > > > > >
> > > > >
> Yahoo! Groups
Sponsor>
ADVERTISEMENT> > > > > Send BUG
REPORTS to bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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