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[amibroker] Re: TESTING THE UNIVERSE ?



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Jayson,

If personalities exist, then can they be
mathamaticlly or logically described ?
This is where I have been doing a bit of research
but unable to find much. Certain markets are described
as being more "efficient" than others.
The more efficient ones being receptive to system trading.
I have yet to find out how to measure efficiency.
Some theories have involved volatility vs. time.
I played with them, but they did not offer much
in the way of useable segregation or better tradeability.

I do tend to agree with your methods,
Gary

--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Gosub,
> 
> there will certainly be many on the other side of this discussion 
but FWIW I
> try to define a universe that will trade best with a given 
strategy. For
> instance my universe has certain price, average volume and market 
cap
> requirements. I agree that some stocks have certain personalities 
that tend
> to work best with certain systems. Others will argue that a Robust 
system
> should work equally well in any market. The challenge with the first
> approach is that depending on how far back you you are testing the
> personality may be very different now than it was at the start of 
your
> testing period, especially if you test back 10+ years. Look at 
MSFT, AOL and
> CSCO as examples....
> 
> Jayson
> -----Original Message-----
> From: gosub283 [mailto:gosub283@x...]
> 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
> 
> 
> 
> 
> 
> 
> 
> 
> 
> 
> 
> 
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