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<SPAN
class=421312223-29032003>Gosub,
<SPAN
class=421312223-29032003>
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
<FONT face=Tahoma
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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