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I don’t see the need for testing multitudes of stocks
that no longer exist nor for testing over large periods of time, nor having a
large basket of stocks available on your search list.
As far as I see all you need is a timeframe to cover various
market trends (bull/bear/sideways) and enough stocks to make it viable. I would
also look at how you trade, long only, or long and short trades, etc. If you
only trade long, why test over a bear period. Logic would tell you that your
system will not be as profitable, and thus you should maybe stand aside till
your system matches the market. Your keeping of records against a certain
criteria of win/loss ratio, or profit/loss ratio would tell you when your
system is out of synch with the market. Either you have multiple systems or
keep adjusting the one system to suit current conditions would be options.
The stocks you select for the testing should be consistently
traded throughout your test period, so I ignore any that closed or started
during the period. Your timeframe of testing should also be in line with your
trading timeframe. The test period should be longer than your trade timeframe.
I can only make a stab at this as I have only tested to suit my style, but if
you intend to hold for 12 month periods, then you test over a 10 year frame, or
for holds of 5 days, I would think that a test over 12 months would be
sufficient.
The size of your stock basket for systems should be related
to your trading. A small short-term trader can only manage a relatively small
number of trades at one time due to size of capital, and the human ability to
manage them. A larger trader/investor would have a different aspect being able
to manage a larger basket due to more capital, and a longer term perspective
easier to manage more trades. So if you can only manage 2 trades per week, why
have a system that provides 20 entry signals weekly. A trader who makes 20
trades per week would need a system to signal more than 2, but would not need
100 signals each week. So you would need to combine the number of stocks to
search and the trade signal system to match your requirements.
At the end of all this nonsense I have said, there is one
thing that really counts. The methods and systems you use for trading must be
suitable for you personally. What one person does will probably not suit
another.
<font size=3 color=teal
face="Times New Roman">Cheers,
Graham
<font size=2
color="#339966" face="Times New Roman"><font
color="#339966">http://groups.msn.com/ASXShareTrading
<font size=2
color="#339966" face="Times New Roman"><font
color="#339966">http://groups.msn.com/FMSAustralia
<span
>-----Original Message-----
From: Jayson
[mailto:jcasavant@xxxxxxxxxxxx]
Sent: Sunday, 30 March 2003 7:30
AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] TESTING
THE UNIVERSE ?
<font size=2
face="Times New Roman">
<font size=2 color=blue
face=Arial>Gosub,
<font size=2
face="Times New Roman">
<font size=2 color=blue
face=Arial>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....
<font size=2
face="Times New Roman">
<font size=2 color=blue
face=Arial>Jayson
-----Original Message-----
From: gosub283
[mailto:gosub283@xxxxxxxxx]
Sent: Saturday, March 29, 2003
5:28 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] TESTING THE
UNIVERSE ?
<font size=2
face="Courier New">Hi everyone,<font
face="Courier New">
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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>
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