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Gosub,
If I may butt in for just a moment. An "efficient" stock in my mind is one
that participates in large price moves with very little concurrent movement in
its volatility. It's not necessarily a low volatility stock; it's the fact that
the change in price of a stock over a certain period is disproportionately
higher than its corresponding change in volatility.
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
gosub283
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, March 29, 2003 7:26
PM
Subject: [amibroker] Re: TESTING THE
UNIVERSE ? (for GoSub)
Chuck,Thanks again.That Candle
height...Candle body thing...I looks like an "efficiency" criteria
thatI saw using "average true range vs. time".In other words, you are
looking for efficient,low volatility (low atr)
markets.Cheers,gosub 283--- In <A
href="">amibroker@xxxxxxxxxxxxxxx, "Chuck
Rademacher" <<A
href="">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
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