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Yes to my mind a perfect efficient market is one where the
open and close are also the high and low of the day, and a rising movement
would continue moving with no retracements.
<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: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]
Sent: Sunday, 30 March 2003 10:04
AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re:
TESTING THE UNIVERSE ? (for GoSub)
<font size=2
face="Times New Roman">
<font size=2
face="Times New Roman">Gosub,
<font size=2
face="Times New Roman">
<font size=2
face="Times New Roman">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.
<font size=2
face="Times New Roman">
<font size=2
face="Times New Roman">Al Venosa
<span
>----- Original Message -----
<font
size=2 face=Arial>From: <a
href="" title="gosub283@xxxxxxxxx">gosub283
<span
>To:<font
face=Arial> <a
href="" title="amibroker@xxxxxxxxxxxxxxx">amibroker@xxxxxxxxxxxxxxx
<span
>Sent:<font
face=Arial> Saturday, March 29, 2003 7:26 PM
<span
>Subject:<font
face=Arial> [amibroker] Re: TESTING THE
UNIVERSE ? (for GoSub)
<font size=2
face="Times New Roman">
<font size=2
face="Courier New">Chuck,<font
face="Courier New">
Thanks again.
That Candle height...Candle body thing...
I looks like an "efficiency" criteria
that
I saw using "average true range vs.
time".
In other words, you are looking for efficient,
low volatility (low atr) markets.
Cheers,
gosub 283
--- 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
>
>
>
>
>
>
>
>
>
>
>
>
>
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