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Grahm,
Questions and/or comments regarding your post.
If you are only trading long then to me it's still imperative to test
over bear markets as well unless you have some sort of automated
filter that keeps you out of bear markets in which case you are still
testing over bear markets, aren't you ? It's wonderful to look back
in history and say ... well I wouldn't have traded then because it
was a bear market ... but the question is when did you recognize that
it was ? after day one ? month one ? year one ?
The same applies to delisted stocks, doesn't it. No way to know much
in advance that they were going to be delisted.
With regards to holding period .vs. testing period IMHO neither 10
years for those planning to hold 12 months or 1 year for those
planning on holding 5 days is sufficient although the latter appears
to be more viable as there are ~50 potential trades there and only 10
in the first scenario. From my porch I don't trade systems that
don't have 200+ trades in them end to end.
--- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> 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.
>
> Cheers,
> Graham
>
> <http://groups.msn.com/ASXShareTrading>
> http://groups.msn.com/ASXShareTrading
>
> <http://groups.msn.com/FMSAustralia>
http://groups.msn.com/FMSAustralia
>
> -----Original Message-----
> From: Jayson [mailto:jcasavant@x...]
> Sent: Sunday, 30 March 2003 7:30 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] TESTING THE UNIVERSE ?
>
>
>
> 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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