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I
mentioned to you one of the things that I have learned after many years of
developing trading systems. I told you that I filter stocks
using the ratio of total candle height to candle body size over some period
of time.
<FONT face=Arial color=#0000ff
size=2>
Have a
look at two charts: AAR and ABJ
<FONT face=Arial color=#0000ff
size=2>
I have
no idea what these companies do or who runs them, but I think that most traders
would prefer to trade AAR and not ABJ, if given the choice. Why do
you suppose that is the case? It's kind of hard to put in
words, but I sure don't like the look and feel of ABJ. So, I
try to quantify it so that I can use AB, MetaStock or TradeStation to filter out
ABJ for the time being. I may want to look at again later, but not right
now. In fact, my systems will have a fresh look every
day. But, we've already beat that to death.
<FONT face=Arial color=#0000ff
size=2>
In
order to quantify why I don't like the look of ABJ, I discovered that I can
calculate the ratio of total candle height to candle body height over some
number of days and if the ratio is "high", I simply won't trade it.
You'll have to figure out for yourself how many days to look at and what kind of
value is "high".
<FONT face=Arial color=#0000ff
size=2>
Of
course, there are those people who would like to trade ABJ for the very reason
that I don't want to trade it. But their systems or methods would be
quite different from mine. When ABJ takes on the look of AAR (next
week, next month or next year), I will automatically have a look at it using my
systems. Until then, it flunks test number 23.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Perhaps I've just saved someone 40 years of research? I hope
so.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Cheers
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: gosub283
[mailto:gosub283@xxxxxxxxx]Sent: Saturday, March 29, 2003 7:27
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [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 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> > > > > > >
> > > > >
> Yahoo! Groups
Sponsor>
ADVERTISEMENT> > > > > Send BUG
REPORTS to bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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