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<FONT face=Arial color=#0000ff
size=2>Thanks, Graham. I concur with everything you've said.
<FONT face=Arial color=#0000ff
size=2>
For
what it is worth, however, I wouldn't trade a system with three or four
variables based on less than 3,000 trades... howver many days, weeks or years of
data that requires.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Saturday, March 29, 2003 10:19
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
TESTING THE UNIVERSE ?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> > <<A
href="">http://groups.msn.com/ASXShareTrading>>
<A
href="">http://groups.msn.com/ASXShareTrading>
> <<A
href="">http://groups.msn.com/FMSAustralia>
<A
href="">http://groups.msn.com/FMSAustralia>
> -----Original Message-----> From: Jayson
[mailto:jcasavant@xxxx] > 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@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> > >
> > > > > > > >
> > > Send BUG REPORTS to bugs@xxxx> Send
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