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Good thought that Chuck. I had not looked at it from that
angle, but you are hitting on what I was saying. I just looked at the time
angle rather than the results (no of trades). I would say you would get many
more trades in a short period (on average) for a short term based system, using
something like an oscillator, than a longer term view, using something like a
long dated MA.
So I shall consider the no of trades resulting from a
backtest and see what I can see.
<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: Chuck Rademacher
[mailto:chuck_rademacher@xxxxxxxxxx]
Sent: Sunday, 30 March 2003 11:33
AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re:
TESTING THE UNIVERSE ?
<font size=2
face="Times New Roman">
<font size=2 color=blue
face=Arial>Thanks,
Graham. I concur with everything you've said.
<font size=2
face="Times New Roman">
<font size=2 color=blue
face=Arial>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.
-----Original
Message-----
From: Fred
[mailto:fctonetti@xxxxxxxxx]
Sent: Saturday, March 29, 2003
10:19 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: TESTING
THE UNIVERSE ?
<font size=2
face="Courier New">Grahm,<font
face="Courier New">
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>
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
>
>
>
>
>
>
>
>
>
>
>
>
>
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