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<Perhaps I've just saved someone 40 years of research? I hope so.>
Chuck,
I've been doing this for 30+ years, starting with hand drawn charts
and graduating to my own developed software systems over the years,
and now spending a heck of a lot of time with Amibroker.
I may not get it today, but I've logged your post and I may get it
before 'it is over with'.
Cheers to you,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> 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.
>
> Have a look at two charts: AAR and ABJ
>
> 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.
>
> 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".
>
> 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.
>
> Perhaps I've just saved someone 40 years of research? I hope so.
>
> Cheers
> -----Original Message-----
> From: gosub283 [mailto:gosub283@x...]
> Sent: Saturday, March 29, 2003 7:27 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: TESTING THE UNIVERSE ? (for GoSub)
>
>
> Chuck,
>
> 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@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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