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Hi AL, (and everyone else)
Great thread so far. Thanks for all the replies.
Al, does your definition perhaps describe the perfect
sideway's market ? Lots of steady price moves but no
great change in overall volatility?
Your comment touches the real reason why I posted
"TESTING the UNIVERSE" in the first place.
If it is possible to somehow isolate and catagorize
stock personalities or efficiencies, then this is an
area where we could really benifit.
(I realize this is easier said than done).
On the subject of efficiency, your definition does
match earlier ones that I have seen.
Volatility is the tricky one.
A stock's 1 month volatilty may look low, but that same
stock may have a very high volatility when looked at
over 1 year. (I know I'm stating the obvious) So, when
trying to define "personality" a timeframe must be considered.
I try to use at lease 1 year of data to judge a personality.
Anything less may be non-repeatable. Due to evolution and
company changes in size/volume/growth over time, anything
more than 3 years may also be useless.
Back to efficency for a moment....
This could be a very usefull filter.
In an attempt to design one in the past, I sent a question
to S&C magazine (it's in the Nov. 2002 issue) Titled
"Volatility Defined". They did not provide a satisfactory
answer to my question.
You see, it's possible to have...
A)a very high Average True Range (ATR) value
while a stock moves in a FLAT mode.
(What I call "price Volatility")
B)it's possible to have a very low ATR and have the stock
make huge gains/drops over a given period.
(What I call "Overal Market Volatility")
Both describe high volatility, but are quite diferent??
(If you happen to have the magazine, it shows exteme
example in charts. I'll try to fine .jpg copies)
One may suit a particular trading system more than another.
Here's the end....finally :-0 (Yawning)
I think "personality definition" is a small niche that would
help some trading systems to define better targets.
If anyone has more suggestions on this subject, please
post them.
By the way, this is as far as any other discussion got on
personality definition, then they stopped. It's possible that
there is no more than this. That perhaps, I'm suggesting
the catagorization of randomness ? Soemtimes, my philosophical
musings are killed by the pure, cold reality of math and chaos.
Cheers,
Gosub283
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> Gosub,
>
> If I may butt in for just a moment. An "efficient" stock in my mind
is one that participates in large price moves with very little
concurrent movement in its volatility. It's not necessarily a low
volatility stock; it's the fact that the change in price of a stock
over a certain period is disproportionately higher than its
corresponding change in volatility.
>
> Al Venosa
> ----- Original Message -----
> From: gosub283
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Saturday, March 29, 2003 7:26 PM
> Subject: [amibroker] Re: TESTING THE UNIVERSE ? (for GoSub)
>
>
> >
> > -----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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