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[amibroker] Re: Candle height versus Candle body size (for gosub)



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Chuck,
I have already created an indicator based on this (H-L)/(C-O) ratio.
It gives interesting info for trend detection, duration and strength 
and I will post it next week.
Dimitris Tsokakis

--- 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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