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Jayson and Al V.
Thanks you guys !
Your help gives me a good start into the study
of efficiency and "personality". I'll be sure
to share anything new that I find.
However, by the looks of it, there isn't too
much that I could provide that you two don't
already know. :-)
Have a good evening,
Gosub283
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Gosub,
>
> for an indicator based representation of PFE you may visit....
>
> http://www.amibroker.com/library/detail.php?id=231
>
> Jayson
> -----Original Message-----
> From: Al Venosa [mailto:advenosa@x...]
> Sent: Sunday, March 30, 2003 11:16 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Re: TESTING THE UNIVERSE ?
>
>
> Hi, Gosub:
>
> I've written on this subject before in this forum. There are
several ways
> you could approach the problem of defining efficient stocks. A
stock has to
> have some non-random movement to be predictable. Perry Kaufman
calls this
> the "fractal efficiency ratio" or FER. It's the total change in
price over
> a given period divided by the sum of the absolute values of all the
daily
> changes in price. If a stock has too small a directional
component, then
> it's a poor candidate for any system, regardless of how many
filters or
> refinements you add. You're better off using all that firepower on
a better
> target. So, using Kaufman's FER is one way. Another is Van Tharp's
> efficiency index (EI), which he introduced about a year ago on his
forum. It
> is simply the difference in closing price between today and x-
periods ago
> divided by the ATR over the same period (note how similar in
principle it is
> to Kaufman's). He uses several periods to define his efficiency
rating.
> Although he never defined it mathematically, I figured it out and
coded it
> in afl. There are basically 2 efficiency index periods, short term
and long
> term. You may change these in whatever way you want and use them
however you
> want. I'm just showing an example. Here is the exploration code:
>
> Filter=1;//filter on all stocks
> EI20=(C-Ref(C,-20))/MA(ATR(1),20); //he uses a simple ma of the
true range
> rather than Wilder's ATR
> EI45=(C-Ref(C,-45))/MA(ATR(1),45);
> EI90=(C-Ref(C,-90))/MA(ATR(1),90);
> EI180=(C-Ref(C,-180))/MA(ATR(1),180);
> ShortTermEI=EI20+EI45;//short term sum of EI20 + EI45
> AvgEI=(EI20+EI45+EI90+EI180)/4;
> AddColumn(EI20,"ei20",1.2);
> AddColumn(EI45,"ei45",1.2);
> AddColumn(EI90,"ei90",1.2);
> AddColumn(EI180,"ei180",1.2);
> AddColumn(AvgEI,"AvgEI",1.2);
> AddColumn(ShortTermEI,"ShortTermEI",1.2);
>
> The AvgEI should be > 0 (perhaps as high as 15, but you can play
with this).
> The ShortTermEI can be set to whatever you want, also. Obviously,
you can
> optimize these terms. In your "price volatility" definition, this
is the
> antithesis of an efficient stock as defined above. Your "overall
market
> volatiltiy" is closer in line with the above discussion. This whole
idea of
> "personality" of stocks is why I am a believer is optimizing a
system on a
> stock-by-stock basis rather than over an entire watchlist of
stocks. The
> latter may give you an indication of overall robustness, but the
parameter
> values derived from such an optimization are influenced by bad
personality
> stocks as well as good personality stocks. Why should your system be
> influenced by stocks that don't behave well? You're not going to
trade all
> 100 NDX stocks anyway nor certainly those that are poor performer
to begin
> with. Probably the max number of stocks you will trade is a dozen
or so,
> probably less. So, why not optimize on each of those dozen stocks
> separately? As long as the system is robust for each stock, that's
all that
> matters. Just my opinion.
>
> If you make any progress with further refinements in stock
personality,
> please post as this has always been of interest to me.
>
> Al Venosa
>
> ----- Original Message -----
> From: gosub283
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, March 30, 2003 10:34 AM
> Subject: [amibroker] Re: TESTING THE UNIVERSE ?
>
>
> 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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