[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: [amibroker] Re: TESTING THE UNIVERSE ?



PureBytes Links

Trading Reference Links




<SPAN 
class=512072703-31032003>Al,
I 
think it is similar. There is very little "New" under the sun :))  The 
challenge is finding one of these nice tight charts that also have an ATR that 
is not too gut wrenching yet interesting enough to play. Earlier this week end 
someone (sorry do not recall who) offered a chart of AAR as a the type of chart 
to look for. At a glance it does look nice and "Tight". But check the ATR(14). 
Fridays level was in the neighborhood of 21%!! Not for the feint heart. To me 
ATR is more of a gut check then a measure of efficiency.
 Jayson 
<FONT face=Tahoma 
size=2>-----Original Message-----From: Al Venosa 
[mailto:advenosa@xxxxxxxxxxxx]Sent: Sunday, March 30, 2003 8:08 
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] 
Re: TESTING THE UNIVERSE ?
Thanks, Jayson. That's pretty interesting. I wasn't aware of Hannula's 
Polarized Fractal Efficiency or your AFL code of it. I'll have to take a look at 
it. It seems conceptually similar to Kaufman's FER. Tharp uses volatility (ATR) 
to help define efficiency, but when you think about it, all of these 
representations are similar in that they describe the fastest route from price A 
to price B in one way or another. 
 
Al Venosa
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  <A href="" 
  title=jcasavant@xxxxxxxxxxxx>Jayson 
  To: <A 
  href="" 
  title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx 
  Sent: Sunday, March 30, 2003 6:47 
PM
  Subject: RE: [amibroker] Re: TESTING THE 
  UNIVERSE ?
  
  <SPAN 
  class=619104623-30032003>Gosub,
  <SPAN 
  class=619104623-30032003> 
  for 
  an indicator based representation of PFE you may visit....
  <SPAN 
  class=619104623-30032003> 
  <A 
  href="">http://www.amibroker.com/library/detail.php?id=231
   Jayson 
  <FONT face=Tahoma 
  size=2>-----Original Message-----From: Al Venosa 
  [mailto:advenosa@xxxxxxxxxxxx]Sent: Sunday, March 30, 2003 11:16 
  AMTo: <A 
  href="">amibroker@xxxxxxxxxxxxxxxSubject: 
  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 stocksEI20=(C-Ref(C,-20))/MA(ATR(1),20); 
  //he uses a simple ma of the true range rather than Wilder's 
  ATREI45=(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 + 
  EI45AvgEI=(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
  <BLOCKQUOTE 
  >
    ----- Original Message ----- 
    <DIV 
    >From: 
    gosub283 
    
    To: <A 
    href="" 
    title=amibroker@xxxxxxxxxxxxxxx>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 perfectsideway's market ? Lots of steady price moves but nogreat 
    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 catagorizestock personalities or 
    efficiencies, then this is anarea where we could really benifit.(I 
    realize this is easier said than done).On the subject of efficiency, 
    your definition doesmatch earlier ones that I have seen. Volatility 
    is the tricky one.A stock's 1 month volatilty may look low, but that 
    samestock may have a very high volatility when looked atover 1 year. 
    (I know I'm stating the obvious) So, whentrying 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 andcompany changes in size/volume/growth over time, 
    anythingmore 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 questionto S&C magazine (it's in 
    the Nov. 2002 issue) Titled"Volatility Defined". They did not provide a 
    satisfactoryanswer 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 
    stockmake 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 
    extemeexample 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 wouldhelp some trading systems to define better 
    targets. If anyone has more suggestions on this subject, pleasepost 
    them. By the way, this is as far as any other discussion got 
    onpersonality definition, then they stopped. It's possible thatthere 
    is no more than this. That perhaps, I'm suggestingthe catagorization of 
    randomness ? Soemtimes, my philosophicalmusings 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@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>   
    > >   > >   > 
    >   > >   > >   
    > >   > >   > 
    >   > >   > >   
    > >   > >   
    >         Yahoo! Groups 
    Sponsor>   
    >               
    ADVERTISEMENT>   > >   > 
    >   > >   > >   
    >   Send BUG REPORTS to bugs@xxxx>   
    >   Send SUGGESTIONS to suggest@xxxx>   
    >   
    ----------------------------------------->   
    >   Post AmiQuote-related messages ONLY to: 
    amiquote@xxxxxxxxxxxxxxx>   >   (Web page: 
    <A 
    href="">http://groups.yahoo.com/group/amiquote/messages/)>   
    >   
    -------------------------------------------->   
    >   Check group FAQ at:>   > <A 
    href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>   
    > >   >   Your use of Yahoo! Groups is 
    subject to the Yahoo! Terms of >   Service.> 
    > >         Yahoo! 
    Groups Sponsor 
    >               
    ADVERTISEMENT>              
    >        
    >        > 
    >   Send BUG REPORTS to bugs@xxxx>   Send 
    SUGGESTIONS to suggest@xxxx>   
    ----------------------------------------->   Post 
    AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
    >   (Web page: <A 
    href="">http://groups.yahoo.com/group/amiquote/messages/)>   
    -------------------------------------------->   Check group 
    FAQ at: <A 
    href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
    > >   Your use of Yahoo! Groups is subject to the 
    Yahoo! Terms of Service.Send BUG REPORTS to 
    bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
    suggest@xxxxxxxxxxxxx-----------------------------------------Post 
    AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: 
    <A 
    href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
    group FAQ at: <A 
    href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
    Your use of Yahoo! Groups is subject to the <A 
    href="">Yahoo! Terms of Service. 
    Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend 
  SUGGESTIONS to 
  suggest@xxxxxxxxxxxxx-----------------------------------------Post 
  AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A 
  href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
  group FAQ at: <A 
  href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
  Your use of Yahoo! Groups is subject to the <A 
  href="">Yahoo! Terms of Service. 
  Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
  suggest@xxxxxxxxxxxxx-----------------------------------------Post 
  AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A 
  href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
  group FAQ at: <A 
  href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
  Your use of Yahoo! Groups is subject to the <A 
  href="">Yahoo! Terms of Service. 
Send 
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
suggest@xxxxxxxxxxxxx-----------------------------------------Post 
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A 
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
group FAQ at: <A 
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
Your use of Yahoo! Groups is subject to the <A 
href="">Yahoo! Terms of Service. 







Yahoo! Groups Sponsor


  ADVERTISEMENT









Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html



Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.