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<SPAN
class=270563220-13042003>Thanks, Fred Tonetti, for the comments. I
will endeavour to answer your questions without "giving away the
farm".
<SPAN
class=270563220-13042003>
First,
I have to tell you that I think my approach is different from MOST of the people
in this group. Of course, that could mean that most of
the others have it right!
<SPAN
class=270563220-13042003>
I
would NEVER optimize for a different set of parameters for each
stock. I'm of the opinion that MSFT can start looking like IBM
tomorrow. AOL can take on the look and feel of INTC next
week. So, I want to have one set of parameters that works on ALL
stocks over at least six years of data (preferably ten to twelve). I
end up with a set of parameters that works over 13,000+ stocks (active and
extinct) times however many days those stocks have traded. The
number of trades can be between 15,000 and 50,000 and gives me some feeling that
the system(s) will be robust in the future.
<SPAN
class=270563220-13042003>
The
next area I seem to treat differently than most as well. I trade
fixed size positions all the time. My backtesting and realtime
trading is always based on fixed position size. If I have cash, I
will take as many trades as I can take. If I don't have enough cash to
take every trade, I will sort the orders by "something". If I'm not
getting enough signals to use all my cash, I will gradually increase the
bet size. AB lends itself to this approach, although I would like to
see it more automated. I'll give an example:
<SPAN
class=270563220-13042003>
Let's
say I'm sitting on $100,000 cash, or will be after I close out some positions
tomorrow. If I'm trading $10,000 per transaction, obviously I have
enough cash to take ten new positions. My system may generate 100
orders for tomorrow. I will add a column to my exploration so that I
can sort by it (or at least look at it). For simplicity, let's say
that I know that my system works better on low price stocks; the lower the
better. That's almost too easy, but I could sort my buy orders by
closing price and take the first ten. Obviously, I would have had to
backtest this premise before trading in realtime.
<SPAN
class=270563220-13042003>
I sort
by whatever I have found (via backtesting) gives me the best
results. Since I have other information in my data (fundamentals,
etc.), I can sort by just about anything you can imagine.
<SPAN
class=270563220-13042003>
You
quoted me as saying that I use volume * price as one of my filters.
I use something between a ten-day and fifty-day average volume times the
(actual) closing price to give me the turnover. If I'm trading
$10,000, I want the turnover to be at least $200,000. That's not a
science, just a judgemental ratio of my order size to the average turnover in
order to get an easy fill (in and out).
<SPAN
class=270563220-13042003>
I hope
I have answered your questions. If not, hit me
again.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred Tonetti
[mailto:ftonetti@xxxxxxxxxxxxx]Sent: Sunday, April 13, 2003 4:22
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Real-world trading
<FONT face=Arial
size=2>Chuck,
I can tell from
messages that you've post<SPAN
lang=en-us>e<SPAN
lang=en-us>d in the past that
you are thorough in your testing ...
Without giving away the
farm as it were I am interested in the kinds of systems you
develop<FONT face=Arial
size=2> and trade<FONT
face=Arial size=2>, do they in general look for certain kinds of conditions
like for example a Raschke "grail" set up or do they more belong to the timing
of things with in the larger trend or ?
I think you are far
beyond most here or at least me in terms of how you go about selecting stocks
to trade beyond whether or not they match some pattern in a generalized
way. I've heard you speak of volume > X etc., but I think most
here<FONT face=Arial
size=2> or at least I
would benefit from any and all information you'd be
willing to share about how you pare down 10,000 tradable issues into something
more manag<FONT
face=Arial size=2>e<SPAN
lang=en-us>able on a real<SPAN
lang=en-us><SPAN
lang=en-us> time
basis.
Regards,
FredSend
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