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[amibroker] Re: Real-world trading (specifics)



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Chuck,

You have filled things out somewhat, but I guess what I was asking 
more specifically was:

1.  What other kinds of qualifiers do you use to decide how to limit 
the universe of stocks that you'll even consider some signal for 
today ? 

and ...

2.  Does the system you use employ some sort of pattern matching 
(Raschke's "grail" i.e ADX +/- DMI etc. plus a pullback etc. would be 
an example of this sort of thing) or is it something that is more 
trend of momentum oriented (MACD, Stochastic, Linear Regression would 
be examples of this sort of thing)

TIA, Fred

--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher" 
<chuck_rademacher@x> wrote:
> Re: Real-world tradingThanks, Fred Tonetti, for the comments.  I 
will
> endeavour to answer your questions without "giving away the farm".
> 
> 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!
> 
> 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.
> 
> 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:
> 
> 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.
> 
> 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.
> 
> 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).
> 
> I hope I have answered your questions.  If not, hit me again.
>   -----Original Message-----
>   From: Fred Tonetti [mailto:ftonetti@x...]
>   Sent: Sunday, April 13, 2003 4:22 PM
>   To: amibroker@xxxxxxxxxxxxxxx
>   Subject: [amibroker] Re: Real-world trading
> 
> 
>   Chuck,
> 
>   I can tell from messages that you've posted 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 and trade, 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 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 manageable on a real time basis.
> 
>   Regards, Fred
> 
> 
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