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Re: [amibroker] Historical volume filtering



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Chuck,
 
I, too, have often wondered how to apply a volume filter to the distant 
past. What you suggest makes sense. However, it might be a little more accurate 
if you normalized annual volume of the NYSE to 1985 and then increased your 
multiplier each year by the incremental increase (or decrease) in volume for the 
next year. So, each year there would be a different multiplier applied to your 
filter (starting with 1985 being 1). Also, why limit it to the NYSE? If you 
trade NASDAQ stocks, do the same for them. Or, how about the Wilshire 5000 for 
the entire market? 
 
Of course, this brings on the next question. If you also filter on stocks 
with a price > $20/share, for example, how do you handle stock splits over 
the years? A $20 stock today might be $0.20/share or less back in 1985. Any 
ideas along these lines? 
 
Al Venosa
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  <A title=chuck_rademacher@xxxxxxxxxx 
  href="">Chuck Rademacher 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Thursday, June 19, 2003 8:01 
  PM
  Subject: [amibroker] Historical volume 
  filtering
  
  I 
  was about to send this email to "b", but I would welcome comments from anyone 
  else interested in such historical work.  
  <FONT face=Arial color=#0000ff 
  size=2> 
  At 
  the risk of having some of you ask why it matters, my backtesting generally 
  goes back to 1985.    Just yesterday, I posted a message to 
  this group saying that I always use one set of parameters across all stocks 
  and across all timeframes.   One of the downsides of this 
  approach (perhaps) is that volume has changed over time.   I suppose 
  that one could argue that volatility changes over time as well.   
  Volatility, however, goes through cycles and volume just keeps 
  growing.
  <FONT face=Arial color=#0000ff 
  size=2> 
  The 
  question that I have involves volume filtering.   To me, it is 
  essential that volume filters be applied to actual volume and not backadjusted 
  volume.  My concern, however, is that if I apply a filter requiring 
  an average of 300,000 shares, I don't get very many hits back in the late 80's 
  and early 90's.   
  <FONT face=Arial color=#0000ff 
  size=2> 
  I 
  have a solution in mind and would appreciate some input or dialogue on the 
  subject.    It seems to me that volume 
  filtering should be based on some percentage of the total volume of all 
  NYSE stocks (for instance).   I haven't done my homework yet, but 
  let's say that the average volume today is ten times more than it was in 
  1985.   If I decide to filter today at 300,000 shares, wouldn't it 
  make sense to filter based on 30,000 shares in 1985.   I can 
  probably answer that question myself by saying that I don't think 30,000 would 
  be an adequate filter in 1985.   But I could scale it from 100,000 
  to 300,000 progressively between 1985 and 2003 based on mathematical 
  equation.
  <FONT face=Arial color=#0000ff 
  size=2> 
  You 
  may ask why backtesting to 1985 (or any other date) is 
  important.   There are dozens of reasons, but the most 
  important reason to me is that prospective investors in any funds that I 
  manage want to see how a proposed system would have performed over a 
  statistically meaningful period of time.   You can argue about the 
  relevance of such information, but THEY EXPECT TO SEE IT.   For the 
  record, I also think that it is very important.
  <FONT face=Arial color=#0000ff 
  size=2> 
  <FONT 
  face=Arial color=#0000ff size=2>I welcome comments from anyone with an 
  interest or knowledge in this area.Send 
  BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
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