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RE: [amibroker] Historical volume filtering



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Chuck have you tried just 
using average volumes to adjust the volume setting.
Don't know if this works 
correctly, but something to consider
 

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  <FONT 
  face=Tahoma size=2>-----Original Message-----From: Chuck Rademacher 
  [mailto:chuck_rademacher@xxxxxxxxxx] Sent: Friday, 20 June 2003 
  8:02 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [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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