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You
are probably right, that I should consider more than just the S&P volume if
I want to be more precise. As you also suggest, it will probably
make little difference since the objective is to simply apply the ratio to
a filter that might range between 100000 and 500000. Compared to
using a fixed value for my volume filter over 20 years, using the ratio of
current to historic S&P volume would certainly be an
improvement.
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I
grabbed the S&P to demonstrate the AFL one could use, partially because
it was easily available in my AB database, had volume associated with
it and I could justify using it.
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By the
way, I am seeing significant improvement in backtesting results using the
"sliding filter" approach based on the ratio previously
mentioned. I'm sure that you realise that improving backtesting
results does little for improving the bank balance. It goes a long
way towards satisfying the need to demonstrate how a system might have performed
when I make presentations to prospective investors.
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I used
to get torn apart making such presentations when someone would ask questions
like "do you use backadjusted prices?" or "have you considered survivorship
bias?". Granted, nobody ever asked me whether my volume
filters adjusted for the phenominal growth in trading volume, but I'm ready for
them now!
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Friday, June 20, 2003 2:49
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Al's Challenge (more)Chuck,It's not clear to
me that the measure of S&P Volume is really indicitive of
anything. Although the answer could / should ? come out the same
doesn't it make more sense to just take total (NYSE / NASDAQ / AMEX / All
of the above ? ) volume and divide by the corresponding number of issues
traded ?Interestingly enough when doing this for NYSE Volume &
Issues and taking a year long average the factor is about 8.6 to 1 between
the today and the corresponding day in 1985. Close enough I
suppose.--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:> Sorry... I forgot to mention
that I used the S&P for my calculations and why> I did
so.> > Several members of this group and the Holygrailsm group
commented on how> low-priced stocks come and go out of
fashion. Since I really wanted to> know how volume
changed over time, I thought that the S&P would be the best>
instrument to use for that purpose. It is also one of the few
indices that> provides a meaningful volume figure.> >
Since the results looked like what I had imagined, I must assume that
I've> chosen the right instrument for this purpose (LOL).
Keep in mind that this> is not a precise, scientific number that
I'm after. I only want an> indicative ratio of how volume
at any point in time compares with some base>
period.Send
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