|
PureBytes Links
Trading Reference Links
|
Chuck,
Your explanation for the huge spike in Jan 2001 makes sense - that a
there was larger number than normal of stocks that qualified as
being beaten down - likely due to tax loss selling in Dec 2000.
However, this explanation (or my interpretation of it) raises a
question about the equity curve's significance.
I see three possible explanations. I think the third is the most
likely, but I want to mention the other two first so you can confirm
whether or not they are factors.
HYPOTHESIS ONE
Your system began to trade penny stocks in late Dec 2000 or early
Jan 2001. Penny stocks can have periods of huge gains of 70% or more
(and can have similar losses!)
Although I expect your system has a minimum price that excludes
penny stocks, I thought I better ask just in case.
HYPOTHESIS TWO
Let's say by Dec 2000, the system has generated a cumulative total
of 1,000 stocks it had traded. This number is important if I
understand the way the equity curve is generated. Because your
inactive stocks are padded out to the present for the sake of the
equity curve, that implies that once a stock gets added to the
equity curve, it remains part of that curve to the end, even if it
never trades again.
So, the jump in the equity curve in Jan 2001 could simply being the
fact that a disporportionate number of new stocks qualified for
being part of the equity curve for the first time. If 700 new stocks
qualified, that would account for the jump of 70% even if those new
stocks were not profitable.
Or perhaps (I would guess probably) you have already compensated for
this by subtracting the initial equity give to a stock before that
stock's own equity curve to the cumulative equity curve, or should I
say "profit" curve. Something makes me think that you probably have
done this compensation step. If so, we need to go to hypothesis
three.
HYPOTHESIS THREE
In anticipation of a reply that the chart is a "profit" report, what
I think has caused the jump in January 2001 is that a large number
of new stocks has added a large amount of modest profit all at once.
I am up early this morning (about 4 hours of shut eye) so my ideas
as well as words may be a bit fuzzy. Perhaps an illustration will
help.
Let's suppose that the "profit" curve is based on the profit of
about 1,000 stocks by Dec 2000. Let's also assume the total
accumulated profit is about $4,000,000 by Dec 2000. Let's also
assume that there was a much larger number than normal of new stocks
meeting the beaten down requirement of your system - perhaps due to
tax loss selling in December. Let's say 1,000 new stocks got added
to the stocks already part of the profit curve. Assuming the that
Jan 2001 entry (maybe it was a very late 2000 entry - same result),
was moderately profitable with an average gain of $3,000 for each
$50,000 position (that would be same as the average $3,000 you
report). Those 1,000 new stocks times 3,000 would add $3,000,000 to
the profit curve.
Thus, the jump in the profit curve of 70% could be caused by the
total number of stocks being traded increasing by 70% even though
they only made a modest, average profit on that trade signal. Is
this hypothesis, or a variation of it, possible?
b
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> VLIC is the Value Line Geometric Index. I only came across it by
accident,
> but it makes an excellent overall market timing vehicle. If you
care to run
> a 4/11 EMA cross on it, you will see the exact turning points that
I used.
> Data for it is commercially available starting in January, 1985.
I have
> created my own values for it back to 1970.
>
> I think that I explained why the system did so well in January,
2001. I
> believe that many stocks were oversold in December, 2000 and this
system
> picked took advantage of that situation. Such spectacular
(unbelievable?)
> performance is only by circumstance. The system was not curve-
fit to take
> advantage of that situation. In fact, I wish that the huge spike
wasn't
> there.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get A Free Psychic Reading! Your Online Answer To Life's Important Questions.
http://us.click.yahoo.com/Lj3uPC/Me7FAA/ySSFAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|