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I am not sure if this has already been mentioned, but what
about normalizing against proxies for wide market volume, such as volume of an
index (e.g. sp500) or exchange (NYSE). These might already be in your database
in Amibroker, so it would be easy to create the threshold, i.e. <FONT
size=2>vol_lowlimit = constant / ma(foreign("^SP500", "V"), vdays);
<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 8:34
PM
Subject: RE: [amibroker] Historical
volume filtering
<FONT face=Arial color=#0000ff
size=2>Thanks, Graham.
<FONT face=Arial color=#0000ff
size=2>
If I
correctly understand what you are proposing, I'm afraid that I would end up
with a very low filter (10,000 to 30,000) back in 1985. I agree
with Al's suggestion in his reply, that it would be best to normalise the
range to fall between two well thought out values. The low value
would be one that I might have used for filtering for real
trading in 1985 and the high value would be the filter that I would use
now.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Graham
[mailto:gkavanagh@xxxxxxxxxxxxx]Sent: Thursday, June 19, 2003
8:23 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] Historical volume filtering
Chuck have you tried
just using average volumes to adjust the volume setting.
Don't know if this
works correctly, but something to consider
<FONT
face=Arial>
Vsetting =300000<FONT
size=2> * ValueWhen<FONT
size=2>(Status<FONT
size=2>("barinrange"<FONT
size=2>),(MA<FONT
size=2>(V<FONT
size=2>,260<FONT
size=2>))/LastValue<FONT
size=2>(MA<FONT
size=2>(V<FONT
size=2>,260<FONT
size=2>));
<FONT
face=Arial>
<I
><SPAN
>Cheers<SPAN
class=GramE>,<st1:PersonName
><B
><I
><SPAN
>Graham
<A
href=""><SPAN
>http://groups.msn.com/ASXShareTrading
<A
href=""><SPAN
>http://groups.msn.com/FMSAustralia
<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
<FONT face=Arial color=#0000ff
size=2>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>
<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>
<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>
<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>
<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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