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You
asked for URL for Fred's PT group. You will find us at: <A
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<FONT face="Times New Roman"
size=2>-----Original Message-----From: Phsst
[mailto:phsst@xxxxxxxxx]Sent: Friday, July 18, 2003 8:39
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Narrowing in on Tradable StocksLast night under the
Subject of "Random Selection of Stocks" I puttogether an Explore filtering
on stocks that traded in excess of $50million DOLLARS worth of stock,
looking for highly liquid issues.I got 399 hits and then found myself
wondering what those 399 stocksreally represented.So today I did a
little research and thought others might find thefollowing
interesting:--------------------------------------Again, this
volume study was measured in $DOLLAR value of sharestraded, rather than
number of shares trades. All shares traded on thethe major US exchanges
were included in the measurements.The Total $ Volume of all shares
traded on 7/17/2003 - $99.2 BillionI did the Explore (below*) against
all issued traded on 7/17.The Exported file was sorted in descending
sequence by DOLLAR value ofthe volume for each issue
traded.Top % of
Avg Avg # of
Total BETA InstitutionalIssues
Vol
Ownershipon
List
3 10%20
25% 1.76
68.23%100 48%
1.48 65.85%200
61% 1.41
68.19%300 69%
1.36 68.86%400
75% 1.34
66.71%The top 400 issues traded a minimum of $50 million USD
each.The other 7067 issues that traded on 7/17 accounted for ONLY 25%
ofthe total dollar value traded.Of the top 400 issues, 12 were
ETF's that can be shorted without anuptick..The top three dollar
volume leaders were SPY, QQQ & MSFT in that order.I like what I
see here as a starting point for further analysis. Myslippage over the
past few months has been much higher than it used tobe. I expect that
focusing on these high volume stocks the slippageshould diminish
measurably.Anyway it is a starting place for evaluating new trading
systems (andeven seeing how old trading systems are
affected).Don't know what to expect from Scoring and Ranking, but look
forwardto observing Chuck (and Freds) guidance or examples as they apply
tothis starting basket of issues.BTW... Fred mentioned a seperate
forum for PTxxxx. Anyone know the webaddress for that?If anyone is
interested in the exported .csv file let me know.Phsst------
EXPLORATION USED -----------------// 1ExploreDollarVolumesMktCap =
GetExtraData("SharesFloat") * ( (O + H + L + C) / 4 ) * 1000000;InstHldgs
= GetExtraData("InstHolds");Beta = GetExtraData("Beta");PEG =
GetExtraData("PEG");QRS = GetExtraData("QRS");DailyDollarVolume = V *
( (O + H + L + C) / 4);Filter = DailyDollarVolume >
50000000;//Buy = 1;//Filter = IssueType == "A";Filter =
1;AddColumn(Close,"Close",
6.2);AddColumn(DailyDollarVolume,"DolVol",12.0);AddColumn(MktCap,"MktCap",12.0);AddColumn(DailyDollarVolume
/
MktCap,"%ofFloat",10.5);AddColumn(Beta,"Beta",6.2);AddColumn(PEG,"PEG
Ratio",6.2);AddColumn(QRS,"QRS",3.0);AddColumn(InstHldgs,"InstHldgs",6.2);//AddTextColumn(IssueType,"IssueType");//IssueType
= GetExtraData("IssueType");/* IssueType(s)0 - Common Stock1 -
Preferred Stock2 - Warrant or Right3 - Convertable Bond (NONE)7 -
CEFA - Market IndexF - ADR% - ETF*/Send
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