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<SPAN
class=085511118-29082003>the thing I was wondering about was the notion of a
basket stop: interpreting an overall drop in the basket purchased at one time as
a buy signal error, and selling them all. this is in contrast to stops set on
individual stocks.
<SPAN
class=085511118-29082003>
<SPAN
class=085511118-29082003>dave
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>
10% was suggested
by Curtis Dahl when he published his book back around 1960, and Nicholas
Darvas used 10% stops. At that time, before the days of the PC,
markets were much less volatile and the trader had more time to make a
decision. More recently some people have told me numbers between 3% and
5%.
My own feeling is
that if any of your stocks are down 10% sell them, or if you can't bear
to give a sell order put in stop-loss orders.
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I don't think that
you need to do a formal back test to verify this
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<FONT face=Arial
size=2>Lionel
when using an overall
market timing signal plus some strategy to pickspecific stocks, someone on
another list proposed that if the overallperformance of all stocks
purchased at that time dropped by some amount (10%say), the whole basket
should be dumped. the theory is that the overallmarket signal was
"wrong".is there any way to backtest this kind of behavior in AB? how
can I accessthe value of all stocks currently
held?thanks,Dave Merrill
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