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"...the theory is that the overall market signal was "wrong"...
imho, overall market signals cannot be "wrong", however individual stocks
may change character or undergo unexpected changes in price.
h
-----Original Message-----
From: Dave Merrill [mailto:dmerrill@xxxxxxx]
Sent: Friday, August 29, 2003 11:19 AM
To: AmiBroker
Subject: [amibroker] detecting "basket" performance in a backtest
when using an overall market timing signal plus some strategy to pick
specific stocks, someone on another list proposed that if the overall
performance of all stocks purchased at that time dropped by some amount (10%
say), the whole basket should be dumped. the theory is that the overall
market signal was "wrong".
is there any way to backtest this kind of behavior in AB? how can I access
the value of all stocks currently held?
thanks,
Dave Merrill
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