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RE: [amibroker] detecting "basket" performance in a backtest



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Buying and selling 
the whole basket depending on a market signal will work only if your 
basket matches the market (however you defined the market).  If you use a 
market index like the DJ or S&P your basket must closely follow these 
indices.  If you are concerned about a basket stop an easy way would be to 
buy an extraded fund that follows a major index.
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size=2> 
There are times when 
some major indices are down and most stocks are up and vice 
versa. 
 
The idea of a basket 
stop sounds appealing, but unless you have a large number of stocks in your 
basket why sell them all unless you think that the market is going to drop 
precipitously? With 10 to 20 stocks in your basket, you should be able 
to track them with trailing stops.
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However if this idea 
works for you, go ahead and use it.
 
<FONT face=Arial 
size=2>Lionel
 

<FONT face=Tahoma 
size=2>-----Original Message-----From: Dave Merrill 
[mailto:dmerrill@xxxxxxx] Sent: Friday, August 29, 2003 1:17 
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] 
detecting "basket" performance in a backtest
<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
<BLOCKQUOTE 
>
  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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  size=2> 
  I don't think that 
  you need to do a formal back test to verify this
  <FONT face=Arial 
  size=2> 
  <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 MerrillSend 
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