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<SPAN
class=311370119-29082003>I'm coming from a VectorVest world, and like many, I
think VV picks stocks well given good timing, but you need to find a timing
signal that works well. once you have that, the idea is to be long or short
always, depending on the state of your market indicator, using some long or
short VV strategy to pick the stocks to hold. any indicator you use will
sometimes be "wrong", meaning that shortly thereafter the market didn't do what
the indicator indicated. the idea behind the basket stop is to use the overall
performance of the of group stocks you bought at that time to validate the
"truth" of the overall market signal, and sell everything if the basket overall
drops some amount.
<SPAN
class=311370119-29082003>
<SPAN
class=311370119-29082003>but with all due respect, I wasn't asking for an
evaluation of the idea -- the backtester will do that just fine
(:-)
<SPAN
class=311370119-29082003>
<SPAN
class=311370119-29082003>...if I can figure out how to backtest
it!
<SPAN
class=311370119-29082003>
<SPAN
class=311370119-29082003>the thing I can't figure out is how to access the list
of stocks currently owned during a backtest.
<SPAN
class=311370119-29082003>
<SPAN
class=311370119-29082003>anyone?
<SPAN
class=311370119-29082003>
<SPAN
class=311370119-29082003>dave
<BLOCKQUOTE
>
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.
<FONT face=Arial
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.
<FONT face=Arial
size=2>
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.
<FONT face=Arial
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 BUG
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