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Dave,
Not to beat dead horses but again this is part of what PT was
designed to do. There is currently no way to get stops based
on "basket loss" per se but one can certainly have stops on
individual securities which would then either allow sitting on the
sidelines with the cash that the exit frees up or jumping on another
high ranking security.
IMHO assuming ones timing algorithm is properly designed one would
think that this would occur either at the same time or preferably
before a "basket stop" and would if you will imply a trend change,
especially given that in a scoring and ranking scenario the
securities that one is holding as a result of scoring and ranking
should be doing better then the rest of the world.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> MessageI'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.
>
> but with all due respect, I wasn't asking for an evaluation of the
idea --
> the backtester will do that just fine (:-)
>
> ...if I can figure out how to backtest it!
>
> the thing I can't figure out is how to access the list of stocks
currently
> owned during a backtest.
>
> anyone?
>
> dave
> 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.
>
> 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.
>
> However if this idea works for you, go ahead and use it.
>
> Lionel
>
> -----Original Message-----
> From: Dave Merrill [mailto:dmerrill@x...]
> Sent: Friday, August 29, 2003 1:17 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] detecting "basket" performance in a
backtest
>
>
> 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.
>
> dave
> 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.
>
> I don't think that you need to do a formal back test to verify
this
>
> Lionel
>
>
> 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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