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All,
I presume that reported NASDAQ Tot Vol, Up Vol, Dn Vol relate to
number of shares. If I am wrong then let me know.
If I am right then the following question:
Has anyone here who gets value from the reported volume figures made
any attempt to do a study creating composites for Tot $Vol, $Up Vol &
$Dn Vol, and then substituting the new $ based composites for the old
shares based figures?
I like to 'follow the money'. Clearly Up Vol on 3 million shares of a
.38 cent stock would not be suitable to compare to Up Vol on 3 million
shares of Microsoft.
Just curious if any work has been done on this.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx> wrote:
> Hi Gary,
>
> Thanks for the step-by-step instructions!
>
> Questions:
>
> 1) In place of your !NQ-V, !NQ-AV, and !NQ-DV, I plan on using these
> Esignal counterparts; do they look OK?:
>
> $TVOLQ NASDAQ TOTAL VOLUME
> $UVOLQ NASDAQ UP VOLUME
> $DVOLQ NASDAQ DOWN VOLUME
>
> 2) Could you clarify, in 5.b., '...you may want to tailor the
prices to
> open for testing stocks.' (Does that mean you have coded using the Close
> somehow and I need to comment it out?)
> 4) When you say, in 5.f., '...check "add artificial future bar"
if you
> want.' does that mean i can expect different results if I do check
that? If
> so, which results might differ.
>
> -john
>
> ----- Original Message -----
> From: Gary A. Serkhoshian
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, November 18, 2003 12:41 PM
> Subject: Re: [amibroker] Instructions on how to use the RUTVOL
timing and BB
> scoring AFL
>
>
> I meant "Portfolio Backtest" button in step 6 not optimize.
>
> I need to start making some decent money so I can hire a secretary.
>
> Rgds,
> Gary
>
> "Gary A. Serkhoshian" <serkhoshian777@xxxx> wrote:
> Hi Wayne !
>
> I've copied the AmiBroker list as several others have asked the same
> question, and I apologize for not giving more detailed instructions
of "how
> to" related to using the .afl I posted.
>
> Here goes:
>
> 1. Load the afl in AA window.
>
> Starting from Top to Bottom we'll run through the right column features
> 2. Apply to. Use can select a watchlist of Russell 2K stocks which
Fred was
> kind enough to post via "use filter", or just run it against "all
stocks".
> If you run it against all stocks in database, you may want to add at
least a
> volume filter if not a price filter. Example
>
> PRICEOK = C > 5;
> VOLOK = MA(V,21) > 500000;
>
>
> Then modify position score:
>
> PositionScore = 100 - 100 * (Close - LBBand) / (UBBand - LBBand) *
PRICEOK *
> VOLOK;//0 when C == Upper Band, 100 when C == Lower Band
> 3. Range. Select whatever time period you'd like. I run a YTD via
"from
> to" dates
>
> 4. Click "check" to make sure all the afl is okay. It's just a
good habit
> : )
>
> 5.a. Click "Settings" button "General" tab.
>
> Make sure "positions" reads long as this is a long only methodology.
> Periodicity should read daily. I have a round lot size of 100 and a
percent
> commission of 0.5 just to build in some slippage costs.
>
> 5.b. Click "Trades" tab. Trade delays are already built in the
code of 1
> day, but you may want to tailor the prices to open for testing stocks.
>
> 5.c. Click "Stops" tab. Make sure all stops are disabled.
>
> 5.d. Click "Report" tab and select detailed log so you can see
what's going
> on with the selection method.
>
> 5.e. Click " Portfolio" tab and make sure that the "Pad and align
all data
> to reference symbol" is checked and that you have the Russell 2K
symbol as
> the reference since this a general market signal driven by the Russell.
>
> 5.f. You can check "add artificial future bar" if you want.
>
> 5.g. Click OK or you can save the settings to something other than
default
> if you want.
>
> 6. Click "Portfolio Optimize" button and voila! You have results!
>
> That wasn't too painful, was it?
>
> Hope this helps,
> Gary
>
> Wayne Kroutil <wayne100@xxxx> wrote:
> Hi Gary--I downloaded you RUTVOL afl but am not able to get results
with it.
> Would you provide details of how you set it up and run it.? Thanks a
> million. I have used AB for a year but have not not done portfolio
trading.
> My time has been spent on AA and IB.
>
> Wayne Kroutil
>
>
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