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Dominick,
you mean trade the index the stock belongs to instead of the stocks
themselves itself? I guess I could test that.
thanks,
rgds, Ed
----- Original Message -----
From: "Dominick" <Dom2000@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, January 15, 2004 2:29 PM
Subject: Re: [amibroker] rotational trading
> Just a thought:
>
> What would happen if you ran a correlation run with those stocks to the
> sectors. Then short the sectors at open because the uptick rule does
> not apply them.
>
> Dominick
>
> ed2000nl wrote:
>
> > I just wanted to show how sensitive systems can be but remarks are
> > welcome.
> >
> > I was testing a simple rotational system that seemed to give pretty
> > good results (in theory). The system buys/sells/shorts/covers at the
> > open with a tradedelay of 1.
> >
> > Following this system using a database of about 2200 stocks on the
> > NYSE I found that in a few cases I could not enter a short position
> > at the open because of this damned uptick rule. I did not want to
> > chase these trades (since I did not include slippage in the
> > calculations) so I stopped using the system to evaluate it.
> >
> > I did a simple test where I added the following constraint in the
> > positionscore for long positions, Ref(L,1) < Ref(O,1)-0.05 and for
> > short positions, Ref(H,1) > Ref(O,1)+0.05, see:
> >
> > par1=15;
> > rr=11;
> > tt=50 - StochK(rr);
> > PositionScore = IIf(MA(C,par1)*MA(V,par1) > 40e6
> > AND
> > (
> > (RSI(rr) < 35 AND C<O AND Ref(L,1) < Ref(O,1)-0.05 )
> > OR
> > (RSI(rr) > 65 AND O<C AND Ref(H,1) > Ref(O,1)+0.05 )
> > )
> > ,tt,0);
> >
> > Basicly what I added for TESTING purposes is that I only buy a stock
> > if the price drops at least 5 cents below the open price. Same I only
> > enter those short positions that increase in price at least 5 cents
> > above the open.
> >
> > The result is that a winning system changes in a loosing system. I am
> > pretty amazed because I use such a large database. I would have
> > thought it wouldn't matter that much ... especially because a rough
> > test showed that only about 3% the possible short or long positions
> > are ignored due to this extra constraint. Bummer!
> >
> >
> >
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>
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Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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