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Chuck,
I've read this post more than once and on more than one occasion
decided to ignore it since I have not had anything to contribute to
your query.
But I keep coming back to it because it strikes me as a curiousity.
Like you indicated, in the past I've filtered based upon price range,
(particularly on Shorts), but I've not yet found a situation where it
paid to filter on price. And now that you have enlightned me about
split-adjusted prices of the past, I've even stopped filtering
adjusted Short prices, preferring to use raw data filters instead.
If it doesn't compromise your fiduciary responsibilities, could you
elaborate on the significance of price filtering in your backtested
trading systems?
Just curious.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, Chuck Rademacher
<chuck_rademacher@x> wrote:
> I think that it's safe to assume that many of you do filtering based
on price range. For instance, many of my systems will only look at
stocks between $3 and $10 between 1993 and 2003.
>
> I just created a composite that shows the average price of stocks
between those periods. You would be unlikely to get the same values
as me, but I found the average price of the stocks in my database to
range between $15 and $21 between 1993 and 2003. Not a big range and
certainly not a straight line. FWIW, it's at the top of that range
right now. The highest since 1993 was in February, 2000. Prior to
that, there was an even higher average ($22) in 1989.
>
> My question for you mathematicians (Howard, Mark, Fred and others)
is this:
>
> Would it make sense to adjust price range filtering by a formula
that does something with the average price of stocks on any given day?
>
> For instance, I could subtract $12 from the average price to give me
the bottom end of my desired range. I could subtract $4 from the
average price to give me the top end of my desired range. This is
probably over simplistic, but does such adjustment make sense?
>
> I will, of course, be testing various means of adjusting my
filtering on the fly and I'll report back any findings. However, I'm
anxious to hear the thoughts of others.
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