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I had found the following site that uses some type of Holy Grail indicator
at www.tradestars.com/grail-indicator.asp
ron
----- Original Message -----
From: "Phsst" <phsst@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, January 17, 2004 6:39 PM
Subject: [amibroker] Re: Price range filtering
> OK Chuck,
>
> 1st... the web address of the Holy Grail site please. (even though I
> vaughly remember a Holy Grail forum, I looked in Yahoo Groups and did
> not see anything resembling a Trading Group called Holy Grail). I'll
> do a little research there before embarassing myself further here. And
> BTW... do you ever sleep?
>
> And regarding my system(s) you mentioned... they are still oxymoron's
> to me since they had such terrible drawdowns in the early 90's only to
> survive and produce the 'eye-popping' results they did after '98. I'm
> slow though, so I'll play with them awhile longer before hollering
> 'uncle'.
>
> And FWIW... I remember much of your past posts about backtesting
> philosophy, and happen to agree with you.
>
> <let me ask you to tell me the price of a high-priced stock in early
> 2000? You may say something like $200.>
>
> Your point is of course that in early 2000 there was a bubble that
> only a few of us recognized... and that we used as a signal to take
> our profits and exit the market.
>
> Anyway... I'm through for the night (I can't do this 24 hrs a day like
> you).
>
> Tomorrow...
>
> Phsst
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Chuck Rademacher
> <chuck_rademacher@x> wrote:
> > Phsst said:
> >
> > 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?
> >
> >
> > My reply:
> >
> > Thanks for replying and for giving me another chance to spell out
> what I'm trying to achieve. You should see the answers to this
> posting that I received at the Holy Grail site. Yikes!!
> >
> > I have a system, not too unlike one that you and I previously
> discussed. Amongst all the other things that it is doing, it is
> filtering such that it is only interested in stocks between $3 and $10.
> >
> > Why does it want stocks in this range? I have a few theories, but
> the important thing is that if I give it any other range, it doesn't
> do as well.
> >
> > So, my question was "Does the system want low-priced stocks or does
> it want stocks very specifically in the $3 to $10 range?".
> >
> > Can you see the subtle difference there? In order to better
> demonstrate what I'm talking about, let me ask you to tell me the
> price of a high-priced stock in early 2000? You may say something
> like $200. If I ask you to tell me the price of a high-priced stock
> last week, you might say something like $80. Why the difference?
> Because the whole market is priced differently today than it was in
> early 2000.
> >
> > So, back to my original question. Does my system want to trade
> cheap stocks or stocks between $3 and $10. As it turns out, the
> system performed better in early 2000 if I raise that range to $8 to
> $15. So, this would suggest to me that the system wants to trade
> cheap stocks, adjusted dynamically to overall market pricing.
> >
> > In case it hasn't come through in everything that I've ever talked
> about, I want my systems to be presented with all stocks in all
> timeframes and I want my systems to make the necessary adjustments so
> that they will trade well under any conditions.
> >
> > As you know, I adjust my volume/turnover filters according to the
> average volume/turnover of the market over time. If I have a price
> range filter, why shouldn't that be adjusted dynamically too? If it
> should be adjusted, how should it be adjusted? I was asking for
> ideas on how to make such an adjustment.
> >
> > While waiting for replies, I tried over 80 different methods of
> adjusting the price range. The best method so far is to adjust it
> based on the standard deviation from the average price. I tested this
> on all active and de-listed stocks back to 1960.
> >
> > By making this adjustment, the system in question has:
> >
> > 1. A smoother equity line.
> > 2. More consistent annual profit (all years with similar returns).
> > 3. Higher CAR and lower MaxDD.
> >
> >
> > Is it more curve fit or is it adjusting to market dynamics? I think
> it is the later and I realise that there are those who will think it
> is the former.
> >
> > The logic is staying in!!
>
>
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>
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