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G'day Yuki,
I'll tell you how I would go about this and you can compare it with
suggestions from some of the other guys (and gals).
I would run a Scan, making a composite showing the count of the number of
stocks that meet my criteria.
Then, I would write my system such that I could optimise to find the
"right" number of stocks that have to meet my criteria in order
for the overall signal to have merit.
For the Optimization, I would read in the composite file using a
"Foreign" statement. My "Buy" condition
would require that the value read from the composite be greater than some
number (the optimised number) and whatever else you want to
include.
I'm happy to give you exact logic, but I think you can take it and run
from here. Yell out if I can be of more help.
Also, let me know whenever you want some more Nikei data.
Ciao
At 09:16 AM 1/21/2004 +0900, you wrote:
Hi guys,
I already have a pretty good idea just from looking over back test
results that signal success seems highly correlated with the number
of signals I get on any particular day. That is to say, out of
a
basket of, say, 20 stocks, if 8 or 10 of them signal the same way,
it
seems highly likely that a very high percentage of those signals
are
going to be good, whereas if only a single stock triggers on a
particular day, the odds of success, while still good, are not
nearly
as good as when many issues signal at the same time.
I'd like to try and quantify that in a back test, but I am not sure
how to write the code. I need to include some argument in the
buy
and short statements that requires a certain level of
"participation"
before any signals are taken. (This would allow me to run
various
back tests for that level, in an attempt to discover if this is
even
a condition I should consider requiring.)
Can anyone help with the argument part of this?
Best,
Yuki
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