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Hi Chuck,
Wednesday, January 21, 2004, 9:31:06 AM, you wrote:
CR> I would run a Scan, making a composite showing the count of the
CR> number ofstocks that meet my criteria.
Right away I run up against my lack of understanding. I tried this
using a couple of statements near the end of the system:
Filter = Buy OR Short;
AddToComposite(Buy OR Short, "~signal", "V");
But when I scan this, I end up with slightly more than 1800 lines.
However, there are only about 880 trades during the period, so that
cannot possibly be right. Moreover, when I look at ~signal, there is
a zero in the volume holder.
I gotta be doing something stupid I guess.
Yuki
CR> Then, I would write my system such that I could optimise to
CR> find the"right" number of stocks that have to meet my criteria in
CR> orderfor the overall signal to have merit.
CR> For the Optimization, I would read in the composite file
CR> using a"Foreign" statement. My "Buy" conditionwould require
CR> that the value read from the composite be greater than somenumber
CR> (the optimised number) and whatever else you want toinclude.
CR> I'm happy to give you exact logic, but I think you can take
CR> it and runfrom here. Yell out if I can be of more help.
CR> Also, let me know whenever you want some more Nikei data.
CR> Ciao
CR> At 09:16 AM 1/21/2004 +0900, you wrote:
CR> Hi guys,
CR> I already have a pretty good idea just from looking over back test
CR> results that signal success seems highly correlated with the number
CR> of signals I get on any particular day. That is to say, out ofa
CR> basket of, say, 20 stocks, if 8 or 10 of them signal the same way,it
CR> seems highly likely that a very high percentage of those signals are
CR> going to be good, whereas if only a single stock triggers on a
CR> particular day, the odds of success, while still good, are notnearly
CR> as good as when many issues signal at the same time.
CR> I'd like to try and quantify that in a back test, but I am not sure
CR> how to write the code. I need to include some argument in thebuy
CR> and short statements that requires a certain level of"participation"
CR> before any signals are taken. (This would allow me to runvarious
CR> back tests for that level, in an attempt to discover if this is even
CR> a condition I should consider requiring.)
CR> Can anyone help with the argument part of this?
CR> Best,
CR> Yuki
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