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Does this still work this way? If I try the first way, the Equity column
only contains "10,000".
Thanks,
Mike
----- Original Message -----
From: "dtsokakis" <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, June 06, 2002 9:34 AM
Subject: [amibroker] Re: CMO system results - Karmish Part 4 continuation
You may go faster than searching the symbol tree :
Add a filter to your trading rules and explore.
Buy=...
Sell=...
Filter=1;
AddColumn(Equity(),"Equity");
and explore for the n=1 last bar.
Or, include selection in filter
If your settings have initial equity 10000, then with
Buy=...
Sell=...
Filter=Equity()>15000;
AddColumn(Equity(),"Equity");
you will collect stocks above +50% and then place them in a watch
list for further analysis.
This is a fast way to select among thousands of stocks.
Dimitris Tsokakis
--- In amibroker@xxxx, "Herman van den Bergen" <psytek@xxxx> wrote:
> When you want to step through stocks to see the equity change, you
may want
> to make a special "Display Equity" indicator for each system. I use
the
> Equity() to plot the Equity, not the "Equity" button in the AA.
This so that
> I can put MAs or whatever over the Equity to help me judge the
curve. It
> also allows you to use log scales and adjust the margins.
>
> Herman.
> -----Original Message-----
> From: Richard Alford [mailto:richard.alford@x...]
> Sent: Thursday, June 06, 2002 9:05 AM
> To: amibroker@xxxx
> Subject: Re: [amibroker] CMO system results - Karmish Part 4
continuation
>
>
> From the results I found for the NDX - it would appear that there
were no
> acceptable "1st screen" stocks that spanned 92-02 (ALTR may be an
> exception). Isn't that a concern?
>
> Richard
> ----- Original Message -----
> From: Rick Parsons
> To: amibroker@xxxx
> Sent: Wednesday, June 05, 2002 6:32 PM
> Subject: RE: [amibroker] CMO system results - Karmish Part 4
> continuation
>
>
> Richard,
> There are a several ways to find stocks that you can put in
a "1st
> Screen" watchlist then later go back and test them.
>
> To get this first screen, use the power to the Equity()
function.
> Simply run a CMO backtest with maybe +70, -70 triggers on a single
security.
> Then go to the stock tree, click on a large list of stocks, say the
Nasd.
> 100. Use the down arrow to scroll thru these stocks. Watch the
equity
> curve change as you go from stock to stock. If you find a great
looking
> equity curve, add that stock to the "1st Screen" watch list.
>
> Later go thru these "1st screen" stocks and try optimizing with
> symmetrical trigger levels. Read Steve's presentation to get ideas
on what
> to look for here.
>
> Rick
> -----Original Message-----
> From: Richard Alford [mailto:richard.alford@x...]
> Sent: Wednesday, June 05, 2002 4:13 PM
> To: amibroker@xxxx
> Subject: [amibroker] CMO system results - Karmish Part 4
continuation
>
>
> I have changed the subject to (hopefully) better reflect the
topic. I
> have
> certainly enjoyed the discussions stimulated by Steve
Karmish's
> volunteering
> for a roasting and in particular the discussion of
the "simple system
> presented by Herman van den Bergen, and elaborated on by Ken
Close,
> Dimitris
> Tsokakis and others. (forgive me for slighting the "others".)
>
> I am particularly intrigued by applying this system to the
individual
> components of the NDX and the comments about "selecting
orderly
> patterns..."
>
> If one applies the simple system to the NDX from '92 to eoy
99 and
> sorts by
> return ALTR is in 3rd best with something like 450% return.
>From '00
> to
> yesterday backtesting it ranks as 1st with 280% return -
obviously a
> "well
> organized" stock, by definition. Alas, the top ranked 92-00
component
> (IMCL
> 2056% return) is 95th ranked in 00-02 testing (loosing 87%) -
> obviously
> poorly organized... again by definition.
>
> In fact looking at the average rank of the 92-00 and 00-02
results
> yields
> 50, the median is 52. This indicates that there is very
little
> correlation
> between the early results and the recent results (there are
obviously
> better
> measures but this is simple.) None of this is particularly
> surprising,
> considering that the 90's markets were considerably different
than the
> markets from 00- on, unfortunately.
>
> The obvious question is "How does one select a priori well
organized
> instruments?"
>
> Cordially,
>
> Richard
>
>
>
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