[amibroker] Selecting stocks from an AA-generated Exploration list

["polomorabe" <polomora@xxxxxxxxx>]

Hello,

I've been experimenting with writing trading systems, and was wondering if anyone else has the same problem as me. I find that when tweaking the system to get the maximum backtested return, the higher the CAR during backtesting, the larger the candidate number of stocks when I use the same system as an exploration. 

For example, with the current system I'm backtesting, I get a CAR of 55% for the period 2000-present with a maximum of 10 stock positions; running the same system as an exploration generates about 80 stock candidates per day. When confronted with more candidates than available maximum number of stock positions, the backtester makes its selection based on the PositionScore variable. In reality, when faced with a choice of 80 stocks ( which I can normally whittle down to 20-30 based on eye-balling), it is a difficult call when entering the trades in IB before the market opens. Do I enter all 30 trades, knowing that even if half of them are hit might result in some trades bouncing?

I suppose I'm just rambling on here. I was really just interesting in other's opinions and experiences.

Thanks,
Paul



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