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Hi, Chuck,
Thanks again.
If I read you right, your system is exploiting some fundamental
movement of the stock universe, since the pattern does not occur very
often you make it up with vast amount of candidates (for validity of
your test results as well as trading opportunities). Sort of like the
pair trading you talked about. Is this correct?
Then, do you have system like, for example a RSI system that signals
generate on every stocks in various to times? If yes, how do you
screen for candidates then? In this case, a system might FIT only say
1% of the universe, because the test results show other 99% over 10
years are net losers.
Thanks again for your insight.
Thomas
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