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My
calculations/indicators/functions are such that they take very few trades on any
one stock. Over ten years of data, each stock might trade (on
average) about five times. Many stocks might not trade at all with one
system and very frequently by another system.
<SPAN
class=973535007-20042003>
The
only subtle difference about what I am doing compared to many system developers
is that I don't pre-screen stocks. I don't have various watch lists
for different groups of stocks. No watchlist for
sectors. No watchlists for high dividends. No watchlists
for low P/E ratios. No high Zacks ratings. No low
Morningstar ratings. I have all of that information in my data and
each system looks at all of those things every day for every stock.
If I were to make a watch list containing low P/E stocks. Exactly
what timeframe would I use to make that determination.
Today? Last week? Ten years ago?
Why not put it in the data along with open, high, low, close, volume, etc. for
each stock for each day and let the system do the work?
<SPAN
class=973535007-20042003>
I do,
however, have watch lists that contain a purely random selection (out of the
13,500 stocks) so that I can try a new system idea without having to go through
all of the stocks to see if it has merit. I have two waitlists, for
instance, each containing exactly 50% of the stocks. Basically, every
other stock. I have four waitlists that each contain a random
selection of 25% of the total stock universe.
<SPAN
class=973535007-20042003>
What
are your thoughts?
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: tchan95014
[mailto:tchan95014@xxxxxxxxx]Sent: Sunday, April 20, 2003 3:15
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Parameter selection, MCS (for Chuck)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.ThomasSend
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