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Al,
Thanks for the excellent,
constructive reply.
Regarding stock splits, I
always use ACTUAL prices and volumes for filtering. IMO, using
backadjusted values (for filtering) is useless. Backadjusted prices and
volumes are frequently off by a factor of ten to one hundred times the values
that actually were recorded on the day.
I had in mind normalising
the average volume, probably using a moving 12-month window. I think
the range I proposed, 100,000 to 300,000, is probably what I would
use. To be accurate, I don't really use volume. I use
turnover, which is actual volume multiplied by the actual closing
price. With that in mind, I might use a turnover range of
something like 200,000 to 500,000. I didn't want to prematurely
complicate the discussion by mentioning turnover.
Thanks again for your
input.
<BLOCKQUOTE
>
-----Original
Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]Sent: Thursday, June 19, 2003 8:21
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Historical volume filtering
Chuck,
I, too, have often wondered how to apply a volume filter to the distant
past. What you suggest makes sense. However, it might be a little more
accurate if you normalized annual volume of the NYSE to 1985 and then
increased your multiplier each year by the incremental increase (or decrease)
in volume for the next year. So, each year there would be a different
multiplier applied to your filter (starting with 1985 being 1). Also, why
limit it to the NYSE? If you trade NASDAQ stocks, do the same for them. Or,
how about the Wilshire 5000 for the entire market?
Of course, this brings on the next question. If you also filter on stocks
with a price > $20/share, for example, how do you handle stock splits over
the years? A $20 stock today might be $0.20/share or less back in 1985. Any
ideas along these lines?
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, June 19, 2003 8:01
PM
Subject: [amibroker] Historical volume
filtering
I
was about to send this email to "b", but I would welcome comments from
anyone else interested in such historical
work.
<FONT face=Arial color=#0000ff
size=2>
At
the risk of having some of you ask why it matters, my backtesting generally
goes back to 1985. Just yesterday, I posted a message to
this group saying that I always use one set of parameters across all stocks
and across all timeframes. One of the downsides of this
approach (perhaps) is that volume has changed over time. I
suppose that one could argue that volatility changes over time as
well. Volatility, however, goes through cycles and volume just
keeps growing.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>The question that I have involves volume filtering. To
me, it is essential that volume filters be applied to actual volume and not
backadjusted volume. My concern, however, is that if I apply a
filter requiring an average of 300,000 shares, I don't get very many hits
back in the late 80's and early 90's.
<FONT face=Arial color=#0000ff
size=2>
I
have a solution in mind and would appreciate some input or dialogue on the
subject. It seems to me that volume
filtering should be based on some percentage of the total volume of all
NYSE stocks (for instance). I haven't done my homework yet, but
let's say that the average volume today is ten times more than it was in
1985. If I decide to filter today at 300,000 shares, wouldn't it
make sense to filter based on 30,000 shares in 1985. I can
probably answer that question myself by saying that I don't think 30,000
would be an adequate filter in 1985. But I could scale it from
100,000 to 300,000 progressively between 1985 and 2003 based on mathematical
equation.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>You may ask why backtesting to 1985 (or any other date) is
important. There are dozens of reasons, but the most
important reason to me is that prospective investors in any funds that I
manage want to see how a proposed system would have performed over
a statistically meaningful period of time. You can argue about
the relevance of such information, but THEY EXPECT TO SEE IT.
For the record, I also think that it is very important.
<FONT face=Arial color=#0000ff
size=2>
<FONT
face=Arial color=#0000ff size=2>I welcome comments from anyone with an
interest or knowledge in this
area.Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
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