|
PureBytes Links
Trading Reference Links
|
<FONT face=Arial color=#0000ff
size=2>Thanks, Graham.
<FONT face=Arial color=#0000ff
size=2>
If I
correctly understand what you are proposing, I'm afraid that I would end up with
a very low filter (10,000 to 30,000) back in 1985. I agree with Al's
suggestion in his reply, that it would be best to normalise the range to
fall between two well thought out values. The low value would be one
that I might have used for filtering for real trading in 1985 and the
high value would be the filter that I would use now.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Graham
[mailto:gkavanagh@xxxxxxxxxxxxx]Sent: Thursday, June 19, 2003 8:23
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Historical volume filtering
Chuck have you tried just
using average volumes to adjust the volume setting.
Don't know if this works
correctly, but something to consider
<FONT
face=Arial>
Vsetting =300000<FONT
size=2> * ValueWhen<FONT
size=2>(Status<FONT
size=2>("barinrange"<FONT
size=2>),(MA<FONT
size=2>(V<FONT
size=2>,260<FONT
size=2>))/LastValue<FONT
size=2>(MA<FONT
size=2>(V<FONT
size=2>,260<FONT
size=2>));
<FONT
face=Arial>
<I
><SPAN
>Cheers<SPAN
class=GramE>,<st1:PersonName
><B
><I
><SPAN
>Graham
<A
href=""><SPAN
>http://groups.msn.com/ASXShareTrading
<A
href=""><SPAN
>http://groups.msn.com/FMSAustralia
<FONT
face=Tahoma size=2>-----Original Message-----From: Chuck
Rademacher [mailto:chuck_rademacher@xxxxxxxxxx] Sent: Friday, 20
June 2003 8:02 AMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[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
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|