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If I were going to normalize this I would do so on a long average
EVERY bar. Otherwise once a whatever you get a large step to go
up/down.
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> I don't think it is necessary to get into looping. The code
snippet below
> is just about there. I just need to think about how to do the
normalising.
> I'll get out my bible (Kaufman's book) and have a look. He always
comes to
> my rescue.
> -----Original Message-----
> From: Al Venosa [mailto:advenosa@x...]
> Sent: Thursday, June 19, 2003 9:50 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] A challenge for Al Venosa...
>
>
> Chuck,
>
> I knew I'd get myself into deep doo-doo by answering your first
question.
> Even though I've owned AB for more than 1.5 years, I still consider
myself a
> rank beginner when it comes to AFL. There are lots more folks out
there much
> more astute than I am who could probably give you the proper code.
To
> increment each year, you probably need a For loop, which I plead
ignorance
> on. I believe you want to filter on TODAY'S stocks from a minimum
volume of
> 200,000 to a maximum volume of 500,000. So, you have already defined
> TodaysFilter, which is:
>
> TodaysFilter = V>MinFilter AND < MaxFilter;
>
> What you really need to define is LastYearsFilter, and then the
> yearbeforelast's, and so on. Each of those years' volumes is
normalized to
> the average volume 4500 bars ago. Sorry, I don't know the answer,
but I'm
> sure someone with intimate knowledge of For loops will speak up.
I'm much
> more of a lurker than a major contributor to this forum. Every once
in
> awhile, I emerge from hibernation and contribute something, but
when it
> comes to code, I usually let others take the lead.
>
> AV
> ----- Original Message -----
> From: Chuck Rademacher
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, June 19, 2003 8:42 PM
> Subject: [amibroker] A challenge for Al Venosa...
>
>
> Al,
>
> How about writing an AFL statement to do the normalising for me?
>
> It would look something like this:
>
> x = ma(WilshireVolume,245); // 245 is
> approximately a year.... not critical
> y = ref(ma(WilshireVolume,245),-4500); // 4,500 is an
approximately
> how far back I want to look
>
> maxFilter = 500000;
> minFilter = 200000;
>
> TodaysFilter =
( );
>
>
> I finished four of the lines. If you could finish the fifth
line, it
> would be fantastic.
> -----Original Message-----
> From: Al Venosa [mailto:advenosa@x...]
> Sent: Thursday, June 19, 2003 8:21 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: 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
> ----- Original Message -----
> From: Chuck Rademacher
> To: 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.
>
> 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.
>
> 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.
>
> 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.
>
> 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.
>
> I welcome comments from anyone with an interest or
knowledge in this
> area.
>
>
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