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Re: [amibroker] Historical volume filtering



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I am not sure if this has already been mentioned, but what 
about normalizing against proxies for wide market volume, such as volume of an 
index (e.g. sp500) or exchange (NYSE). These might already be in your database 
in Amibroker, so it would be easy to create the threshold, i.e. <FONT 
size=2>vol_lowlimit = constant / ma(foreign("^SP500", "V"), vdays);
 
 
<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 8:34 
  PM
  Subject: RE: [amibroker] Historical 
  volume filtering
  
  <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
      <FONT face=Arial color=#0000ff 
      size=2>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> 
      <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> 
      <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 
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