tonyctl
7 posts
msg #114926
- Ignore tonyctl |
8/16/2013 3:38:12 PM
"/*FIRST DETERMINE HISTORICAL RATIO OF S&P STOCK TO THE SPY OVER THE LAST 16 DAYS*/
SET{PRICERATIO, CLOSE / IND(^SPX,CLOSE)}
SET{RATIOMA16, CMA(PRICERATIO,16)}
SET{RATIOSTD16, CSTDDEV(PRICERATIO,16)}
SET{DIFF16, PRICERATIO - RATIOMA16}
SET{ZSCORE16, DIFF16 / RATIOSTD16}
SET{THRESHOLD16, RATIOSTD16 * 2}
zscore16 above -1
select by zscore16 ascending "
But shouldn't it say:
zscore16 below -2
select by zscore ascending
for selection criteria when entering a stock? I thought zscore above -1 is an exit criteria?
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Kevin_in_GA
4,599 posts
msg #114927
- Ignore Kevin_in_GA |
8/16/2013 3:43:29 PM
You're partly right, and I'm partly wrong. That criterion is for the exit, but is ignored in the selection method box. That line can be deleted since it is not used.
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tonyctl
7 posts
msg #114929
- Ignore tonyctl |
8/16/2013 3:55:03 PM
Thanks Kevin for clarifying. Would you recommend applying this filter as is to the Nasdaq index? I tried backtesting as an experiment, and added a Global filter of volume > 100000 to exclude stocks that are not very liquid and the results came out even better than S&P. Would optimization by stratasys be required once again since it is a different index we're applying it to? Thanks.
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mdl060374
94 posts
msg #115559
- Ignore mdl060374 |
9/26/2013 7:24:33 PM
Kevin,
Do you have any sort of advice with a similar search for daytrading candidates?
It seems that a lot of these studies are more for swing/longer term trading.
Any advice you have for intraday would be great.
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Kevin_in_GA
4,599 posts
msg #115630
- Ignore Kevin_in_GA |
9/30/2013 2:45:36 PM
There's no reason this basic approach wouldn't also work with intraday data. I have not tested it that way, and would probably look at a fair amount more optimization before trading anything. The challenge will be that the intraday moves will be of smaller magnitude while the commissions will stay fixed.
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four
5,087 posts
msg #115832
- Ignore four
modified |
10/11/2013 10:10:34 AM
http://www.amazon.com/Design-Testing-Optimization-Trading-Systems/dp/0471554464/ref=cm_rdp_product_img#reader_0471554464
Design, Testing, and Optimization of Trading Systems [Hardcover]
Robert Pardo (Author)
4.3 out of 5 stars See all reviews (12 customer reviews)
PS Before you ask... just found this... haven't read the book
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Kevin_in_GA
4,599 posts
msg #115837
- Ignore Kevin_in_GA |
10/11/2013 1:11:11 PM
I downloaded this one a while back - not bad. Mostly focuses on using Monte Carlo analyses, and walk-forward analysis to validate trading systems against OOS data.
If that doesn't make sense to folks reading this then they probably should get the book.
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marine2
963 posts
msg #115919
- Ignore marine2 |
10/15/2013 12:28:54 AM
Yeah, like I need another investment book like the Octo-mom needs another kid :-) My wife told me, if I bought another investment book we would need to move to a house with a library room :-)
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amtmail
34 posts
msg #115981
- Ignore amtmail |
10/16/2013 7:08:29 PM
Please Kevin can i enter at the middle of the day since some times the filter showed one stock at middle of the day then it disappear at the end of the day because the price goes higher.
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Kevin_in_GA
4,599 posts
msg #115982
- Ignore Kevin_in_GA |
10/16/2013 7:29:49 PM
Yes - I've occasionally done that. It generally works but it is technically outside of the system rules that I used for the backtesting.
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