duke56468
683 posts
msg #114908
- Ignore duke56468
modified |
8/16/2013 8:39:42 AM
@tony Here are the answers I got from SF. Start at the bottom.
Hi,
Thank you for the feedback. Any specific filter syntax necessary for your sorting syntax does need to be included.
StockFetcher.com Support
Vestyl Software, L.L.C.
On Mon, Jul 8, 2013 at 5:22 PM, > wrote:
So do I have to put the whole filter in selection method to get it to select in the same order as he filter?
--------------------------------------------------------------------------------
Date: Mon, 8 Jul 2013 08:54:58 -0500
Subject: Re: backtest
From: support@stockfetcher.com
Hi,
If the "selection method" is left blank, the order of selection may not be reproducible.
StockFetcher.com Support
Vestyl Software, L.L.C.
On Mon, Jul 8, 2013 at 8:51 AM, > wrote:
IF I leave it blank what happens?
--------------------------------------------------------------------------------
Date: Mon, 8 Jul 2013 06:13:28 -0700
Subject: Re: backtest
From: support@stockfetcher.com
Hi,
Thank you for the feedback. The order in the filter text does not effect the order used by the backtesting feature. To change the order of selection in backtesting, you have to update the "selection method".
If you have any additional questions, please do not hesitate to send us an email.
Thank you,
StockFetcher.com Support
Vestyl Software, L.L.C.
On Mon, Jul 8, 2013 at 6:10 AM, > wrote:
I know that!! My question is if I leave it blank will it chose stocks in the order chosen by the filter? If not how do I get it to select stocks in the order chosen by the filter?
--------------------------------------------------------------------------------
Date: Mon, 8 Jul 2013 05:32:37 -0500
Subject: Re: backtest
From: support@stockfetcher.com
Hi,
Thank you for the feedback. Generally the default selection is by volume in descending order.
If you have any additional questions, please do not hesitate to send us an email.
Thank you,
StockFetcher.com Support
Vestyl Software, L.L.C.
On Sun, Jul 7, 2013 at 9:04 PM, > wrote:
If I leave selection method blank in the backtest will it chose the stocks in the order selected by the filter?
|
Kevin_in_GA
4,599 posts
msg #114909
- Ignore Kevin_in_GA |
8/16/2013 9:00:07 AM
Just put the following text (exactly as written here) into the selection method box:
/*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
If you want to use this intraday, you'll need to replace ^SPX with SPY.
|
tonyctl
7 posts
msg #114922
- Ignore tonyctl |
8/16/2013 1:00:38 PM
This is excellent info guys, thanks! Pardon my stupidity, but where is the selection method box you are referring to, Kevin? I can't seem to find it in the Backtesting settings. Also, I have tried replacing SPX with IXIC and generated rather interesting results :)
|
tonyctl
7 posts
msg #114925
- Ignore tonyctl |
8/16/2013 3:31:14 PM
NVM, just found it, thanks!
|
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?
|
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.
|
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.
|
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.
|
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.
|
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
|