bh, What is your approach to backtesting your filters?
By this I mean what type of metric are you applying to historically accept/reject a stock based on minimum price and liquidity, given that current volumes have exploded in comparrison with those of the past, and a $2 stock today is very different than a $2 stock of years gone by? Are you using a sliding scale of some form to reflect your filters of today as expressed in terms of the past such that your stock picking is consistent through time? Thanks, Mike --- In [email protected], "bh.hicks" <bh.hi...@...> wrote: > > > Out of curiosity ... are you finding it easy to come up with noncorrelated > > systems? > > Perhaps not "easy" but possible. Without going into too many details, the 3 > systems I currently trade do the following. > > System A - a long/short mean-reversion system that trades the S&P (ES or SPY) > using short-term overbought/oversold levels. Average hold time is 3-5 days, > buys and sells the close. > > System B - a long only mean-reversion system that trades the entire stock > market universe with a minimum price and liquidity requirements. It > essentially buys short-term weakness on longer-term high relative strength > stocks. Average hold time is 3-5 days, buys and sells the open. > > System C - a short only system that trades the entire stock market universe > with a minimum price and liquidity requirements. I am very protective of > this one because a short-only system that has an edge over the past 20 years > through any market climate is rare but this system buys the open and sells > the close of the same day. > > I need a longer-term system (2-3 week hold times) that buys strength rather > than weakness to try and fill in the under-performance gaps during > significant market rallies like what we are having now. I have found this > extremely challenging to do quantitatively. >
