Terry, Indeed, the dollar volume is the way to assess liquidity. I just haven't spent enough time to come up with some kind of equation which measures the "bottom-line" of dollar-value.
Say you want to have at least $6 closing price and 400,000 shares traded a previous day. That's $2,400,000 dollar-value. This means you could be looking at an $80 stock with volume of only 30,000. It is debatable but I wouldn't like to buy stocks with such a low volume. On the other hand, $6 with 400,000 shares traded is OK, in my scope. intermilan04 --- In amibroker@yahoogroups.com, "Terry" <[EMAIL PROTECTED]> wrote: > > Think about using Dollar Volume and not just Volume. There are some $2 > stocks that trade multi-millions of shares daily so buying 900 isn't a > problem. Conversely, I imagine there are $100 stocks that don't have > much volume, but buying $5000 worth only requires 50 shares. > > Also, do you have a database that contains all the extinct stocks (the > ones that went out of business)? If not, then you are getting > survivorship bias in your back-testing. Same with actual prices IF you > have a price limit in your backtest. Note that Cicso shows up as an 8 > cent stock in 1990 in split-adjusted databases (which is most of them). > The actual price of CSCO in 1990 was $24. > -- > Terry > > -----Original Message----- > From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED] On > Behalf Of intermilan04 > Sent: Wednesday, August 30, 2006 18:56 > To: amibroker@yahoogroups.com > Subject: [amibroker] Re: Backtest vs Forwardtest > > Fred, > > I believe my case was the latter. Today I was trying to buy 900 > shares of a 5-dollar stock and got caught. I am now making change to > my volume limit so I won't make this mistake again. > > intermilan04 > > --- In amibroker@yahoogroups.com, "Fred" <ftonetti@> wrote: > > > > If your trades are actually affecting market price then you either > > have more money then you need ... or ... you are trading issues that > > aren't very liquid. > > > > --- In amibroker@yahoogroups.com, "intermilan04" <intermilan04@> > > wrote: > > > > > > dingo, > > > > > > One issue is: > > > - Fantastic backtest, relatively poor forward test results > > > > > > Another issue is: > > > - When I follow my system, I get bad pricing because sometimes > > stocks > > > gap up due to my order being placed overnight > > > > > > These are two separate issues. > > > Of course, the question is how do you actually follow your own > > system > > > if following it ends up influencing the market against you. It > > sounds > > > like a Zen question so I put it aside for now and focus on the first > > > issue. > > > > > > intermilan04 > > > > > > --- In amibroker@yahoogroups.com, "dingo" <dingo@> wrote: > > > > > > > > As far as "this is a whole another issue" - I seriously doubt > > that's the > > > > case. Sounds like the same general problem to me. > > > > > > > > Download IO.zip and read thru the docs and see if any of that > > makes > > > sense to > > > > you... > > > > > > > > d > > > > > > > > > -----Original Message----- > > > > > From: amibroker@yahoogroups.com > > > > > [mailto:[EMAIL PROTECTED] On Behalf Of intermilan04 > > > > > Sent: Wednesday, August 30, 2006 7:32 PM > > > > > To: amibroker@yahoogroups.com > > > > > Subject: [amibroker] Re: Backtest vs Forwardtest > > > > > > > > > > I wish I was making 75% up to now :-) > > > > > The 75% is the result of my system which is optimized between > > > > > 2001-2006. Since I'm always trying to improve my system, I > > > > > don't necessarily have traded with the system verbatim from > > 2006/1/1. > > > > > > > > > > Now I am having an issue where as soon as I start using a > > > > > system its performance drops :-D but this is a whole another > > > > > issue so I didn't mention about it here. > > > > > > > > > > intermilan04 > > > > > > > > > > --- In amibroker@yahoogroups.com, "sebastiandanconia" > > > > > <sebastiandanconia@> wrote: > > > > > > > > > > > > Nope, I just meant that he measured all the other years from > > > > > > Jan.1-Jan.1, so he's not comparing apples to apples by > > > > > looking at YTD > > > > > > performance. We're coming into a time of year when there are > > > > > > typically major drops followed by major rallies, so if his > > system > > > > > > captures that behavior it could make up for its miserable > > > > > 75% profit > > > > > > up until now.:) > > > > > > > > > > > > I hear you about real DD's that exceed that of tested > > > > > methods. That's > > > > > > why I think it's so important to understand why a system > > > > > works, beyond > > > > > > simply the fact that it's tested-out well, which could just > > be a > > > > > > mathematical coincidence, a meaningless correlation without > > any > > > > > > cause-and-effect relationship. > > > > > > > > > > > > > > > > > > Luck, > > > > > > > > > > > > Sebastian > > > > > > > > > > > > --- In amibroker@yahoogroups.com, "Fred" <ftonetti@> wrote: > > > > > > > > > > > > > > "So, two things: First, the obvious one, you can't really > > > > > know that > > > > > > > your system has "broken down" until you get the final > > results on > > > > > > > January 1, 2007.:)" > > > > > > > > > > > > > > Really ? ... You mean there is no point at which real DD's > > exceed > > > > > > > previous experience you wouldn't think that system is > > broken ? > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > Please note that this group is for discussion between users > > only. > > > > > > > > > > To get support from AmiBroker please send an e-mail directly > > > > > to SUPPORT {at} amibroker.com > > > > > > > > > > For other support material please check also: > > > > > http://www.amibroker.com/support.html > > > > > > > > > > > > > > > Yahoo! Groups Links > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > -- > > > > > No virus found in this incoming message. > > > > > Checked by AVG Free Edition. > > > > > Version: 7.1.405 / Virus Database: 268.11.7/433 - Release > > > > > Date: 8/30/2006 > > > > > > > > > > > > > > > > > > > > > > > > > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For other support material please check also: > http://www.amibroker.com/support.html > > > Yahoo! Groups Links > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! 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