wkloss
231 posts
msg #96306
- Ignore wkloss |
9/16/2010 6:17:25 PM
Does anyone know how to code these:
Augen Strategy: Jeff Augen uses a 20 day period to calculate standard deviation. Then he selects a big up day for the markets and a big down day for the markets, preferably within 20 days of each other. He ranks the stocks in order of their standard deviation (highest to lowest) for each of the 2 days and places them in a list format. He compares the top 20 stocks from each list and looks for stocks that appear on both lists. He believes that the stocks that appear on both lists are the strongest stocks in the market. This is how he develops his list of trading candidates. Since this isn't done very often, I can manually compare the lists if someone can get me that far.
Research Paper: I read a research paper that took all the stocks that made up an index (NASDAQ showed interesting results) and ranked them by standard deviation from highest to lowest. Then they selected the top 10% as their trading candidates. When the price of any of these stocks crossed above their MA10, that was the buy signal. When price crossed below MA10, that was the sell signal. Results for the top 10% standard deviation group were impressive. The purpose of the study was to prove that filtering by standard deviation and moving averages improved trading system performance so there was no information about win/loss%, drawdowns etc.
If anyone wants links to the literature of either one, please let me know.
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Kevin_in_GA
4,599 posts
msg #96308
- Ignore Kevin_in_GA
modified |
9/16/2010 6:54:47 PM
Research Paper: I read a research paper that took all the stocks that made up an index (NASDAQ showed interesting results) and ranked them by standard deviation from highest to lowest. Then they selected the top 10% as their trading candidates. When the price of any of these stocks crossed above their MA10, that was the buy signal. When price crossed below MA10, that was the sell signal. Results for the top 10% standard deviation group were impressive. The purpose of the study was to prove that filtering by standard deviation and moving averages improved trading system performance so there was no information about win/loss%, drawdowns etc.
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All you need to do is to add a few lines of code that show when one of these volatile stocks has crossed above its MA(10).
EDIT: Changed the stdev period from 20 (short term) to 100 (the longest period SF will measure).
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wkloss
231 posts
msg #96355
- Ignore wkloss |
9/17/2010 5:02:06 PM
Kevin,
I'm traveling but didn't want to wait any longer to say thank you. I may have a question or two if you don't mind.
Bill
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wkloss
231 posts
msg #96375
- Ignore wkloss |
9/18/2010 2:05:02 PM
Report on Research Paper Concept:
That dog don't hunt. Didn't test well at all. I tried a number of variations but this didn't work like the research paper reported.
Kevin, thanks again for the coding.
Question: Would I be correct in assuming that I can change the standard deviation period to 20 and get the Augen ranking?
Idea: If you took Augen's concept of comparing a list of the top 20 stocks (by standard deviation) on a big up day and a big down day and looked for stocks that were on both top 20 lists; then did the same process for the bottom 20 on each day, could this give you your balanced long/short trading candidates? It seems logical to go long on the strongest stocks in the market and short the weakest. If this is of interest but you are having difficulty following my rambling explanation, I can post Augen's article.
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