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Strategies & Market Trends : TA-Quotes Plus
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To: Craig DeHaan who wrote (8958)3/13/1999 4:38:00 PM
From: gonzongo  Read Replies (3) of 11149
 
Herb-
although I cannot disagree with your data and conclusions, I would like to caution you- I often find that by accidentally weighting a db with "good" factors- such as current trend etc.- my back testing gave erroneous data- It was only when I clearly eliminated all forward information and relied on historical information only ( ex: avg volume then vs current avg volume) - that I was able to get accurate results. I am sure you have done this but you might want to give you scans to the group or to some other individuals to test the results. Obviously- the disparity btw the spx and the Russell 2000- concur with your findings.

You could test a period when the RUT was moving more strongly- using a smaller db from earlier years- and see what happens with the results. Splits are indeed a factor.

Another issue is that higher priced stocks got higher because they moved strongly upward. Most stocks IPO around say $10 to $20 then if they rise- they split regularly to get back. So A higher priced company is usually a faster growing company in the long run( given splits as a factor).
This is very interesting data. Thanks for sharing it. Your "criteria" would be very helpful for many of us in our testing.

I have worked with QRS- volatility( ATR)- float turnover( Richard's work actually)- and volume and have noted that extremes usually tend to give better short term performance especially in the case of volatility. But I ahave never tested price alone.

thanks

andy
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