Your interactive trading laboratory!
 • 
7 users online

Stock Indices vs Stocks having a "prone behavior pattern"
This is a Feature Request with 2 votes

Q Merlin wrote 23 days ago ...

Glitch: I have a question for you. Quantacula is primarily designed to trade a whole stock index. Why not just filter out these stocks that show a behavior pattern over 15 or 20 years? Out of my experience, a stock that has a behavior pattern over a long period of time will or may continue to do so. An entire stock index often has the influence of the actual long-term "market noise" (like QE/low interest rates). Individual stocks, on the other hand tend not to reflect this influence. I also know that of course, such a procedure needs to have a regular re-balancing. Out of your experience, do you have any concerns which such a "granular approach"?

Attachment

Cancel

Responses
Q Glitch posted 22 days ago

I don't have any concerns. The intention of the product is to be a tool to accomplish whatever scenario you wish. Why not write a model to do your suggested filtering, run it on a large universe of symbols, then save the results as a smaller universe? The goal is to provide the flexibility you need to do what you want.

I don't have any concerns. The intention of the product is to be a tool to accomplish whatever scenario you wish. Why not write a model to do your suggested filtering, run it on a large universe of symbols, then save the results as a smaller universe? The goal is to provide the flexibility you need to do what you want.
Q Merlin posted 12 days ago, and edited 11 days ago

If it's possible for you, then it would be helpful to have a summary list in the Backtest Results tab that shows a few metrics per symbol. The screenshot below is from Ninja, since I'm using a pre-filtered 2500 Stocks Universe (index independent) and then a filter out the best 10-15 stocks per system, using an export to Excel.

If it's possible for you, then it would be helpful to have a summary list in the Backtest Results tab that shows a few metrics per symbol. The screenshot below is from Ninja, since I'm using a pre-filtered 2500 Stocks Universe (index independent) and then a filter out the best 10-15 stocks per system, using an export to Excel.

Q Glitch posted 11 days ago

This is a great reminder, a "per Symbol" Model Result Viewer is already on the drawing board, so I turned this topic into a Feature Request so we can track it.

This is a great reminder, a "per Symbol" Model Result Viewer is already on the drawing board, so I turned this topic into a Feature Request so we can track it.
QProfessor posted 21 days ago, and edited 21 days ago

Indices are convenient "go-to" pre-made Universes, but indeed they are essentially trading systems - although some constituent selections can be subjective at times. The great thing about using the QPremium indices is that you have a historical reference for backtesting that doesn't include survivorship bias. Most any other list you create from stocks that are trading today will ultimately have some degree of bias since that list won't include stocks that have been removed, often due to mergers/buyouts, but also for demotions for capitalization, or worse, bankruptcy.

Indices are convenient "go-to" pre-made Universes, but indeed they are essentially trading systems - although some constituent selections can be subjective at times. The great thing about using the QPremium indices is that you have a historical reference for backtesting that doesn't include survivorship bias. Most any other list you create from stocks that are trading today will ultimately have some degree of bias since that list won't include stocks that have been removed, often due to mergers/buyouts, but also for demotions for capitalization, or worse, bankruptcy.
Forum Tips

Please sign in if you want to participate in our forum.

Our forum uses Markdown syntax to format posts.

To embed code snippets, enclose them in [CODE][/CODE] tags.