Filtering Securities

[dilmun99]

Hi

I've been obsessing over filtering securities for running Monte Carlo system tests. I started with today's S&P500, and then ran an Explorer test to create a filtered list removing all stocks that had traded below a certain dollar amount or 6 month minimum volume threshold over the life of the test (e.g 7 to 10 years). I then used only that filtered list (330 securities) in my tests.

As I think about it, it seems to be more flexible to take the unfiltered S&P500 list, but to filter each trade by share price and recent volume (i.e. filter just at the time of the trade). What's the best way of doing this? Does it need to be built in to the system code, or is there another way? If I just put the criteria in the filter tab in Explorer before running the tes to generate the trade data, does that work?

I'd also like to be able to filter by relative strength using the Security () function in MS. Similarly, is this best done in the system code, or is there another way?

Thanks
Andrew

[Adrian Miller]

Hi Andrew,

I would filter your securities for price and volume in your Metastock code as part of the whole system in the filter tab ie

Your entry criteria AND

C>{certain price} AND
V>Mov(V,{certain MAV},S)

Hope this answers the Q.

Adrian

[David Samborsky]

The filter won't have any effect if the RecordTrades function is placed in the columns as recommended because the columns always get executed first before the filter does.

[dilmun99]

Thanks David

That's what I suspected. And even if the filter worked, it would be filtering on today's values, not the values at the time of each trade - not much help for a ten year test.

Sounds like it has to be hard wired into the system code.

Thanks All
Andrew