Deciding when to stop a search

StrataSearch will find what you tell it to, but what should that be? Will the same criteria work across different Sectors? Different time periods? Here we discuss the ins and outs of OneClick Searches.

Deciding when to stop a search

Postby Overload » Wed Feb 22, 2006 4:31 pm

The nature of the random assembly of trading rules, combined with the thousands of trading rules themselves, means it’s impossible to test every single possibility. There are just too many of them. With that in mind, it becomes a rather subjective decision when to stop a search.

While the QuickStart uses a 3-day demonstration, exhaustive searches will take much longer than this. In my experience, I’ve made frequent revisions to the Rank tab in the AutoSearch being used by my OneClick, and I’ve continued to get enhancements to my Nasdaq 100 search for a couple of months. Most of the big gains come toward the beginning of the search, but then small incremental gains are made over time. While each of these gains may be small in and of itself, they accumulate and become significant when combined.

So deciding when to stop a search and move on is a personal question. It depends on where you want to devote your search energy. Do you want to make an exhaustive search in a particular area, or do you want to spend time trying alternate OneClick searches? Are your sectors large or small?

My personal approach is to let the OneClick keep searching until it goes 4 or 5 days without an enhancement. At that point I figure it’s taking too much time to create enhancements, and my CPU time would be best devoted elsewhere.

But… everyone’s free to find an approach that works for them.

Pete
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Postby rjay » Sat Aug 05, 2006 6:59 am

Could you elaborate on the significance to your results of changing the Rank tab ?? I'd overlooked it's significance so am not sure where to begin with it to improve my results. Could you give some examples of the first few changes you'd make to the Rank tab (after Alphabetical) or is it largely sector-dependent ?
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Postby Dacamic » Sat Aug 05, 2006 2:45 pm

Ranking is a method used in StrataSearch to help determine which securities should be purchased on a day when multiple signals are received and portfolio or equity constraints prohibit entering all trades. My systems rarely fill my portfolio, so Rank hasn't been a significant issue in my trading. As implied in his post, Pete places more emphasis on Rank than I, in part because his systems trigger substantially more trades.

Along those lines, I consider Rank as a final "tweak" to a system I'm ready to trade. Pete uses it farther upstream in the development process, allowing it to be included in random rule combinations as an integral part of his OneClick searches.

Loosely translating my comments above, you can attach whatever degree of "significance" to Rank you believe appropriate. This doesn't directly answer your questions (which Pete is better able to do than I), but hopefully offers some comfort that you can put Rank on the back burner for a bit if you'd rather focus on other aspects of your search.
Steve
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Postby Overload » Sat Aug 05, 2006 10:14 pm

As Steve said, Ranking identifies which symbols are to be selected first when there are more signals than will fit into a portfolio on a given day. For example, let's say you get 10 signals, but your portfolio size is 5, which symbols will you buy? Ranking provides an answer to this.

I first want to say that the use of a Rank selection is not without controversy. Some people think it comes a little too close to curve-fitting to rank the symbols on any given day and purchase them in a particular order. Others, like myself, think it just makes sense to purchase ones that have the highest rate-of-change first, or maybe those with the highest volatility first. Probably there are good arguments on either side. So, as with much of technical analysis, it's good to use the tools at your disposal while not putting too much emphasis on any one tool.

To set up a Rank field within a OneClick search, you must use the main AutoSearch setup that the OneClick references. This can be found on the General tab of the OneClick setups. The entry is called "AutoSearch." To set the Rank, then, you use the Setups > AutoSearch Setups menu and update the appropriate AutoSearch. For most default OneClick Setups, this is "Generic AutoSearch." The Rank tab allows the setting of a rank selection, and this is by default set to "proc(close, 10)" in descending sequence. This means that stocks are selected into a portfolio in descending order of the 10-day price-rate-of-change.

As I mentioned in the first post of this thread, I'll let a search go a number of days without improvement before moving on. Next, I'll set a new Rank selection on that same search and let it go for a number of days again. Often there is improvement based on the new Ranking criteria. Sometimes I'll test one or two additional Rank settings, each time letting them play themselves out for a few additional days. Ideally, in the end, you'll end up with a stronger multi-system that uses a variety of Ranking criteria options.

One could certainly do a lot of experimentation with Ranking selection. I've limited most of my searches to 2 criteria: rate-of-change and volatility. As is in the default setups, I use "proc(close, 10)" in descending order. And I also use StrataSearch Volatility Index of maybe "svi(close, 10, 120)". This formula, by the way, identifies how many times a stock price has gone up and down 10% in the last 120 days. For this one I may test both Ascending and Descending orders, since the systems may prefer volatile or non-volatile stocks depending on their nature.

I hope that helps provide some answers. Feel free to ask if I can offer anything more.

Pete
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Postby rjay » Wed Sep 20, 2006 2:28 pm

I'm going to try your suggestion, on a search that hasn't turned up anything new for a day or so. To clarify, you're suggesting going into the Autosearch that is being used in my OneClick ("Generic Autosearch" in this case) and using a Custom Formula on the Rank tab, correct ??

If so, are you checking the "Do not replace" or "Replace" Primary Trading Rule Ranking settings ?? Do some Primary Trading Rules have their own rank settings ??

Also, have you considered adding a facility where we can save some of our favourite Custom Formulas so that we can switch between them easily from this screen ? I know we have the Builder window, but it's not the same as saving the entire formula for easy recall at a later time.
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Postby Overload » Wed Sep 20, 2006 3:47 pm

To clarify, you're suggesting going into the Autosearch that is being used in my OneClick ("Generic Autosearch" in this case) and using a Custom Formula on the Rank tab, correct ??


Yes, that is correct.

If so, are you checking the "Do not replace" or "Replace" Primary Trading Rule Ranking settings ?? Do some Primary Trading Rules have their own rank settings ??


I don't think any of the Primary Rules that come with the install have their own Rank settings, so it shouldn't make a difference. But if you've added any of your own, this will allow you to decide whether to use the setting from the Primary Rule if one is available. I normally leave the setting at "Do not replace", but it's your choice.

Also, have you considered adding a facility where we can save some of our favourite Custom Formulas so that we can switch between them easily from this screen ? I know we have the Builder window, but it's not the same as saving the entire formula for easy recall at a later time.


Normally these formulas are pretty short. So I just use the '//' to comment-out the one's I'm not currently using. So my Rank Setting might look like:

//proc(close, 10)
//svi(close, 10, 120)
rsi(14)

In the above example, I'm currently using the RSI. But I still have easy access to the others when I need them.

Pete
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Postby rjay » Wed Sep 20, 2006 3:52 pm

Commenting out is a good idea, thanks.
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Postby Grek » Tue Sep 11, 2007 10:06 am

As I mentioned in the first post of this thread, I'll let a search go a number of days without improvement before moving on.

Is there a place in the program where time since improvement may be viewed?
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Postby Overload » Tue Sep 11, 2007 11:07 am

Is there a place in the program where time since improvement may be viewed?

Not at the moment, but that's actually a pretty good idea. For the moment, you can at least open the File > Event Viewer menu, and the log will show when the last improvement took place.

Pete
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Postby Grek » Tue Sep 11, 2007 12:01 pm

Good tip! Thanks.
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