Reading thru the topic some more, although I have not read the book, I think the main purpose of the gap filter is to minimize disruption of the ranking and tie-up of capital on takeovers. That said, not all show a gap, but still definable characteristics. Examples…
From: amibroker@yahoogroups.com [mailto:amibroker@yahoogroups.com]
Sent: Tuesday, June 28, 2016 8:15 PM
To: amibroker@yahoogroups.com
Subject: RE: [amibroker] Re: code for Clenow book
Hi Sean:
Strategy:
1. Russell 1000 universe. Worse rank help: 250
2. point-in-time components ( using IsIndexConstituent("$RUI") fundction of PDU)
3. date range of 1/1/2002 to 6/28/2006,
4. Move to bond etfs (SHY, IEF, or TLT - based on positionscore) when SPY 20 day ema is below 200 day ema
5. Mostly Clenow strategy
A: Risk parity position sizing (1.5 * buyprice / (3*ATR))
CAR: 22.33%; Trades: 731; %winner: 59.1% ; Avg Bars held = 35.22; MDD = 29.32% (in Q3 2010)
B: Risk parity position sizing (1.5 * buyprice / (ATR))
CAR: 29.59%; Trades: 374; %winner: 60.4% ; Avg Bars held = 36.29; MDD = 48.1% (in Q4 2014) (`30% in Q3 2010)
C. 1/N sizing using to 12
CAR: 18.18%; Trades: 1037; %winner: 56.8%; Avg Bars held = 35.72; MDD = 28.61% (in Q3 2010)
Vandan
(I think this is what you were asking for)
Posted by: "Sean ONeill" <ONeillSeanP@verizon.net>
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