Re: Market Model Thingy
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If I were to rerun it, getting rid of all stocks < X, what is a good X?
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I don't know exactly...I wish someone else who traded/trades small caps would reply. I'm actually very curious about it because I built systems that work on small stocks, but have no idea how useful they are...didn't get to trade it/pursue it further because I'm at school full time, and publishing is my first priority.
My guess is that you could start with a market cap of 300 million (disregard stocks below it), and work your way down from there....but this is just a rough guess.
To get a more definitive answer, look at the minimum daily volume, and bid-asks during the day...even yahoo has it. Then, you can get an approximate feel for the transaction cost, but even this is industry dependent.
For example this company has a market cap of over 100 million, stock price of $2:
[url=http://finance.yahoo.com/q/hp?s=ACPW]yahoo finance[/url ]
and minimum daily volume of 35000. So you might be running into high transaction costs when you want to trade over 2000 shares (or even less), or $4,000. Again, I wish someone would give a more definite answer.
Therefore, the answer also depends on how much money you would trade.
It is possible that you can make 50% annual returns while your bankroll is below 100k (these numbers are just illustrative), but obviously you'd hit that mark pretty quickly. So the system would not be scaleable in the end (not valuable for a hedge fund), but of course that'd be still pretty good.
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