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Re: [amibroker] system reports



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Thanks For the words of wisdom TJ
 
I only do my serious back testing over 50 base 
 stocks split into 3 time frames if its a short term type system the frames 
could be as low as 6 mths as the base set-up would have changed considerably 
after that period.
 
I realize that testing on historical data cannot 
predict the future but having a estimate of how much the system requires  
in dollar terms helps to decide if i can within reasonable doubt trade the 
system.
If i felt that the system showed good prospects but 
the number of simultaneous open trades was to high for my current trade 
account  then i could look at reducing the trade sizes in order to runthe 
system..
 
I hadn't giving this angle of maximum opentrades 
any thought  until I was discussing system trading with a professional 
trader who raised the point with me.
 
He said if you have faith in your system you must 
take every trade that it signals or you run the risk of pre guessing the system 
and missing the bigger winning trades which will make the system fail.(stand 
aside rules exempt).
 
So that's how I came to ask the question could the 
explored function calculate number of positions open on any given date 
?
 
 
Thanks for your feed back 
 
Regards David .
 
 
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
Tomasz Janeczko 

To: <A title=amibroker@xxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 
Sent: Sunday, June 24, 2001 7:19 AM
Subject: Re: [amibroker] system 
reports

Dear David,
 
You can calculate this in Excel from exported trade list but 
this is not an easy task.
You have to be aware that backtesting over entire market can 
give you very big required portfolio size.
Maximum is (number of stocks in test)*(single stock 
portfolios size = 10000 by default).
 
Even if I add the req. portfolio size calculation youcan 
not be assured that the historical
results will be reproductable in the future. I mean that it 
may happen that required portfolio
size may be much bigger/smaller in the future tradingthan 
historical backtesting shows.
 
I think it is not too practical to trade hundreds of stocks. 
Try to focus on industry leaders and
you will get much better results with much smaller 
portfolio.
 
Best regards,
Tomasz Janeczko
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
David 
Holzgrefe 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, June 22, 2001 1:34 
AM
Subject: [amibroker] system 
reports

Hi TJ and others,
 
Im still trying to find a way to see what my 
total equity drawing would be required to trade a system 
How many position are open at one time 
?
 
To get a greater understanding of whatim after 
in order to trade a system successfully you need to take every trade 
signaled by the system .
 

Max. trade drawdown:-2781.71 System drawdown:-3480.37  
These figures take from the report don't tell as the 
system is passed on 10k trades 
I assume they represent the drawdowns  (losses) on a trade /s 

The attached file shows it to be a viable 
system (with current backtesting still progressing)
 
Does someone have an idea how I could export 
the results to a spread sheet for further analysisng ?
Now before someone tells me to hit theexport 
button :) What I realy need is how to format excel to create a 
report that tells me the maxium numberof open 
trades ..
 
Hmm maybe it could be done with the explored 
function ?
 
I dont know if anyone here trades systems but 
it would seem the its critical to know within reason how much equity the 
system requires before trading it ? 
 
Thanks David 
 
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