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Hello David,
Calculating such kind of cross-market statistics *IS POSSIBLE*
in AmiBroker
but only using scripting. I will cover this issue in a
newsletter because it is really interesting
and could be also used to calculate cross-market
indicators.
Best regards,
Tomasz Janeczko
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
David
Holzgrefe
To: <A title=amibroker@xxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, June 23, 2001 11:53
PM
Subject: Re: [amibroker] system
reports
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 run
the system..
I hadn't giving this angle of maximum open trades
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 systemyou 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 questioncould
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@xxxxxxxxxxxx
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 tradelist
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 you can
not be assured that the historical
results will be reproductable in the future. I meanthat
it may happen that required portfolio
size may be much bigger/smaller in the future trading than
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, 20011:34
AM
Subject: [amibroker] system
reports
Hi TJ and others,
Im still trying to find a way to seewhat 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 what im
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 the export
button :) What I realy need is how to format excel to create a
report that tells me the maxium number of
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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