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Re: [amibroker] system reports



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Thanks TJ 
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
Tomasz Janeczko 

To: <A title=amibroker@xxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 
Sent: Sunday, June 24, 2001 4:32 PM
Subject: Re: [amibroker] system 
reports

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@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, June 23, 200111:53 
PM
Subject: Re: [amibroker] system 
reports

Thanks For the words of wisdom TJ
 
I only do my serious back testing over50 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 torun 
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 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@xxxxxxxxxxxxxxx 
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 entiremarket 
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 calculationyou 
can 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 trading 
than historical backtesting shows.
 
I think it is not too practical to trade hundredsof 
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 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 aviable 
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 hitthe 
export button :) What I realy need is how to format excel to createa 

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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