|
PureBytes Links
Trading Reference Links
|
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
Your use of
Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of
Service. Your use of Yahoo! Groups
is subject to the Yahoo! Terms
of Service. Your use of Yahoo! Groups
is subject to the Yahoo! Terms
of Service. Your
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
|