|
PureBytes Links
Trading Reference Links
|
Bernard and Tomasz - Here's a pointer to a tutorial on the Wealth-Lab
AnalyzeSeries functionality (which is what the Analysis Var tab in
Wealth-Lab Desktop displays the results of):
http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?
page=TutorialAnalysisSeries.htm
The Monte Carlo simulations are just that for optimizing up to 9
variables simultaneously within a ChartScript.
Tomasz, in another posting you state: "Intra-day drawdowns are
calculated on single trade basis. A better method (covering equity
dips through all duration of the test) will be included in the next
update." Are you referring here to the Equity Drop Ratio I discussed
in my article on the Wealth-Lab site? If not, you might want to
consider this also as a method of computing such Intra- or Inter-day
drawdown statistics.
Regards, Jim Byrd
--- In amibroker@xxxx, Bernard Bourée <bernard@xxxx> wrote:
> Dear Tomasz
>
> Well I like the following feature (in the desktop version):
>
> -A window where you can easily find the systems/commentary
classified in folders and sorted by name or date etc.
> -The ChartScript window, the equivalent of the AB main window, have
some TAB where you can very easily evaluate a TS : The first one show
the performance, the second the list of the trades, then one for the
alerts, one for the text of the TS, one for optimisation (I hope that
you will implement it in AB soon), an other one called MonteCarlo (I
guess it is to make more complex optimisation using the Monte Carlo
method), the last one is called Analysis Var but I don't know what it
is.
>
> They have also
> Bernard Bourée
> bernard@xxxx
> ----- Original Message -----
> From: Tomasz Janeczko
> To: amibroker@xxxx
> Sent: Monday, July 23, 2001 9:50 PM
> Subject: Re: [amibroker] Backtesting reports
>
>
> Dear Bernard,
>
> Could you please tell me what exactly do you like in WL's user
interface?
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
> ----- Original Message -----
> From: Bernard Bourée
> To: sentto-1010692-2837-995838278-
bbouree=fairesuivre.com.at.returns.onelist.com@xxxx ; amibroker@xxxx
> Sent: Monday, July 23, 2001 7:18 PM
> Subject: Re: [amibroker] Backtesting reports
>
>
> Hello Tomasz
>
> Yes, there is some good ideas to use in terms of agronomy
(windows design and parameters settings).
>
> Regards
> Bernard Bourée
> bernard@xxxx
> ----- Original Message -----
> From: Tomasz Janeczko
> To: amibroker@xxxx
> Sent: Sunday, July 22, 2001 11:21 PM
> Subject: Re: [amibroker] Backtesting reports
>
>
> Hi,
>
> WealthLab is nice. I am curious how long will they be free.
> I found some interesting ideas there...
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
> ----- Original Message -----
> From: wavemechanic
> To: amibroker@xxxx
> Sent: Saturday, July 21, 2001 10:24 PM
> Subject: Re: [amibroker] Backtesting reports
>
>
> Tomasz:
>
> How about entry to lowest trough = trade drawdown
>
> Did you notice the script functions listed on the Wealth-
Lab site? Is that where AB is headed?
>
> Bill
> ----- Original Message -----
> From: Tomasz Janeczko
> To: amibroker@xxxx
> Sent: Saturday, July 21, 2001 4:20 PM
> Subject: Re: [amibroker] Backtesting reports
>
>
> Hello,
>
> Thank you for the information.
> BTW, here is a definition of Max. Intraday drawdown from
wealthlab:
> "Max IntraDay Drawdown
> This value represents the greatest peak to trough
distance in your equity curve. Beware of Systems that have a high
Drawdown value."
>
> This is exactly what I meant in my previous e-
mail: "greatest peak to trough distance".
>
> Now: how should we call entry to lowest trough distance (
a drawdown measure already present in AmiBroker) ??
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
>
> ----- Original Message -----
> From: wavemechanic
> To: amibroker@xxxx
> Sent: Saturday, July 21, 2001 9:18 PM
> Subject: Re: [amibroker] Backtesting reports
>
>
> Tomasz:
>
> Since you will have maximum drawdown, I suggest
including Risk-Adjusted Return (RAR). This is a standard system
evaluation metric that divides a risk measurement by the annualized
rate of return. You could use maximum drawdown as the risk
measurement, but other measures (volatility, standard deviation,
etc.) would also work.
>
> The following link lists the system evaluation
parameters used by Wealth-Lab:
>
> http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?
page=$imOverview.htm
>
> Bill
>
> ----- Original Message -----
> From: Tomasz Janeczko
> To: amibroker@xxxx
> Sent: Saturday, July 21, 2001 12:00 PM
> Subject: [amibroker] Backtesting reports
>
>
> Hello,
>
> I would like to ask you:
> What additional back-testing statistics would you
like to see in AmiBroker?
>
> Please give me your suggestions with the description.
>
> For version 3.64 already included are:
>
> - Annual system percentage profit
> - Annual B&H percentage profit
>
> - Maximum drawback calculated from maximum equity
value
> to the minimum equity value
> (BTW: How to name this one? I have no idea)
> (note this is different from current max. drawback
calculation which
> computes max. equity dip from the trade entry)
>
> - Bars out of market
>
> I have got already some of your earlier suggestions
> but anyone has something more?
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
>
>
>
>
> Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
>
>
>
>
> 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 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.
>
>
> Yahoo! Groups Sponsor
>
>
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.
|