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Dear Bernard,
Thank you for your opinion.
I have downloaded a trial version of WealthLab
desktop and had a look at it.
Frankly speaking I don't like its user interface -
but this is my private opinion.
What I like are extensive back-testing
statistics. These I would like to see
in AmiBroker.
As for the WealthScript I find it quite
complicated. You have to have at least
3-4 times more code than in AFL to do thesame
thing.
Also - I tried to check very basic MA
crossover system and wanted to simulate
trading using 100% capital and WealthLab displayed
very strange equity curve
(with negative cash amounts). What's more
WealthScript seems to be very slow.
As for optimization: yes I will include
optimization in 3.7, this will include
multiple-security optimization.
By the way: it seems that you can only optimize
for one stock in WealthLab, is it true?
Anyway, some ideas are worth
implementing.
<FONT face=Tahoma
size=2>
Best regards,Tomasz
Janeczko===============AmiBroker - the comprehensive share
manager.<A
href="">http://www.amibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Bernard
Bourée
To: <A title=amibroker@xxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, July 24, 2001 7:17
PM
Subject: Fw: [amibroker] Backtesting
reports
Dear Tomasz
I have a doubt if my message was published
since I can't see it and in fact I haven't finished it. So here it is
completed.
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 forthe
alerts, one for the text of the TS, one for optimisation (I hope that youwill
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 a window where you can
select the trading systems, run them on a watchlist and perform a
ranking of the performances..
You can download the desktop version fora free
trial period and have a good idea of the product.
It is much more expensive than AB but you have
given to us the proof that you can easily compete with such
products.
In fact more I try to find a good trading systerm
more I came to the conclusion that there is not one good trading system
but we have to find for each period of time, for each market and
perhaps for each stock one good TS which could have to be changed and adapted
as soon as the market conditions move.
This means that we need to have a tool that allow
us to optimize and compare a bunch of TS periodically.
So I whish that AB could help us in thistask and
allow to adapt and optimise our TS easily.
For this Tomasz it would be nice if we could more
easily change the parameters of the TS or the charts with contextual menus
intead of having to write AFL codes.
Best regards
Bernard Bourée<A
href="">bernard@xxxx
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz Janeczko
To: <A title=amibroker@xxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, July 23, 2001 9:50
PM
Subject: Re: [amibroker] Backtesting
reports
Dear Bernard,
Could you please tell me what exactlydo you
like in WL's user interface?
Best regards,Tomasz Janeczko===============AmiBroker - the
comprehensive share manager.<A
href="">http://www.amibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Bernard
Bourée
To: <A
title=sentto-1010692-2837-995838278-bbouree=fairesuivre.com.at.returns.onelist.com@xxxx
href="">sentto-1010692-2837-995838278-bbouree=fairesuivre.com.at.returns.onelist.com@xxxx
; <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, July 23, 20017:18
PM
Subject: Re: [amibroker]
Backtesting reports
Hello Tomasz
Yes, there is some good ideas to usein terms
of agronomy (windows design and parameters settings).
Regards
Bernard Bourée<A
href="">bernard@xxxx
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz
Janeczko
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
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.<A
href="">http://www.amibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=wd78@xxxx
href="">wavemechanic
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxx
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
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz
Janeczko
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxx
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.<A
href="">http://www.amibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=wd78@xxxx
href="">wavemechanic
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxx
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:
<A
href="">http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=$imOverview.htm
Bill
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
Tomasz
Janeczko
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxx
Sent: Saturday, July21,
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 marketI have got
already some of your earlier suggestionsbut anyone has
something more?Best regards,Tomasz
Janeczko===============AmiBroker - the comprehensive
share manager.<A
href="">http://www.amibroker.com Your
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