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Bill:
One more thought:
I just wonder what would you like meto do?
Duplicate Wealth-Lab? What for?
If Wealth Lab is perfect tool for you - just use
it.
Best regards,Tomasz Janeczko===============AmiBroker - the
comprehensive share manager.<A
href="">http://www.amibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
wavemechanic
To: <A title=amibroker@xxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, July 25, 2001 5:28
PM
Subject: Re: [amibroker] Backtesting
reports
Tomasz:
You are missing the point. The DrawLine
function does not exist because Wealth-Lab does not have manual drawing (but I
would be surprised if that does not appear soon).
Instead, with DrawLine and similar functions Gann, Fibonacci,
and other line-type studies can be effected after calculating where
the two points are. The object then is to draw the lines between those
two points. You will never be able to do such studies with a trendline
tool with or without the Study function. For example, can you draw a
Gann fan or Square of 9 with the trendline tool with anything approachingthe
required precision and accuracy? Or, there are Fibonacci retracement
levels and techniques that are not part of AmiBroker's canned
indicators. Can you draw those with a trendline? Could you draw
the Fibonacci retracements that are in AmiBroker by hand? For trading
purposes, not in a zillion years. If you are not familiar with
these studies, I can suggest some references and provide some gif
examples. By the way, along the same lines there are similar
functions such as DrawCircle for Fibonacci arcs, etc. Bottom line is
that such functions are very valuable to users, reflecting their power and
ease of use.
Hope this helps.
Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz Janeczko
To: <A title=amibroker@xxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, July 25, 2001 9:53
AM
Subject: Re: [amibroker] Backtesting
reports
Bill,
I guess DrawLine in Wealth Lab exists simply because there is NO way to
simply DRAW the trend
line by hand in WealthLab.
Speaking about easy of use:The line between two points can be
simply drawn in AmiBroker. Take a trend line tool and draw.
No need for code. I guess this is much easier than writing the
code for drawing a line!
Then you can use the lines drawn using study() AFL function
as shown in the newsletter
<A
href="">http://www.amibroker.com/newsletter/08-2001.html (Tip
of the week: Using studies in your AFL formulas
)
Best regards,
Tomasz Janeczko
amibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=wd78@xxxx
href="">wavemechanic
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: 25 July, 2001 15:03
Subject: Re: [amibroker] Backtesting
reports
Tomasz:
FWIW, from a users viewpoint, there is an
advantage to functions that combine other functions into a single
entity. Easy is good.
As for DrawLine, you have picked on one of my
favorites. I am not aware that any combination of graphXY
functions can draw a line between two user-defined points, at least
not as easily as far as I can tell. You have coded a number of
indicators (e.g., ADX, etc.) that one can graph with graphN. IfI am
smart enough, I guess that I could go the script route and develop new
functions that could then be used with graphX. I am not an expert
programmer so to do so would be nice but would have to be a labor of
love. Being able to draw a line, including extending it into the
future, between user-defined points would be a big deal that
opens up the opportunity for a variety of line studies. Combining
such a function with an Input function (especially if inputs can be done
by pointing and clicking) opens a universe of line-type studies (e.g.,
Gann and Fibonacci) to be programmed, which is a big deal to some of
us. Not to be overlooked is the fact that DrawLine gets
programming dummies like myself into business literally within
minutes. Sure, experts like yourself are up a running in the same
amount of time with AFL, JScript, VBScript, etc., but as evidenced by
the discussion on this board there are many in the "dummy" camp.
"Talking down" is not always bad.
Just my two cents.
Bill
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
Tomasz
Janeczko
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, July 25, 2001 2:57
AM
Subject: Re: [amibroker]
Backtesting reports
Hello Bill,
What I wrote was my personal opinion,
nothing more.
I had a chance to hear the opinions about
AmiBroker from different people
and what I learned is that there is a very
wide spectrum of different views
and preferences among T/A people.
AmiBroker is not all about backtesting
(while WL seems to be). AmiBroker
tries to satisfy these needs
as much as possible. Unfortunatelly
different needs are sometimes contrary
to each other.
This applies especially to the programing
language.
One may say he would prefer a simpler
language another one likes sophisticated
and very complicated tool. I liketo code
in C++ others like Basic, Pascal and do on.
I have my reasons, you can have
yours.
That's why I am providing in fact3
alternatives: you may code your formula in
"pure" AFL, you can use JScript or you can
use VBScript. You can also mix
the languages in a single
formula.
The AFL itself will be improved further so
you will be amazed someday :-)
To the details:
1. Yes,
BuyAtStop and all trade control
functions are nice, because
it is clearer to say BuyAtStop
than doing buyprice, buy stuff together the right way.
2. GetDate, CumUp - I don't see WL
advantage here
<FONT face=Tahoma
size=2>
3. I don't
find any advantage of DrawLine and SetBar color since completely
the same
could be done in AFL using graphX,
graphXstyle, graphXbarcolor. All the difference
is that in WL you call a functionwhile in
AFL you assign a variable. I can add a function
that is called DrawLine and will
internally assign the variables so there is no real
difference,
... maybe except AFL can draw true Gann
Swing charts (see AFL library)
while WL doesn't have square linestyle
chart.
A bottom line:
Trade control in WL is better andnicer
and I am willing to improve this functionality in AFL,
I like also the statistics in WL.I think
that there are lots of nice ideas in WL to get an inspiration
from.
And I really appreciate that you pointed
out the things you like in WL -I
learned something again.
All I dislike is a modal, Borland-looking
(ugly icons on every button), bold-font everywhere
user-interface.
This is however my personal opinion based
on my personal taste.
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: Wednesday, July 25, 2001
2:24 AM
Subject: Re: [amibroker]
Backtesting reports
Tomasz:
Have to disagree to some extent. As
you note, the interface is a matter of personal preference, although I
tend to side with Bernard. However, and most importantly, from a
"programming dummy" user's viewpoint, WealthScript might suffer from
the problems that you note, but it is relatively clear with
respect to trading system and drawing functions. Perhaps itis
not as efficient as AFL, but it is easy to build a system with
commands like BuyAtStop, GetDate, CumUp, etc., with only a couple
of tutorials as a guideline. And being able to incorporate
drawing functions (e.g., DrawLine, SetBarColor, etc.) in a
straightforward manner is great, although more is needed in this area
(to be expanded in version 2 according to WL). Definitely
an attempt to produce a user-friendly programming environment.
Easy to use, "intuitive" system and drawing functions are arguably
essential endpoints. So much the better, if these
attributes can be further enhanced with respect to speed and
simplicity, and placed within the AmiBroker setting. Or so it
seems to this programming dummy.
Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz
Janeczko
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxx
Sent: Tuesday, July 24, 2001
4:44 PM
Subject: Re: [amibroker]
Backtesting reports
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 likeits 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
the same 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 youcan 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:
<A title=bernard@xxxx
href="">Bernard Bourée
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxx
Sent: Tuesday, July24,
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 canvery
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 knowwhat
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 desktopversion
for a 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 agood
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 asthe
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
this task 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@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxx
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.<A
href="">http://www.amibroker.com
<BLOCKQUOTE
>
----- Original Message-----
<DIV
>From:
<A title=bernard@xxxx
href="">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@xxxxxxxxxxxxxx
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<A
href="">bernard@xxxx
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=tj@xxxx
href="">Tomasz Janeczko
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxxx
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@xxxxxxxxxxxxxxxxxx
Sent: Saturday,
July 21, 2001 10:24 PM
Subject: Re:
[amibroker] Backtesting reports
Tomasz:
How about entry to lowesttrough
= 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:
<A title=tj@xxxx
href="">Tomasz Janeczko
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
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@xxxxxxxxxxxxxxx
Sent:
Saturday, July 21, 2001 9:18 PM
Subject: Re:
[amibroker] Backtesting reports
<FONT
size=2>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:
<A title=tj@xxxx
href="">Tomasz Janeczko
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
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
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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