|
PureBytes Links
Trading Reference Links
|
hmm interesting discussions going on usualin the
AB forum ,
There is yet to be a single software item that will
cater to everyone needs or an individuals for that matter , often you will need
several program to achieve all your desired tasks , ms ts ,behold , ab whatever
.
But I have to say never have I found a developer
that responds so quickly to users ideas and requests, try asking equils fora
new item to be added to ms ..
one thing that could be handy is an indepth
explanation/ tutorial for the backtest report most item are self explanatory but
I'm sure there would be some users that are not familar with the reports I
noticed a few items within the report that are grey areas to me ;
Exposure:
4.9%
Risk adjusted ann. return:
7.26%
And I would guess that there are other items that other
users are scratching there heads at :)
regards David
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz Janeczko
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, July 26, 2001 3:08
AM
Subject: Re: [amibroker] Backtesting
reports
Dear Bill,
> You will never be able to do such
studies with a trendline tool with or without the Study function.
First hint: Never say never.
Second hint: you can do anything using JScript
& VBScript. Lines could be represented as arrays of values
so there is no problem here.
I see that you are big advocate of WealthLab and
this is good that the software has its advocates,
but I have the right to have my own opinion in
the same way as you have the right to yours.
I am not blind and can see the advantages of
WealthLab, but I can see also things that are bad.
Also, I am not just a programer, I trade the
stocks also so I evaluate the features from BOTH
points of view.
So, I will go my own way.
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@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, July 25, 2001 5:28
PM
Subject: Re: [amibroker] Backtesting
reports
<FONT face=Tahoma
size=1>
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
approaching the 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 familiarwith
these studies, I can suggest some references and provide somegif
examples. By the way, along the same lines there are similar
functions such as DrawCircle for Fibonacci arcs, etc. Bottom lineis
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@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, July 25, 20019:53
AM
Subject: Re: [amibroker] Backtesting
reports
Bill,
I guess DrawLine in Wealth Lab exists simply because there is NOway
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 oneof 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. If I
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 bigdeal
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@xxxxxx
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 like to
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 fact 3
alternatives: you may code your formula in
"pure" AFL, you can use JScriptor you
can use VBScript. You can also mix
the languages in a single
formula.
The AFL itself will be improvedfurther
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 seeWL
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 function while
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 line style
chart.
A bottom line:
Trade control in WL is better and nicer
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@xxxxxxxx
Sent: Wednesday, July25,
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 it is 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@xxxxxxxxxx
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 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 inAFL 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 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:
<A title=bernard@xxxx
href="">Bernard Bourée
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxx
Sent: Tuesday, July 24,
2001 7:17 PM
Subject: Fw: [amibroker]
Backtesting reports
Dear Tomasz
I have a doubt if mymessage
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 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 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 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 finda good
trading systerm more I came to the conclusion that there isnot
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 tohave 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:
<A title=amibroker@xxxx
href="">Tomasz Janeczko
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxx
Sent: Monday, July23,
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@xxxxxxxxxxxxxxxx
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@xxxxxxxxxxxxxxxxxx
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@xxxxxxxxxxxxxxx
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:
<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 inmy
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:
<FONT
size=2>
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.
<FONT
size=2>
The following link lists
the system evaluation parameters used by
Wealth-Lab:
<FONT
size=2>
<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
use of Yahoo! Groups is subject to <A
href="">http://docs.yahoo.com/info/terms/
Your use of Yahoo!
Groups is subject to the <A
href="">Yahoo!
Terms of Service.
Your use of Yahoo! Groups
is subject to the <A
href="">Yahoo!Terms
of Service. Your
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of
Service. Youruse of
Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of
Service. Your use of
Yahoo! Groups is subject to the <A
href="">Yahoo! Termsof
Service. Your useof
Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of
Service. Your use of
Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of
Service. 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 ofYahoo!
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 ofYahoo!
Groups is subject to the <A
href="">Yahoo! Terms of Service.
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Your
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
|