|
PureBytes Links
Trading Reference Links
|
Very nice, Jim.
Bill
<BLOCKQUOTE dir=ltr
>
----- Original Message -----
<DIV
>From:
jvarn
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, September 03, 2001 1:07
PM
Subject: [amibroker] Using Optimization
to Create Surface Charts
Fellow AB'ers,If you use Optimization on two variables
you can plot the results with Excel as a surface chart. I find surface
charts helpful in visualizinghow a trading system behaves and whetheror
not I can trust the backtestresults to be robust and
non-spurious.It's a pretty straightforward process: Run the
Exploration, Export as aCSV, Open with Excel, create a Pivot Table and
finally make a 3-D SurfaceChart.Attached is an example I created
using a sample database of 50 stocksspanning 10.7 years diversified across
industries and capitalization. Thetrading system is a simple Donchian
breakout: Buy at open tomorrow iftoday's Close exceeds an X-day High,and
Sell at open if today's Low islower than a Y-day Low.The results
are very promising and are likely robust:Risk adjusted ann. return:
22.82% Ratio avg win/avg loss: 1.99 Profit factor: 1.56
Avg. # of bars in winners: 41.9 Total number of trades:
1318Percent profitable: 43.9% Number winning trades: 579 That
22.8% RAR is a pretty good result, I think. The database spans bulland
bear markets and contains some poorly performing stocks [along withsome
good ones].When you look at a surface chart you want to see a fairly
flat surface, allwith a positive return. High peaks and low valleys tend
to indicate datamining and are probably not reproducible. Since the
attached chart isfairly flat, I believe this system will be tradable and
repeatable.There's one more test that needs to be done, which is to
statistically testthe results against random noise trades, but due tolack
of time I'll savethat for later ;-)Regards,Jim
Varney__________________________________________________Do You
Yahoo!?Get email alerts & NEW webcam video instant messaging with
Yahoo! Messenger<A
href="">http://im.yahoo.com------------------------
Yahoo! Groups Sponsor ---------------------~-->Secure your serverswith
128-bit SSL encryption! Grab your copy of VeriSign's FREE Guide: "Securing
Your Web Site for Business." Get it Now!<A
href="">http://us.click.yahoo.com/n7RbFC/zhwCAA/yigFAA/dkFolB/TM---------------------------------------------------------------------~-> Your
use of Yahoo! Groups is subject to <A
href="">http://docs.yahoo.com/info/terms/
<IMG
src="">
|