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Hi,
Thank you Jim for this very nice work.
Keep it up!
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
----- Original Message -----
From: "jvarn" <jvarn359@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, September 03, 2001 7:07 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 visualizing
> how a trading system behaves and whether or not I can trust the backtest
> results to be robust and non-spurious.
>
> It's a pretty straightforward process: Run the Exploration, Export as a
> CSV, Open with Excel, create a Pivot Table and finally make a 3-D Surface
> Chart.
>
> Attached is an example I created using a sample database of 50 stocks
> spanning 10.7 years diversified across industries and capitalization. The
> trading system is a simple Donchian breakout: Buy at open tomorrow if
> today's Close exceeds an X-day High, and Sell at open if today's Low is
> lower 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: 1318
> Percent profitable: 43.9%
> Number winning trades: 579
>
> That 22.8% RAR is a pretty good result, I think. The database spans bull
> and bear markets and contains some poorly performing stocks [along with
> some good ones].
>
> When you look at a surface chart you want to see a fairly flat surface, all
> with a positive return. High peaks and low valleys tend to indicate data
> mining and are probably not reproducible. Since the attached chart is
> fairly flat, I believe this system will be tradable and repeatable.
>
> There's one more test that needs to be done, which is to statistically test
> the results against random noise trades, but due to lack of time I'll save
> that for later ;-)
>
> Regards,
>
> Jim Varney
>
>
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