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Hi Sam,
open an account with InteractiveBrokers in Montreal and trade for $1/trade.
Herman
> -----Original Message-----
> From: samgrayy [mailto:samgrayy@x...]
> Sent: 01 November, 2002 3:48 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: a few considerations about optimization
>
>
> Thanks Al ..
>
> You are right .. I have read about MM but have never implemented it.
> I am somehow restriced by the higher commisions in Canada .. So you
> have to have an initial stake of 20 k or so to trade something without
> being impoverished by commisions.
>
> Back to the efficiency ratio. I noticed that adding it to the system
> reduced the maximum system drawdown to 25% from 35% range for the
> securities I was looking at .. While this is high.. I don't mind
> taking a 5 K loss on 20K in Capital (as long as it doesn't happen
> often..)
>
> Right now I don't trust my system. I have to make a judgement call
> everytime I see a signal.
>
> I am just learning. Even one of the systems which was devised by
> Stridsman (the Bollinger Band system ..) tests alright on the $SPX til
> 1998 from the 1988 . It fails thereafter. So I need to keep looking to
> see.
>
> I will for now stop system development and focus on scanning (The
> Explore and ATC functionalities.) . I think if I know which sectors
> are doing well and which companies posses good relative strength, then
> my task will be easier.
>
> I am digressing so I'll send this now ..
> Sam
> --- In amibroker@xxxx, "Avcinci" <avcinci@xxxx> wrote:
> > Hi, Sam:
> >
> > I don't want to beat a dead horse, and I hope Herman is not reading
> this, but you can protect yourself against a 40% decline in equity
> using proper position sizing and money management techniques. Enough
> about MM. Your observation is what makes me nervous. Just because a
> stock behaves well in the past doesn't necessarily mean that it will
> always give the same good trades. A continuing effort at finding those
> stocks that do behave well in your system is indeed a challenge. Maybe
> concepts like the fractal efficiency ratio may be helpful in this
> instance. It's just a thought, but it's worth a try.
> >
> > Regarding Kaufman's book, I have to chuckle a bit. I've never read
> the book. I was quoting another trader who had quoted Kaufman.
> However, I've heard it is a fine book.
> >
> > Al Venosa
> > ----- Original Message -----
> > From: samgrayy
> > To: amibroker@xxxx
> > Sent: Friday, November 01, 2002 11:33 AM
> > Subject: [amibroker] Re: a few considerations about optimization
> >
> >
> > Al this is a very interesting topic.
> >
> > Often, as well, from my testing I noticed that a system will not
> > work well with a given security during some intervals. So the
> > character of trading has shifted.
> >
> > The question is that one is running a system that was working
> well.
> > Then in a very short time, the system loses 40% of equity in a few
> > consecutive losing trades. How do we protect ourselves against
> that.
> >
> > Keep posting the good ideas
> > Sam
> >
> > (Al ..I take it you recommend the Perry Kaufman book ??)
> >
> > --- In amibroker@xxxx, "Avcinci" <avcinci@xxxx> wrote:
> > > Franco,
> > >
> > > Recently I was talking to a professional trader who told me that
> > some stocks simply don't behave well in any system and others do
> > extremely well (in backtesting). He attributes this to a term
> called
> > the "fractal efficiency ratio," coined by Perry Kaufman. A stock
> has
> > to have some non-random movement to be predictable. It's the
> total
> > change in price over a given period, divided by the sum of the
> > absolute values of all the daily changes in price. If a stock has
> too
> > small a directional component, then it's a poor candidate for any
> > system, regardless of how many filters or refinements you add.
> You're
> > better off using all that firepower on a better target. I've been
> > testing a lot of stocks lately individually, finding that many
> simply
> > give very bad backtest results and very non-robust parameter
> > coefficients. So, I eliminate them from my watchlist and
> concentrate
> > on those stocks that behave well. This seems to be working well. I
> > haven't had time to write any code yet to see if the
> good-performing
> > stocks have a higher fractal efficiency ratio (personality as you
> call
> > it?) than the poor performing ones, but it's worth a try. You must
> > test over a long enough period of time to encompass bullish,
> bearish,
> > and sideways markets, like 1/1/97 (or even earlier) to present
> time.
> > If you try this idea out, let me know how successful you are. I'm
> very
> > interested in this concept. When I get a chance, I'll try it
> myself.
> > But, in theory, it seems to have merit.
> > >
> > > Al Venosa
> > >
> > > ----- Original Message -----
> > > From: Franco Fornari
> > > To: amibroker@xxxx
> > > Sent: Friday, November 01, 2002 6:15 AM
> > > Subject: [amibroker] a few considerations about optimization
> > >
> > >
> > > Hello,
> > >
> > > trying to optimize any trading system, I think we all have
> > thought, sometime, we would like to avoid such a tedious process
> or to
> > do it once and for all.
> > > It could be possible? This question badgered me for a long
> time,
> > unfortunately with no success, yet I feel there must be a
> solution.
> > > Why I say that? Because a peculiarity of each stock, called
> > "personality" by someone, wich seems stable enough. In other
> words, I
> > think if we were able to mathematically represent this
> characteristic,
> > we could automatically optimize any trading systems.
> > > But, the big matter is: what is this characteristic (long term
> > volatility, frequency of peaks and troughs, price)? How could we
> > assess or measure it? And, first of all, does such a feature exist
> or
> > is it only a mirage? How do you think about?
> > >
> > > Best regards,
> > >
> > > Franco
> > >
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