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How
about some AFL code Al,and a working example?
<SPAN
class=580505510-02112002>
Just
teasing you! <SPAN
class=580505510-02112002>I love your posts, keep it up!
<SPAN
class=580505510-02112002>
<SPAN
class=580505510-02112002>Herman.
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<FONT face=Tahoma
size=2>-----Original Message-----From: Avcinci
[mailto:avcinci@xxxx]Sent: 01 November, 2002 3:31
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: a few considerations about optimization
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
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----- Original Message -----
<DIV
>From:
samgrayy
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
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 ideasSam (Al ..I take ityou
recommend the Perry Kaufman book ??)--- In amibroker@xxxx, "Avcinci"
<avcinci@xxxx> wrote:> Franco,> > Recently Iwas
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 Isay
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? Howdo
you think about?> > Best regards,>
> Franco>
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