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Thanks Herman and HB,
I knew IB is opening up shop in Canada. I just didn't know when,
I will open a new account first thing next week.
Sam
--- In amibroker@xxxx, "Herman van den Bergen" <psytek@xxxx> wrote:
> 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@xxxx
> > 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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