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<SPAN
class=933091106-18022003>Nick,
Your
data base is converted to decimal as well is is not? Pull up a chart and
look at 1/3/2000 you will see decimals not fractions...
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: nickhere
<nickhere@xxxxxxxxx> [mailto:nickhere@xxxxxxxxx]Sent: Monday,
February 17, 2003 9:29 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: Analyaing a
systemWhen testing a system shouldnt all data before
4/10/2001 be ignore.on 4/10/2001 was the date all exchanges converted to
decimal.nick--- In amibroker@xxxxxxxxxxxxxxx, "tchan95014
<tchan95014@xxxx>" <tchan95014@xxxx> wrote:>
Hello,> > > > > Here is an example on how I
select a ticker to be included in a system > portfolio (a sure form
of curve fitting, but...) I also touch upon how > I analyze the
system base on one selected ticker trying to fine tune > this system.
I hope to invite some discussions and debates, critics > and
comments.> > > > > 1) trade range: 1/1/99 -
today> > > The range is selected to cover
the big runup and big crash, hoping > to detect the system as well as
target's response to the big swings.> > > 2) A short term
EOD system is used.> > > 3) After optimize the system to
death (another curve fitting), I > selected some parameters that look
stable. (Thanks to Herman's > 3DCharts, I used it every time I do the
optimization)> > > 4) I started to run the system on a
bunch of tickers, say N100.> > > 5) I then select only
those with, say > 20% RAR over the test period,> > >
(I would like to use MAR, but so far it is very difficult so I choose
> RAR) I put those selected into a watchlist.> > >
6) I then run tests on the watchlist.> >
> a) I move the test range from 1999 - 2003 --> 2000
-> 2003, again I > chop off those not meeting a certain RAR, then
2001 -> 2003, then 2002 > -> 2003. I only want those that are
profitable on every test and they > have to show to generate a
certain RAR.> > > b) There will be only
less than a handful candidates now.> > > 7) I will then
start to run the optimization again on the selected > candidates, just
want to make sure the original optimized parameters > are still a
good choice. If yes, good, a new portfolio is created, if > NOT,
well, all bets are off, I might start again on the newly found >
optimized parameters on the whole N100 again and start the whole >
process to see if the new parameters are stable on SOME other
tickers.> > > 8) You might want to start testing the
watchlist on any UN-tested data > range now. I did not.>
> > 8) It is a tedious process but interesting journey.>
> > > > OK, let us say I have the portfolio selected
and system chosen. I will > go into each ticker selected to do some
more analysis.> > > As an example, I offer one
below.> > > > > Again, it is a short term EOD
system, as you can see below.> > > > >
a) There are 240 trades from 1/1/1999 -
2/14/2003> > >
- a RAR% > 260% system> >
> - a
MaxDD% > -86% system when position sizing = 100%> >
>
- I am eagerly waiting for the portfolio level position > >
>
sizing feature to arrive.> > >
b) When the profit% per trade was
analyzed> > >
- max. loss = -20.1%> > >
- max. gain =
+84%> > >
- average = 3.14% (all entries in the profit% per
trade> >
>
column are averaged)> > >
- standard deviation (SIGMA) = 14.76%>
> >
- average - 2 * sigma = -26.37%> > >
- this is larger than the max. loss, a good
sign.> > >
- average + 2 * sigma = +32.66%> >
>
- max. gain is much larger than this, also a
good sign> > >
- FAT tail
effect> > >
- It was found that if I align trades from max.
loss to max > gain sequentially it takes the first 223 entries to get
the gains to > offset the losses, it pretty much leaves only 18
profit trades to make > the extra profits taken home> >
> - 18 /
240 < 8% of the trades makes the day.> > >
- It also hints
loudly that I have to take every trade, > because it is extremely
difficult to be selective in choosing trades > and hit on those 8%
big winning trades, they are so few and far in > between that I can not
afford to miss any.> > >
- The FAT tail is very important, it means the
losses have > been kept in check and profits have been left to
run.> > > d) Further
analysis on the biggest losses> > >
- most of the
biggest losses are the results of the GAPs, I do > not see any way to
prevent these trades, I guess I have to live with > them.>
> >
- Further check might be focused on the MAE (Maximum Adverse >
excursion) on profit trades to see if there is any chance to use the
> collected statistic to create a hard stop to further minimize the
> losses.> > > > > NOTE: this system
has a very low profit factor of 1.34, but thanks to > Fred, it has
also the following statistics on the last day of range> >
> CAGR% = 267.13> >
> MDD% = -68.89> >
> MAR = 3.88> >
> UPI = 56.35> >
> KRatio = 3.30> >
> MFlat = 267> > > >
> Some more statistics on the analysis of profit % per trade:>
>
>
average sigma avg - 2 sigma avg + 2
sigma> > > For ALL trades:
3.14% 14.76
-26.73
+32.66> > > Losing
trades 6.14% 4.31
-14.77 +2.49>
> > only> >
> Winning trades 14.06%
15.33
-16.60
+44.73> > > only> >
> > > I can not offer any useful analysis on these
statistics but I do hope> > > TJ can offer All trades,
losing trades, winning trades report.> > > >
> As you can see it is a very difficult system to trade. It is only
an > example to illustrate the process.> > >
> > Hope you find these info interesting and tickle you
brain.> > > > > > >
ThomasPost
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