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But movement up to that time was in fraction.
now we move in decimnal .01
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> 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
> -----Original Message-----
> From: nickhere <nickhere@xxxx> [mailto:nickhere@x...]
> Sent: Monday, February 17, 2003 9:29 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Analyaing a system
>
>
> When 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.
> >
> >
> >
> >
> >
> >
> > Thomas
>
>
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