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<SPAN
class=558521215-18022003>OK....... but how does that negate the value of data
prior to 4/10/01? True the moves may be finer on a tick by tick basis but many
other things also affect the market I.E. internet trading, an increase in Retail
trade versus institutional. Increases in liquidity and volume etc. Perhaps I
miss your point
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: nickhere
<nickhere@xxxxxxxxx> [mailto:nickhere@xxxxxxxxx]Sent: Tuesday,
February 18, 2003 8:57 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: Analyzing a
systemBut 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@xxxx]> 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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