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think about it stock use to move in 1/8 .125
if you test data using any momentum
the swing will be smaller
many stock now move in smaller increments
where before buying at the ask selling at the bid can move a
stock .125
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> 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
> -----Original Message-----
> From: nickhere <nickhere@xxxx> [mailto:nickhere@x...]
> Sent: Tuesday, February 18, 2003 8:57 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Analyzing a system
>
>
>
> 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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