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<I'd settle for hearing what the Max DD's are that go with that 100+%
return ? It's not that difficult to build systems with superior
returns, but usually not without high DD's, UI's and/or low MAR's,
UPI's etc.>
Fred,
I wish I had an answer to your concern. But my problem is that I don't
understand AmiBroker's report system enough to trust the reported
drawdowns and other metrics. The very first number reported on the
Report screen is "Net Profit"... and I swear that after months of
playing with Amibroker, I still don't understand what the heck that
number represents. (It certaintly does not represent anything that is
meaningful to me. I have added and subtracted profits and losses and %
profitable versus % losses, etc... and it simply eludes me.)
What I can tell you is that with my own backtest system, I could load
the backtested results into Excel and 'slice and dice' the trades in
chronological order so that I could determine 'maximum exposure' to
the market, along with actual chronological 'drawdowns' that would
affect my account. And this particular system had no 'significant'
drawdowns. But since I am not divulging the actual trading system, it
should not be of concern to you anyway.
Since I don't understand everything I need to about AmiBroker's
reporting system, I am planning to develop my own reporting system
which will take the 'exported' trade data from an AmIbroker backtest
and 'slice and dice' that trade data so that I can calculate my own
trade result metrics so that that 'I understand'. Sorry if I offend
Tomasz, but I just don't understand the majority of the Report screen.
Regards,
Phsst
Sorry, but I am not sharp enough to
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > MessageI too would dearly like to hear more about this system. You
> talk
> > about tripple digit returns "on the whole market for 10 to 11
> years". That
> > would be at least double the best RAR that I've ever seen using one
> system,
> > one set of parameters across all stocks.
> >
> > Can you explain what you mean by the "whole market"? Are you
> applying your
> > system across all 7,500 (or so) U.S. stocks? Any filtering? Do
> you
> > include extinct stocks? Is your filtering based on real volume
> and price
> > on the day or are you using backadjusted prices/volumes?
> >
> > I look forward to hearing more about your "grail".
> >
> > Cheers
> > -----Original Message-----
> > From: Lionel Issen [mailto:lissen@x...]
> > Sent: Thursday, March 27, 2003 8:48 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: RE: [amibroker] Re: TRENDING vs. RANGING markets
> >
> >
> > Please post an outline of this system
> >
> > Lionel
> >
> >
> >
> > -----Original Message-----
> > From: phsst [mailto:phsst@x...]
> > Sent: Wednesday, March 26, 2003 10:15 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: TRENDING vs. RANGING markets
> >
> >
> > Gosub states:
> >
> > <<However.... What I'm really looking for is what people found
> > to be the best indicator to help identify the current situation
> (not
> > the future). I was basicaly throwing out a question to everyone to
> > see if anyone has had better success than me when developing a
> > transitional system that identifies when it is necessary to
> change to
> > a different indicator.>>
> >
> > That is a fair question and I'll be happy to share my own
> experience
> > with backtesting (and trading) trend detection systems.
> >
> > In the book Street Smarts co-authored by Linda Raschke, she
> outlined a
> > trading methodology named the 'Holy Grail' which uses the ADX,
> PDI,
> > MDI indicators to determine trend direction.
> >
> > With the help of a friend who has more 'instinctive' abilities
> than
> > me, I developed a backtest system based upon a slight derivitive
> of
> > Linda's 'Holy Grail' and hit paydirt.
> >
> > The 'Holy Grail' system is a classic pullback system that Linda
> > primarily trades futures with. My friend and I adapted it to stock
> > trading.
> >
> > In my own software, I calculated an Annual Percentate Rate of
> return of
> > 189.59% for the past 10 or 11 years on the whole market. I
> recently
> > adapted my 'Holy Grail' system to Amibroker and achieved silimar
> > results but with improvements using the Optimize function. AB
> > calculates the APR differently and reports a RAR of 142.21%, but
> with
> > even greater monatery return amounts. While I don't know for
> sure, I
> > think the difference in calculated percentage returns is that in
> my
> > own system calculates returns based upon calendar days of
> exposure to
> > the market, while AB might use Bars of exposure to the market. But
> > that is a subject for another discussion.
> >
> > A few weeks ago, I believe that Jayson stated that pullback
> systems
> > stopped working after the 1999 blowoff, buy my system has shown a
> > profit every year for the past 11 years.
> >
> > As an aside... I'd encourage others to post backtest results on
> the
> > whole market for the past 10 or 11 years of their favorite systems
> > just to see how good other trading systems can be using a RAR or
> APR
> > measurement.
> >
> > But anyway, back to this thread:
> >
> > In developing other trading systems, I can generally improve
> results
> > by incorporating the ADX, PDI, MDI indicators to implement trend
> > detection in my system development efforts.
> >
> > Also, I use a Quotes Plus database which has a historical QRS
> > indicator which emulates Investors Business Daily's proprietary
> > Relative Strength indicator. And my experience has been that by
> also
> > filtering with the QRS indicator, my backtesting results are
> improved
> > even more. The only problem is that Quotes Plus apparently
> > incorporated the QRS measurement in 1995, so when using that
> > indicator, you cut into the amount of historical data that you
> can use
> > to backtest.
> >
> > Hope this is what you were asking for. And I hope that others will
> > share their 'favorite' trend detection indicators with the metrics
> > they use to measure system trade improvements. Whenever I need a
> trend
> > indicator, the ADX, PDI, MDI are the first indicators I grab for.
> How
> > about the rest of you?
> >
> > Phsst
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "gosub283" <gosub283@xxxx>
> wrote:
> > > Hi Yuki,
> > >
> > > Thanks for your comments.
> > > I agree with you completely. However....
> > > What I'm really looking for is what people found
> > > to be the best indicator to help identify the
> > > current situation (not the future).
> > > I was basicaly throwing out a question to everyone to
> > > see if anyone has had better success than me when
> > > developing a transitional system that identifies
> > > when it is necessary to change to a different indicator.
> > > I have had success with such a system. The problems
> > > arise during the transition phase from Trading to Trending.
> > > (Some losses due to ambiguity/confusion.)
> > > Once the transition is completed and the system automatically
> > > changes to the appropriat indicator, it works fine.
> > > I was trying to see if anyone else had played with this
> > > and perhaps found a better way.
> > > I am familiar with many indicators which can help with this
> > > but I'm always open to others.
> > > Jayson was very helpfull in pointing out the R-Squared and
> > > Twiggs-Money Flow.
> > >
> > > Thanks again,
> > > gosub283
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx>
> wrote:
> > > > Hi gosub283,
> > > >
> > > > Thursday, March 27, 2003, 2:08:16 AM, you wrote:
> > > >
> > > > g> When a human looks at a chart, he/she can immediately
> determine
> > > if
> > > > g> a market is in a TRENDING mode or a RANGING mode. It is a
> most
> > > > g> amazing feat of human visual data analysis that takes
> place in a
> > > > g> matter of seconds. Trying to get computers to "visually"
> analize
> > > > g> anything takes major computing power. Unfotunately
> computers and
> > > > g> trading system have a much more difficult time of
> determining
> > > > g> these market modes than us humans.
> > > >
> > > > I am not so sure humans do a much better job of this analysis
> than
> > > do
> > > > computers. When we look at charts, we are looking at 100
> percent
> > > > history. It is indeed rather easy to "segment" this history
> into
> > > > trending and ranging periods using analytical abilities.
> Yes, it
> > > > does happen in seconds, and seems almost effortless.
> > > >
> > > > However, the most important time period for any trader is that
> > > period
> > > > of time which is NOT VISIBLE on the chart -- namely, the
> future. We
> > > > can "see" the ranging and trending periods, but only in
> retrospect,
> > > > where our minds make nice, neat visual categories for us
> based on
> > > > what we *see*. But at the "real time" turning points, when
> the
> > > > actual transition is in the future, out of sight, I doubt if
> either
> > > > human or computer can reliably identify these transitions in
> > > advance.
> > > > (Reliably to me would be with some statistical edge that
> clearly
> > > > beats random guessing.)
> > > >
> > > > In hindsight, it is all so clear of course -- so clear that
> it is
> > > > tempting to believe that one can find some mathematical
> formula that
> > > > will reveal all. But this is a sect in the cult of "Holy
> Grail-ism"
> > > > in my opinion. To test my theory that human beings are not any
> > > better
> > > > at identifying the transitions in "real time" than computers,
> scroll
> > > > a chart very slowly (bar by bar) from left to right, with the
> future
> > > > always off the screen, just as in real life. Make sure the
> chart is
> > > > a completely unknown issue or index, and preferably one with
> the
> > > > dates entirely removed or obscured (to do this test correctly
> > > someone
> > > > else will probably need to set up a blind test for you, I
> don't
> > > think
> > > > you can truly set up a valid blind test yourself). Now see
> > > how "good"
> > > > your human brain is at identifying the transitions in "real
> time".
> > > > And good luck! ^_-
> > > >
> > > > Yuki
> >
> >
> >
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