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Fred:
After our off-line discussions, I adopted the process of not using
PositionSize in the Phase 1 work of testing a system. As you have
pointed out, the first job is proving a system "works", and the best way
to differentiate between system changes is with full compounding.
That said, I have yet to get a system to the Phase 2 stage where I can
determine the effects of PositionSize on the magnitude of various "real
world" trading steps. I have found in system after system, that
Optimizing in Sample, then extending the Equity curve plot into the OOS
period shows that the system "blows up". The equity line rises in an
almost straight line fashion until it reaches the beginning of the OOS
period, at which point the "dreaded yellow triangle" begins to rise,
never to fall--signifying that the beautiful optimized system earns no
equity and in fact subtracts a bunch in the OOS.
I am working some systems from the FastTrack world, which use parameters
that have seemingly not been optimized but have just "been used", almost
like folklore, since the very early 90s. These equity curves are modest
yet rise at a positive slope without significant drawdowns. Perhaps
here, I will get a chance to experiment more with the PositionSize
parameter.
Ken
-----Original Message-----
From: Fred [mailto:fctonetti@xxxxxxxxx]
Sent: Sunday, April 13, 2003 1:08 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Real World Systems
Ken,
You and I have had some offline discusions about system development,
testing, optimization and realtime usage ... What are your views at
this point with regards to using PositionSize= in the pre-realtime
parts off this, I know at one point way back they were significantly
different then my own.
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> Phsst: no...I have an interest in "real world trading". I work
> systems all the time and occasionally believe I have enough
confidence
> in them to try trading them. I have invested month and months in
> several systems wherein all I did was learn the perils of
> overoptimization.
>
> I suspect there are tons (as in lots) of people who are VERY
interested
> in this topic, while at the same time perhaps believe they have
little
> to contribute. So they do not say anything because then someone
will
> say "Well, where is YOUR real world system to share". There may
even be
> an implied expectation: if you publish a system, it should work.
Maybe
> folks' confidence in this is not what it should be to allow them to
show
> their fragile stuff.
>
> Ken
>
> -----Original Message-----
> From: phsst [mailto:phsst@x...]
> Sent: Sunday, April 13, 2003 12:42 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Trailing Stops
>
> > Are you going to post it in the other forum or drop the subject ?
>
> Fred,
>
> Think about it. You're the only one who has shown any interest at
all
> in the subject of Real World Trading using Amibroker... and you
don't
> trade stocks! Go figure ;-)
>
>
>
> Phsst
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > Phsst,
> >
> > Are you going to post it in the other forum or drop the subject ?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> > > Sid,
> > >
> > > After sleeping on it, I decided maybe you are right. This may
not be
> > > the place for a thread on Real World Trading thread.
> > >
> > > Thanks for making me think about.
> > >
> > > Phsst
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> > > > >Why don't we continue these trading system and performance
> > measure
> > > > >discussions over on the Amibroker-TS group?
> > > >
> > > > Sid,
> > > >
> > > > I'm going to start the thread here.
> > > >
> > > > After seeing the topics discussed it may just fade away. But
much
> > of
> > > > the discussion will be about the relevence of how AB (and
Fred)
> > > > calculate Equity curves, PositionSizing, compounding along
with a
> > few
> > > > other subjects. It all revolves around how AB is used as a
tool
> > for
> > > > trading.
> > > >
> > > > Lets talk about moving the thread after I post it.
> > > >
> > > > Phsst
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser
<s9kaiser@xxxx>
> > wrote:
> > > > > At 06:02 PM 04/12/2003 +0000, you wrote:
> > > > >
> > > > > > > I am curious if the methodology of limiting position
sizes
> > to
> > > fixed
> > > > > > > dollar amounts is something you actually do.
> > > > > >
> > > > > >Fred and others,
> > > > > >
> > > > > >Later tonight or tomorrow I will start a new thread with a
> > Subject
> > > > > >line called "Trading in Real Life". And in that thread we
can
> > discuss
> > > > > >actual trading methodologies along with the applicability
of
> > > > > >Amibroker's backtesting capability as it applies to actual
> > trading.
> > > > > >
> > > > > >Maybe I'll learn something... or maybe others will learn
> > something.
> > > > > >
> > > > > >If there is active participation, it could be a long
running
> > thread
> > > > > >because I have several issues to discuss but I don't want
to
> > saturate
> > > > > >any one post with more than one trading/Amibroker issue.
> > > > > >
> > > > > >It is a pretty day here and I have some non-computer
> > activities that
> > > > > >need attention.
> > > > > >
> > > > > >If you are interested in this new thread... just imagine an
> > > > > >automotron's warbling electronic voice beckoning you with
the
> > > words...
> > > > > >"Would you like to play a game?".
> > > > > >
> > > > > >Later,
> > > > > >
> > > > > >Phsst
> > > > >
> > > > > Phsst, Fred, Dingo, Steve / all
> > > > >
> > > > > Why don't we continue these trading system and performance
> > measure
> > > > > discussions over on the Amibroker-TS group? It was set up
to
> > discuss
> > > > > trading systems and we could get the TS traffic away from
> > the "how
> > > > do I use
> > > > > AB" traffic here. It has been nearly unused for a couple
months
> > > and is
> > > > > available.
> > > > >
> > > > > http://groups.yahoo.com/group/amibroker-ts/
> > > > >
> > > > > Cheers
> > > > > Sid
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > ---
> > > > > Outgoing mail is certified Virus Free.
> > > > > Checked by AVG anti-virus system (http://www.grisoft.com).
> > > > > Version: 6.0.465 / Virus Database: 263 - Release Date:
> > 03/25/2003
>
>
>
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