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What I
was thinking about was doing the "optimized exploration" on some
prequlified basket of symbols - one symbol at a time and exporting
those stats based on equity. Then in a spreadsheet / program evaluate those
stats and come up with some sort of ranking mechanism. Granted
AB can't do anything with the results. But until it can at least I've got
the beginnings of method for selecting the best candidates to
trade.
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-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx] Sent: Sunday, April 13, 2003 4:13
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Real World Systems
Dingo,In the past when I had
included Expectancy as part of the calculations in the EquityLine
generation it required the Buy/Sell/Short/Cover array. This was the
only statistical item present in that indicator that required those
arrays so as a result of removing that statistical item I have also
removed the references to that B/S/S/C Arrays. It now only depends
on Equity() or ~CompEquity in the case of wanting to run a similar version
for Composites/Baskets/Portfolios etc. The problem of course is that
because AB still allows one to be more then 100% invested using
Portfolios the reporting is not accurate for those.Fred---
In amibroker@xxxxxxxxxxxxxxx, "dingodigital" <dingo@xxxx> wrote:>
My stupid email provider is down and I'm having to post this via >
browser. > > Anyway, I'm very interested in participating in
this thread so bear > with me.> > Fred, what does RUTTR
stand for - for those of use not FT certified?> > Regarding your
ranking comments - I asked tj this am to provide an > example of how
the new "for" construct could enable us to build > an "optimizer" but
running it in an Exploration. He provided one and > my thinking is
that this will lend itself to using some other data > for
ranking/evaluation via the use of Addcolumn's.> > My question to
you is (since I don't know your equity code well > enough): Given the
new functionality as desribed above - couldn't we > now use your
equity code and export those items that we might be > interested in?
For example = your MAR, K ratio, etc? If so we can > manipulate them in
code or an Excel spdsht.> > If this is now possible it really
opens the door for ranking > experiments.> > d>
> --- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxxx>
wrote:> > Sid,> > > > One of the things that
clearly does work are at least some of the> > generalized principles
that have been presented on FT-Talk and/or > its> >
predecessors and there is probably no reason why these types of >
things> > could not be morphed into using with stocks but the risk
associated > with> > stocks in general is that although
they quite often bring higher > returns> > they also have
inherently more risk.> > > > Any way the concepts in
general that I am referring to include:> > > >
1. A simple market timing system a la RUTTR or
some variant or> > SIMPLE replacement for that. Hardly the
best system in the world > but> > hardly the worst.>
> 2. The ranking of trading vehicles, whether
they be stocks or > MF's> > based on something like MAR i.e.
CAR / MDD during the periods of > time> > that your simple
market timing system is on a buy or the inverse of > that>
> if you allow shorting as well. This allows for the strongest
> trading> > vehicles to be taken advantage of during buy
periods and the weakest> > ones to be taken advantage of during
sell periods.> > 3. The trading of or
possibly even sub timing of those individual> > trading vehicles
based on some shorter term buy / sell criteria.> > > > The
problem at the moment from an AB perspective is that I don't >
believe> > all the pieces are in place to write the code to do this
sort of> > analysis.Send
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