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Bob:
Thanks for the references. The tone
of the reply is one that certainly will encourage other beginners to share
their thoughts and ideas$B!D(Bbut maybe Real World systems is just for experienced
hardened veterans. I will stay quiet and read from now on, not wanting to
waste others$B!G(B time mentioning stuff that has been known for years. As I
recall, the person who suggested this thread wondered why there was so little
response initially$B!D(B..
Ken
-----Original Message-----
From: Bob Jagow [mailto:bjagow@xxxxxxxxxxx]
Sent: Sunday, April 13, 2003 9:19
PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Real
World Systems - Multiple Sub Signals
<span
>What's to mention, Ken?
<span
>
<span
>The other platform pushed those
binary indicators from DOS days, so most MetaStock users teethed on
them.
<span
>Dave Evans, founder of a trading
group I'm involved with, propounded them and often posted re
them on SI's
Technical Analysis - Beginners
<span
>Jim Greenville details a system that he has
evolved over the years at http://www.geocities.com/jimginva/
Bob
<span
> -----Original Message-----
From: Ken Close
[mailto:closeks@xxxxxxxx]
Sent: Sunday, April 13, 2003 1:51
PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Real World
Systems - Multiple Sub Signals
Multiple
Sub Signals: - here is a real world trading approach that I have never seen
mentioned here. I would like to get some reaction. This is based on
some real world trading that is happening on another platform that I am helping
port over to AB.
The idea is to have signals for multiple
subsystems and then take your trading signal when a majority of the subsignals
$B!H(Bline up$B!I(B.
For discussion purposes, visualize a mov
avg cross over AND
A volume oscillator AND
An advance decline curve AND
Perhaps a VIX type signal.
If you let each one be a buy or sell,
and call each S1, S2, S3, S4
then your buy statement could be
Buy = S1 AND S2 AND S3 AND S4.
This might be a little too stringent, so
perhaps you code it to give a buy if 3 of the 4 signals are a buy and you do
not care which ones.
In the work that I am doing with this
approach, I am seeing that each S(i) has a return and a dd over a long period
of time, but as you add combinations of the signals, the return increases a
little bit but the dd seems to drop and drop quite a bit. An example
might be returns for each one individually of say 8-10% CAR and 13-15% dd, but
when 3 out of 4 are combined as I describe above, the resulting return might be
9-12% CAR and 6-9% dd. These are not barn burners, and those
seeking or actually trading 50-100% CAR systems will laugh as they hit delete,
but for some folks who are risk adverse, or managing retirement portfolios, or
whatever, this kind of approach might have some appeal.
In the work I have done so far, there
has been NO OPTIMIZATION of the parameters within the subsystems. Any In
sample period compares favorably with OOS periods. The results look
steady over 12 years of data, with variations due to changing market
conditions. (I am not sure $B!H(BIS and OOS$B!I(B apply when no optimization has
been done, but what I mean is that breaking the total time period up into
sections shows no real degradation or $B!H(Bblowup$B!I(B of one period relative to the
other.)
The details of the subsystems are not
the issue here—what I am raising is the question of the drawdown dampening
effect of the combination. Is this a mathematically correct thing to
expect? Does moving in this direction promise dd reduction?
Assuming you select subsystems that are not highly correlated, should you not
expect improvements in the combination that are not possible in the single
subsystems?
Any comments? Build-upons?
What?
Ken
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