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<FONT face=Arial color=#0000ff
size=2>Aberation requires about six lines of AB code and, to my knowledge,
Trading Recipes is no longer being marketed. I wrote to them about
six months ago, offering to re-write it in for Windows (the last release was for
DOS) for nothing. They told me that the company was being wound up
and that there was no interest in producing a Windows version. Perhaps I
was given the wrong information?
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Thursday, April 17, 2003 3:06
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] FW:
[aaft_ta] Re: TradingRecipesThose comments apply more
to futures trading because of the inherent leverage then they do to stocks
or mf's. As far as Aberration goes, I'd suggest that anyone
interested check out the DD's. For some reason the code is still being
sold for in the $1000's, to whom I'm not sure, even though it's a
relatively simple, straight forward not terribly good system. I've
seen lots of reviews from successful traders about TR and have long since
done my own testing on fixed fractional and optimal-F position sizing and
IMHO none of these approaches are worth much although people continue to
write books and sell software for them.--- In
amibroker@xxxxxxxxxxxxxxx, "Bob Jagow" <bjagow@xxxx> wrote:> Re
the "portfolio level testing" magic bullet.> > Bob>
-----Original Message-----> From: Palmer Wright
[mailto:palmerw@xxxx]> Sent: Wednesday, April 16, 2003 8:27 PM>
To: aaft_ta@xxxxxxxxxxxxxxx> Subject: Re: [aaft_ta] Fwd: Re: Available
Portfolio testing programs for> TS2000i> > >
Since Michael forwarded the two messages (see below), he added four>
additional ones. The issue about whether a "basket system" like
Aberration> is worth trading I will not discuss here (I still trade
it). The other main> issue is about the effect of compounding when
testing with TR (Trading> Recipes), and I comment here on
that.> > Traders buy TR because it can test portfolios of
systems and markets using> position sizing. A position-sizing
strategy such as fixed-fractional money> management brings two
advantages: it normalizes markets (eg., calculating> many contracts
for corn, but few for natural gas), and limits entry risk for> each
position to a fixed- fraction of current equity--thus preventing>
overtrading. If you do not use TR, I do not know how you can get the
large> returns that compounding multiple markets can bring.>
> Leslie Walko points to the potential danger of curve fitting caused
by> compounding. I agree, and have been concerned for years about
how one market> in a portfolio (commodity X) by being dramatically
profitable in a single> year can misleadingly bias the results of
the whole portfolio.> > During a multi-year test in TR, starting
equity is low, perhaps $100,000,> but compounding raises equity to
many million in later years. The one-year> outperformance of
commodity X cand produce two kinds of curve-fitting bias:>
early-years bias and end-years bias. Mark Johnson's message describes
the> first, where X gives "a big turbocharged boost" to the portfolio's
equity,> which then gives a head-start boost to the number of
trades in all the> commodities traded. The second occurs when X's
monster trades occur in the> final years of the simulated time
period when the large number of contracts> makes X's profit far
larger than if its big year came early. Here the> profits
contributed by X dwarf what they were in the first case.> > As
the message from M points out, we can avoid such biases by
normalizing> with a fixed-dollar bet size in testing to remove the
galloping equity> effect. I proposed this method in 1999, and still
use it to compare with the> compounded performance. I confess,
however, that my testing has failed to> find as much performance
bias as I suspected I would find. The method is> most important
when selecting markets for a portfolio.> > Palmer
Wright> ----- Original Message ----->
From: Michael Guess> To:
aaft_ta@xxxxxxxxxxxxxxx> Sent: Sunday, April 13, 2003 9:14
AM> Subject: [aaft_ta] Fwd: Re: Available Portfolio testing
programs for> TS2000i> > > This is
for Pat Mazur & Palmer Wright. Others are invited to comment.
I> forwarded these two messages from another list because we have
discussed> these issues in the past. It appears one of the posts is
saying Trading> Recipes is in error in the way it calculates. In
fact, that it curve fits> data in a particular case. Comments are
invited.> > Michael> >
> Yahoo! Groups Sponsor>
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