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Chuck,
I looked at the TradeSim Slide Show. The interface seems to require
Metastock for data and indicator plug-in. So how is the AB backtest
export file interfaced into TradeSim? And does it work without Metastock?
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> If anyone is interested in Monte Carlo Simulation, it is possible to
take
> the backtest output from AB into something called TradeSim which
will give
> you 1,001 reports including a very high-powered MCS capability. I
probably
> do 20 to 30 MCS runs a day using TradeSim with AB exported data.
>
> TradeSim is available from: http://www.compuvision.com.au
>
>
> -----Original Message-----
> From: markf2 [mailto:feierstein@x...]
> Sent: Thursday, April 17, 2003 10:55 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: The request for "variable" period functions
>
>
> And as for MCS, it stands for Monte Carlo Simulation. MCS can give
> you a distribution of potential future outcomes if the inputs are
> representative of how the system will perform in the future. In broad
> terms, if the basket of trades from your system test is representative
> of the system's population of future trades, MCS can calculate a
> distribution of drawdowns and profits based on 10,000 (or however many
> you want) different equity curves simulated from that basket of trades
> given your money management parameters. From that you can estimate
> the probabilities of different profit/loss levels. You can also do
> this for groups of stocks to make portfolio drawdown and profit/loss
> distributions. This is more "forward-looking" and multidimensional
> than portfolio backtesting and pyramiding on historical quotes.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > The AMA or AMA2 .vs. EMA will give you a simple view of the
> > differences in potential.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> > > Well, Mark, I have to admit I know nothing about adaptive
> > indicators, so obviously I haven't ever tested them. In fact, I
don't
> > even know what an MCS is (I hate acronyms, and I've worked for the
> > Government all my life!!)! I have tested various position sizing
> > algorithms, as I'm a firm believer in position sizing as a means of
> > controlling risk. All I know is that portfolio backtesting and
> > pyramiding are tops on my wish list and have been ever since I
bought
> > AB back in Nov of 2001, and judging from many posts in the far and
> > near past, I think there are lots of others who are anxiously
> > awaiting this feature, too. Since the topic of adaptive indicators
> > was only introduced for the first time yesterday, I believe, I was
> > just thinking that perhaps it hasn't been a top priority on many
> > people's wish lists. I will gladly concede to you and others if I'm
> > wrong, since I still consider myself a rank beginner in AFL as well
> > as trading in general. Tell me more about adaptive indicators and
> > what their advantages are over static ones. Maybe give some
examples?
> > Thanks.
> > >
> > > Al Venosa
> > > ----- Original Message -----
> > > From: markf2
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Thursday, April 17, 2003 9:50 PM
> > > Subject: [amibroker] Re: The request for "variable" period
> > functions
> > >
> > >
> > > Really? Have you done much testing with adaptive indicators?
> > Have
> > > you ever tried position sizing with MCS (which is much more
> > powerful
> > > and versatile)?
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx>
> > wrote:
> > > > I wholeheartedly agree with Jerome. Portfolio backtesting and
> > > pyramiding, in my opinion, are much more important that
> > introducing
> > > more indicators, dynamic or not. I sure hope this new task, if
> > > adopted, does not distract or slow down Tomasz from developing
> > what I
> > > think lots more people wish to have as part of the AB engine. My
> > > opinion, FWIW.
> > > >
> > > > Al Venosa
> > > >
> > > > ----- Original Message -----
> > > > From: Silvarius
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Sent: Thursday, April 17, 2003 4:12 PM
> > > > Subject: RE: [amibroker] The request for "variable" period
> > functions
> > > >
> > > >
> > > > I second Dimitris in his Opinion. Portfolio backtesting
> > > enhancement is much more critical IMHO.
> > > >
> > > > Best regards, Jérôme ULRICH
> > > > -----Message d'origine-----
> > > > De : DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> > > > Envoyé : jeudi 17 avril 2003 21:41
> > > > À : amibroker@xxxxxxxxxxxxxxx
> > > > Objet : [amibroker] The request for "variable" period
> > functions
> > > >
> > > >
> > > > Everybody asks for variable period possibilities, as
if AFL
> > is poor
> > > > in this logic.
> > > > Let us take a closer look :
> > > > Variable Period smoothing functions:
> > > > MA, DEMA, TEMA do accept variable period.
> > > > The remaining EMA can accept through EMA(ARRAY,PER)==AMA
> > (ARRAY,2/
> > > > (PER+1))
> > > > Is there any other type of smoothing used in your
> > formulas ???
> > > > RSI works through RSIA, CCI works through CCIA
> > > > MACD through above described EMA.
> > > > What is next?
> > > > How about StochK and StochD with variable per ?
> > > > Perhaps you do not know that you can do it NOW in pure
> > AFL !!
> > > > The HHV and LLV functions work fine with variable period.
> > > > per=10+cum(1)%20;
> > > > StochKa=MA(100*(C-LLV(L,per))/(HHV(H,per)-LLV(L,per)),3);
> > > > StochDa=MA(MA(100*(C-LLV(L,per))/(HHV(H,per)-LLV
> > (L,per)),3),3);
> > > > Is ther any other function you would like to see with
> > variable
> > > > period ?
> > > > Search first the definition and then see if it already
> > exists in
> > > your
> > > > AFL potential.
> > > > It is better to know the definition of a Stochastic,
before
> > asking
> > > > fast software upgrades-enhanchments.
> > > > In my opinion, the lack of definition will always confuse
> > the user,
> > > > with fixed or variable period.
> > > > Dimitris Tsokakis
> > > >
> > > >
> > > >
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