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OK... got it!
I now realize that my inability to 'relate' to certain posts about
trading is that I fail to recognize that other people often have
trading styles very different from my own. I am going to try to take
that into account in the future.
Some examples:
Measuring drawdowns - The way that I trade, the terms 'drawdowns' and
'actual losses' are pretty well synonymous. Tight trailing stop loss
orders take me out of a position at the same level that a drawdown
would be measured. And my backtested systems reflect the trades
exactly as I experience them in real life. So theoritical drawdown
measurements don't have (as) much meaning to me as they do to others
who have longer holding periods along with more room for adverse price
movement.
More potential trades than capital - I do not attempt to trade in a
compounding fashion, but rather use fixed a positionsize with an
account that can support a large number of simultaneous trades if
necessary. Others appear to want to use positionsize compounding that
would put more of a squeeze on available capital for larger number of
trades.
As far as ranking to find more likely winners along with a managable
number of trades, isn't that just a natural part of the filtering
process we all use to develope our systems?
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> What Fred is talking about is how to figure out what trades to take if
> you have more potential trades than you have captial. You say winners
> are winners but are some winners better than others? If you're going to
> invest your hard earned capital don't you want to pick the biggest
> potential winner you can? If you agree then how do you do it?
>
> That's it...
>
> d
>
> -----Original Message-----
> From: phsst [mailto:phsst@x...]
> Sent: Wednesday, April 23, 2003 12:20 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: TradeIt
>
>
> > There are a variety of methods that can be used for ranking that help
> > to pick the more likely "winners" as it were depending on how one
> > defines winners.
>
> How many ways are there to define winners? My definition is pretty
> simple... a 'winner' puts profits in my account. And a 'loser' takes
> money from my account.
>
>
> > This might take the form of highest CAR with lowest
> > MDD's or lowest UI during the time of previous in the market
> > signals. There are several formulae for that can be used including
> > AccuTrack, NCAlpha and others which would be well known to the
> > FastTracker's who could probably explain them and their uses better
> > than I.
>
> >Fred,
>
> I'm sorry Fred... I don't get it! Where it concerns backtesting, a
> winner is a winner, is a winner... and a loser... is a loser... Simply
> put... I don't get what the heck are you talking about? But then I
> admit to often times missing the obvious.
>
> Phsst
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > There are a variety of methods that can be used for ranking that help
> > to pick the more likely "winners" as it were depending on how one
> > defines winners. This might take the form of highest CAR with lowest
> > MDD's or lowest UI during the time of previous in the market
> > signals. There are several formulae for that can be used including
> > AccuTrack, NCAlpha and others which would be well known to the
> > FastTracker's who could probably explain them and their uses better
> > than I.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > > What methods of ranking would you try? Have you played with this
> > any?
> > >
> > > d
> > >
> > > -----Original Message-----
> > > From: Fred [mailto:fctonetti@x...]
> > > Sent: Tuesday, April 22, 2003 12:54 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Re: TradeIt
> > >
> > >
> > > Sid,
> > >
> > > The initial problem with trying to process Equity() for a portfolio
> > > model today is that AB does not limit one to being 100% invested so
> > > for example if one has $1mm in Equity and is doing trades of $100K
> > > each, if AB finds 50 trades that it can take today, it will take
> > them
> > > all regardless of what is checked or not in the options. This of
> > > course would make one 500% invested so as a result there's no good
> > > way to analyze the equity curve. Beyond that of course to do real
> > > portfolio analysis and trading one should have the capability to
> > rank
> > > issues via some algorithm and then trade those at any given point
> > in
> > > time from the top of the list down until one is either fully
> > invested
> > > or drops below some criteria etc.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser <s9kaiser@xxxx>
> > wrote:
> > > > At 08:26 AM 04/19/2003 -0700, you wrote:
> > > >
> > > > >While we wait for TJ to design and code some portfolio testing
> > > capability
> > > > >for AB, has anyone tried some of the alternatives such as
> > TradeIt?
> > > > >
> > > > >Chris Kryza wrote TradeIt as a post processor for AIQ trades two
> > > or three
> > > > >years ago and I used it a few times back then. It accepts trade
> > > data in
> > > > >CSV form so the thought occurred to me that it might be possible
> > > to export
> > > > >AB backtest data and run TradeIt on that data.
> > > > >
> > > > >Before I spend a bunch of time trying to get it to work I would
> > > like to
> > > > >know if someone has already looked at using TradeIt with AB
> > trade
> > > > >data. If so:
> > > > >
> > > > >1. did it work
> > > > >
> > > > >2. how difficult was it to adapt it
> > > > >
> > > > >3. were the results worth the effort involved
> > > >
> > > > TradeIT is not the worlds greatest portfolio trader, just an
> > > available
> > > > example that had possibilities for adaptation to AA output.
> > > >
> > > > I dug into the adaptation issue some this weekend. The output
> > from
> > > AA
> > > > backtest can be rearranged to fit the input fields of TradeIT
> > with
> > > some
> > > > help from an intermediate modification in Excel. Unfortunately
> > > there is
> > > > one problem I have not been able to overcome. There is no
> > > information
> > > > available from AA about price or equity movement between trades.
> > > This
> > > > information is essential to creating a comprehensive report from
> > > > TradeIT. (see TradeIT sample file for data input fields)
> > > >
> > > > I believe Fred Tonetti also mentioned this as serious deficiency
> > in
> > > one of
> > > > his previous posts about the limitations of what he can calculate
> > > in his
> > > > expanded equity indicator. You can't get there from here with
> > the
> > > present
> > > > information coming out of AA.
> > > >
> > > > As a side issue, I am reminded once again that I want to be able
> > to
> > > specify
> > > > additional calculated columns in AA backtest display. For
> > example,
> > > I might
> > > > want to include MAR = CAR/MDD as a column or ( more complicated )
> > > include
> > > > data on max or min excursions of various data columns as part of
> > my
> > > AA
> > > > results. It would also be helpful to be able to specify which
> > data
> > > columns
> > > > are displayed and specify their display order. Finally, being
> > able
> > > to
> > > > optimize based on something like UPI or MAR would save me time
> > and
> > > improve
> > > > optimization results by offering alternatives to only optimizing
> > on
> > > max profit.
> > > >
> > > > Comments?
> > > > Sid
> > > >
> > > > At this point I guess the best we can hope for is to get TJ to
> > read
> > > the
> > > > TradeIT documentation for ideas on features to incorporate in his
> > > proposed
> > > > portfolio tester.
> > > >
> > > >
> > > > ---
> > > > Outgoing mail is certified Virus Free.
> > > > Checked by AVG anti-virus system (http://www.grisoft.com).
> > > > Version: 6.0.471 / Virus Database: 269 - Release Date: 04/10/2003
> > >
> > >
> > >
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