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Hi Fred,
this system unfortunately cannot be tested yet in AB,
because it uses a different scanner and backtester concept.
I'll try to explain the idea behind it (BTW, I already had
written about this idea here some weeks ago):
The system computes a score for each stock meeting minimal
criteria (ie. the usual "Filter=..." in AFL) for each day. The score
is calculated from some indicator values, and it is the heart
of the method. And now comes the difference to AB: it sorts
the list using the score field, and takes the first n from top of
the sorted list (or from the end if trading short). Also the
backtesting is done in a program of my own.
I can send you a CSV file of all trades it does in the backtesting,
which you can analyze in Excel if you like, let me know.
BTW I've tested it on the current 100 N100 stocks only yet
(backtesting such a system takes much longer than in AB).
In this concept n positions (n different securities) are opened
today and closed tomorrow, and this is repeated for all trade
days. It can deal with both long and short trades, also a
mixture for the same day is possible (if that ever makes sense :-)
The backtesting results degrade the more securities one takes;
ie. more than 4 is not recommended, esp. if one takes also the
commission into account.
I wrote about the following today in an other posting:
If I only had additionally a subsystem which is specialized on
some of the market indices and which has a hit ratio >= 57% over
a timespan of about 2 yrs, then combining them together would
bring a magnitude of much more profit than the current values.
UM
----- Original Message -----
From: "Fred" <fctonetti@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, April 30, 2003 7:13 PM
Subject: [amibroker] Re: Systems for indices
> 851 what ? 495% of what ? 2.8% what, Max DD's ?
>
> I'd love to see the AB Report for this system with all the details
> except the system formula and at least have some assurances that when
> you hit the check button that it says no future information is being
> looked at before I comment further ...
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > Anthony,
> >
> > I was meaning that the prediction should be done
> > using a real world system which takes care of indicator
> > values etc. Simply said, using a "normal" system, but which
> > is specialized on one index or ticker only and gives for
> > each day an up/down forecast. If this is done for all trade
> > days and over a longer periode then the statistics (hit ratio)
> > will give a good indication on the overall quality of the system.
> > So, what is the difference of this approach to "normal" systems:
> > - here the system has to predict the outcome of every trade day
> > (this is mostly not the case with usual systems; they enter a
> > position and stay longer than a day in the trade)
> > The chance is of course 50:50, but I'm a believer that this should
> > be improvable using TA,FA, maths etc.
> >
> > I'm currently testing such a system which has a hit ratio (correct
> > prediction of the next days outcome as up OR down for all in N100)
> > of about 56%. Somewhere I had read (I think it was in Jeff Cooper's
> > book) that he on average has a hit ratio of more than 60%. Such a
> > beast I would like to have.
> >
> > BTW, the 56% hit ratio translates to about 851 to 495% profit since
> > 10/1/2001 (that's in 19 months; for simplicity without counting
> commissions)
> > depending on the number of securities one trades per trade (1 to 5
> tested).
> > The risk is about only 2.8% of the initial cash.
> >
> > Using a smaller period in the indicators used within the code
> increases
> > the chances but at the same time also the risks (what else? :-). It
> brings
> > even 1039 to 393% (again for 1 to 5 securities per trade), but the
> risk now is
> > about 11.6% of the initial cash.
> >
> > So, if the results are good also for other and longer time frames,
> then
> > I think I've found the Holy Grail (HG), don't you think so? :-)
> >
> > UM
> >
> > ----- Original Message -----
> > From: "Anthony Faragasso" <ajf1111@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Wednesday, April 30, 2003 3:23 PM
> > Subject: Re: [amibroker] Systems for indices
> >
> >
> > > No....I believe studies have been done...I have also prepared my
> own
> > > explorations in AMI which shows
> > > Generally that it is 50 / 50 ( with a slight bias to
> up ....ex..52 / 48..
> > > etc.) where the next day will close ...up
> > > or down....
> > >
> > > looking back at the past data....we then are looking for
> Patterns ( I have
> > > created explorations in AMI to do this also ) which gives the
> probability of
> > > the following.
> > >
> > > Example:
> > >
> > > Will Monday close up if Friday is less than thursday, or Friday
> is greater
> > > than Thursday..
> > > Will Monday close Down if Friday is less than Thursday, or Friday
> is greater
> > > than thursday.
> > >
> > >
> > > HIT RATIO;
> > >
> > > Simplified example:
> > >
> > > 9 wins * $ 1.00 = $ 9.00
> > > 1 loss * $ 10.00= (- $ 10.00 )
> > >
> > > TOTAL...............= ( - $ 1.00 )
> > >
> > > It should be the Quality of the Wins in relation to the Losses.
> > >
> > > 1 win * $ 10.00 = $ 10.00
> > > 9 loss * $ 1.00 = ( - $ 9.00 )
> > >
> > > TOTAL..............= $ 1.00
> > >
> > > Anthony
> > >
> > > -------Original Message-------
> > >
> > > From: amibroker@xxxxxxxxxxxxxxx
> > > Date: Wednesday, April 30, 2003 6:25:25 AM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: Re: [amibroker] Systems for indices
> > >
> > > BTW, reducing (atomicing) any system development, and also
> > > the backtesting, to this absolute main goal (predict the next day
> > > as up or down) makes IMHO everything much simpler and also
> > > more reliable. Ie. the quality of any system should be measured
> > > in how its "hit ratio" on average is, based on daily data of the
> past.
> > > Not less and not more is required to develop a good system.
> > > One should concentrate all efforts on this single issue only, ie.
> > > trying to achieve the highest possible hit ratio on average.
> > > Isn't it?
> > > UM
> > >
> > >
> > >
> > > ----- Original Message -----
> > > From: <uenal.mutlu@xxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Wednesday, April 30, 2003 11:54 AM
> > > Subject: [amibroker] Systems for indices
> > >
> > >
> > > > Hi,
> > > > I'm looking for systems which can predict on a daily basis
> > > > whether a specific index will rise or fall the next day.
> > > > It would be good if the hit ratio were >= 57 % on average
> > > > for past data.
> > > >
> > > > For example for any of the following indices:
> > > > Nasdaq composite (^IXIC)
> > > > Nasdaq100 (^NDX)
> > > > Standard&Poors500 (^SPX)
> > > > Dow Jones Industrial (^DJI)
> > > > or for any other index (fe. ^SOXX, ^BTK, ^XAU ...)
> > > >
> > > > Thx,
> > > > UM
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