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UM,
Disregarding trading costs I like #4 the best. It has the smoothest
equity curve, the lowest DD's and a roughly equal CAR to MaxDD that #2
does. It would appear in looking at the spreadsheets that your system
trades same day at the close and while I don't have a problem with this
conceptually as I do it all the time myself, I would think that in order
to successfully trade a system like this that you'd have to have a good
real time data feed to be making analysis near close of business and at
least some electronic means of making trades. Even with these
prerequisites one might find it a little difficult depending on how much
the ranking changes near end of day to get the correct trades set up and
submitted. Additionally I would agree with the fact that as far as
successful short term end of day oriented trading goes that one doesn't
need to know too much more then whether tomorrow will be up or down.
The only gotchas in this regards to trading stocks are of course the
after hours earnings surprises.
Best regards,
Fred
-----Original Message-----
From: Uenal Mutlu [mailto:uenal.mutlu@xxxxxxxxxxx]
Sent: Wednesday, April 30, 2003 8:25 PM
To: ftonetti@xxxxxxxxxxxxx
Subject: UM_SysLog.zip
Hi Fred,
Attached is UM_SysLog.zip. There are 5 backtesting
result files; for 1 to 5 securities traded each day respectively.
FYI: the universe is the N100, and the test period
is 10/1/2001 to 4/28/2003. US locale settings
were used (ie. Date format).
Columns have long and IMHO self explanotory names.
Initial capital is 50000. Commission was not accounted.
And, every day the whole capital is used by evenly distributing it
over the set number of securities to trade; to achieve this, and
also to make things simpler, fractionaly quantity of shares were
allowed (ie. you can buy fe. 500.78 shares).
If you think there belong some more fields to the resulting table
let me know please.
UM
----- Original Message -----
From: "Fred" <fctonetti@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, May 01, 2003 12:18 AM
Subject: [amibroker] Re: Systems for indices
> You can send me the .CSV if you want ... ftonetti@xxxxxxxxxxxxx
>
> Hopefully it would be organized by symbol and would have a B or S and
> a MM/DD/YY after it or something like that to be easy to deal with.
>
> If you send it tell me also whether you're compounding or not and if
> not what your initial equity is and fixed position size is.
>
> I would think if all your wanting in a subsidiary system is to have
> one that is optimized for being correct the largest % of the time as
> to whether some index like SPX was going up that this wouldn't be
> horrendously difficult to get above 60%, but maybe I don't fully
> understand your wish.
>
> --- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > 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@xxxx>
> > 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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