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In regards to profits from any given system, as a standalone number
they are meaningless without at least knowing what the initial equity
is and over what timeframe those gains happened i.e CAR ... As Warren
Buffet said when asked how to become a millionaire, first you start
with a BILLION dollars and then you buy an airlines.
In addition, no offense but I never trade any system without knowing
what the tests showed the DD's to be which are measured as the
largest percent loss from max equity at any point in time to current
equity at any future point in time and can probably now be calculated
correctly in portfolio trading scenarios using ABTool.
--- In amibroker@xxxxxxxxxxxxxxx, "amiabilityy" <amiabilityy@xxxx>
wrote:
> Fred i use it as a tool to confirm if my ranking formula is
> profitable.
>
> If i get 20 buy signals on a day , which ticker do i select,
>
> so i test different ranking formulas, with my buy and sell
> conditions,from the ami exploration and then test if it was
> profitable in excel.
>
> If the results were good i will then know which ticker to select
> from my exploration, for the next days trade, if multiple buys had
> occured,
> by choosing the ticker with the highest ranking value.
>
> If i trade more than 1 ticker, i would also select the second
> highest ranking.
>
>
> I have had profit results much higher than $1000,000,000, in 1
> sheet, but
> i dont expect to get this result in real life as i would not be
able
> to place that amount in 1 trade.
>
>
> So if i see a result as above, i would assume that the highest
rank
> of my buy and sell conditions,would be a good choice for the next
> trade signal.
>
> Peter.
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "amiabilityy" <amiabilityy@xxxx>
> wrote:
> > Hi fred,
> >
> > It still needs some work,
> >
> > At the moment it it only contains
> >
> > START DATE END DATE FINAL EQUITY PER OF WINTRADES
> > MAXLOSSTRADE MAXWINTRADE
> >
> >
> > The data is only the data from an exploration, so it does not
> > contain the data of e.g.
> > if there a are 200 different tickers in the sheet it would not
> have
> > the whole history of all these 200 tickers,
> > It only contains the data of the buy day and sell day,( the
data
> > needed to calculate the profits, the rank data, buy and sell
dates).
> > The buy and sell data of a completed trade of a ticker, from the
> ami
> > exploration is in 1 row.
> >
> > wouldnt the draw down be able to be worked out from the profit
and
> > loss results, as it is testing multiple tickers which is
basically
> > like testing 1 ticker.
> >
> >
> >
> > 2) The overlapping dates is handled correctly,
> >
> > the buy date is sorted first in descending order, and the rank
> > value
> > is the second sort order, so if 20 different tickers buydates
> fall
> > on the same day ,then the ticker on the day with the highest
> ranking
> > will be the first selection.
> > The rank is in ascending order.
> >
> >
> > the highest rank is kept in sheet 1,
> > the next ticker to be kept on sheet 1 will need a buydate that
is
> > greater than the previous sell date.
> >
> >
> > So The the rank value will be used as the first choice if there
> are
> > more than 1 ticker with the same buydate.
> > Then by comparing the buy date to the previous rows sell date,
> > If the buy date is less than or equal to the previous tickers
> sell
> > date , it will be placed on a new sheet.
> >
> > The first sheet now contains no overlapping dates.
> >
> > This is repeated for the other sheets.
> >
> >
> > I would need to add code to control the amount traded.
> > At the moment it compounds, but will stop trading, when the
equity
> > of the last trade was around $1000.00
> > I was also thinking of using a percentage of the volume*close
of
> > the previous day as a maximum value to trade if the equity was >
> than
> > that value.
> >
> >
> >
> > Peter.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > A few statements and / or questions with regards to DYNAPORT.
> > >
> > > 1. Does it have available to it all price history of what ever
> the
> > > trades were without which DrawDowns can NOT be calculated.
> > >
> > > 2. Does it properly handle overlapping trades ?
> > >
> > > 3. How does i keep one from being > 100% invested ?
> > >
> > > etc. etc. ...
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "amiabilityy"
> <amiabilityy@xxxx>
> > > wrote:
> > > > Ken
> > > > if you have excel , try the DYNAPORT.ZIP file i uploaded.
> > > >
> > > >
> > > > Peter.
> > > >
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx>
> > wrote:
> > > > > Fred: does your message mean that a "system" that buys and
> > sells
> > > > say,
> > > > > the top ranked stock when a buy signal is issued (the Buy
> logic
> > > > being
> > > > > different than the score logic).....that such a system can
be
> > > > BACKTESTED
> > > > > using this ABTool? Is that what you are saying?
> > > > >
> > > > > Ken
> > > > >
> > > > > -----Original Message-----
> > > > > From: Fred [mailto:fctonetti@x...]
> > > > > Sent: Monday, May 05, 2003 9:17 PM
> > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > Subject: [amibroker] Re: ABtool v0.0.5 beta - What is this
t
> > hing?
> > > > >
> > > > > nand,
> > > > >
> > > > > From my limited knowledge and experience ABTool appears to
> > allow
> > > > > writing to a file almost anything anyone could want which
> could
> > > be
> > > > > used for example to "score" an entire WatchList bar by bar
as
> > to
> > > > the
> > > > > liklihood of some particular symbol being a better buy at
> some
> > > bar
> > > > > then another over the entire lenght of their history. This
> > file
> > > > > could then be sorted and "ranked" if you will and used as
the
> > > > driving
> > > > > force for trading or testing a portfolio trading system.
> > > > > Additionally there are new table functions in the latest
> > release
> > > > > which again from my limited knowledge would although they
> would
> > > be
> > > > > faster because they are in memory as opposed to writing to
> disk
> > > > they
> > > > > may also be limited in scope to dealing with the current
> stock
> > as
> > > > > opposed to the entire watchlist. I hope this limited
> > description
> > > > > helps somewhat.
> > > > >
> > > > > Best Regards, Fred
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "nkis22" <nkishor@xxxx>
> wrote:
> > > > > > Can someone please tell me what is this ABTool and
> > > > > > what does it do?
> > > > > >
> > > > > > thanks
> > > > > > nand
> > > > >
> > > > >
> > > > >
> > > > > Send BUG REPORTS to bugs@xxxx
> > > > > Send SUGGESTIONS to suggest@xxxx
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> > amiquote@xxxxxxxxxxxxxxx
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> > > > > --------------------------------------------
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