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Herman, System % Profitable and Profit Factor *together* capture the
essence of an equity curve, IMHO. Play around with Equity Growth
Curve.xls (in the files section), repeatedly hitting f9, and I believe
you'll be convinced. Mark
--- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen" <psytek@xxxx>
wrote:
> Hello,
>
> Regarding Ranking Systems... it is a marvelous idea and last year i
spent a
> lot of time implementing a system. I found, like with so many other
ideas,
> that once you have what you thought was most important someting else
that
> appeared easy turns out to be a big challenge.
>
> Let us assume we have a working Ranking system, the way I see it's
> functioning is that it backtests one or more Trading systems on a large
> number of stocks, it collects statistics, and tables it for random
access
> and sorting. Nice right? All we have to do is pick the best equity
curve,
> with the smallest DD, and what else we treasure. We shuffle the
table, and
> calculate a composite equity curve for the dynamic portfolio created by
> trading only the best n stocks and rotating them to always keep the
top n in
> the portfolio.
>
> Suppose you have that mechanism in place then comes the time to create a
> "Ranking" formula. You recall this has come up a few times before.
This is a
> big challenge. To dynamically switch stocks at 1-3 weeks interval
requires a
> fast acting formula. Equity curves can be just as noisy as stock
prices. I
> tried the standard Equity rating formulas, they are too slow. You
need an
> "Equity-Trading system", something like a trend following system but
more
> responsive.
>
> Anyway, before anybody spends a lot of time developing a Ranking
system it
> might be wise to play with some equity Ranking formulas - because i
think
> these are more difficult to perfect than the mechanics of shuffling
stocks
> and creating composite equity curves. The Ranking mechanism is purily
> mechanical, no real problems to solve; all you need is technical
expertise.
>
> A good Ranking formula is a different story, it is like developing a
trading
> system; it requires some artistry. A Ranking-Machine without a good
> Ranking-Formula is like a car without an engine :-) it won't go very
far.
>
> Herman.
>
>
>
>
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: May 12, 2003 3:19 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Ranking/BackTesting & Optimizing (for Fred)
>
>
> Well if you think about how AA works and specifically optimization
> and backtesting you'll agree that backtesting runs inside
> optimization. By that I mean that for each combination of parameters
> that can be varied in optimize statements the backtester runs it for
> each tradable that's in play whether that's a single stock or 1000
> and it does this by changing the combination and then turn the
> backtester loose on whatever the universe of stocks is. What's needed
> then is to have a scoring & ranking routine that happens prior to
> backtesting really getting underway and that routine needs to run
> completely for all stocks and make the rankings available for the
> bactester to use before the backtester runs for the first stock.
> During the time the backtester is in play you need to have a better
> mechanism then what exists natively for keeping track of the
> portfolio oriented results and when the backtester finishes you need
> a way to invoke a routine to evaluate the bactest. Optionally if
> optimization is in play you might want to have a final evaluation
> routine to rank the evaluations as it were to see which one really is
> the best.
>
> So lets see what we have and what we need in a hierarhical sense.
>
> 1. Optimizer ( Yup we have that ) ...
> 2. A scoring routine that needs to run for all stocks across the
> entire timeline before backtest runs for the first bar of the first
> stock. We don't have this but using the constructs in ABTools we can
> determine what symbol is the FIRST symbol in the watchlist we are
> processing and if it's the same as what the backtester has in play
> then we know the backtester hasn't done anything yet and we can
> sidetrack it by a simple if statement to do the scoring. The results
> of scoring can be kept using a variety of ABTool constructs including
> files, tables or arrays.
> 3. A ranking routine that orders the scores so the backtester can use
> them. We don't have this either but this can either be done on the
> fly with scoring or it could be done in it's entirety once the
> scoring phase is complete. The former solution would be
> significantly more efficient as otherwise all rankings for every
> stock for every bar have to be saved until scoring is complete and
> ranking can get its hands on it.
> 4. A backtester ( Yup we have that, and although it can keep track of
> individual stock results it needs help keeping track of the portfolio
> oriented results ) This part can be done in conjunction with the next
> item but has to be complete before the evaluation routine begins and
> the equity curve is built. It's fairly easy in the backtester to
> keep track of bar by bar percentage changes in whatever we have
> invested in which is by and large enough information to calculate the
> overall effect on the portfolio.
> 5. An evaluation routine that builds the equity curve and optionally
> saves them somewhere for future use in or outside AB. This can be
> done in a similar manner to the way we diverted the backtester in #2
> except this time we want to keep the backtester from invoking this
> code until it has finished processing the LAST ticker. Again another
> ABTools construct.
> 6. Optionally a routine that compares multiple equity curves of
> optimizations.
>
> As far as having code as a reference goes I would agree that this
> simplifies things and even though what I have is functional this is
> still a work in progress. Who knows by next Thursday Tomasz may have
> added all this functionality as plug and play to AB.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "b519b" <b519b@xxxx> wrote:
> > Fred,
> >
> > Well done. I have been looking for a way to do the type of testing
> > in AB that you describe. Would you be willing to post some sample
> > AFL code that show how to set things up so this will work? You
> could
> > remove the code for any trading strategies you do not wish to
> share.
> >
> > I learn something new best by seeing working code that I can use as
> > a model.
> >
> > Any tips or help would be much appreciated.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > Steve,
> > >
> > > As a followup to the post below I'll state that at one point
> > during
> > > the development of a scoring/ranking/backtesting AA I thought
> that
> > > this either needed to be done in multiple AA's i.e. an explore to
> > > score the stocks and rank the scores, a backtest to take the
> > trades
> > > based on the rankings and then an explore to do the evaluation of
> > the
> > > equity curve. This entails three manual steps which could be
> > shorted
> > > to one using OLE Automation but still leaves any desired
> > optimization
> > > sitting on top of the whole process swinging in the breeze or at
> > best
> > > being somewhat "messy" by having an external program batch
> > processing
> > > the modules and supplying information for the optimization. I
> > have
> > > since discovered however a way to put it all together in a single
> > AA
> > > module. Although it would still be nice to have, for me at least
> > > this somewhat obviates the need for a built in AB solution for
> > > portfolio trading for the time being.
> > >
> > > Fred
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > > Steve,
> > > >
> > > > Anything is possible if you write the code for it and Uenal
> > Mutlu's
> > > > ABTool provides a lot of functionality without which it would
> be
> > > > difficult if not impossible to do, hell it was somewhat
> > difficult
> > > to
> > > > do with it.
> > > >
> > > > IMHO replacing stocks is a function of the ranking process i.e.
> > if
> > > > something rises to a higher rank on the list then what one is
> > > holding
> > > > then you switch into the new stock and remove the lowest rank
> > one
> > > on
> > > > the list but this could also be coupled with the proviso to not
> > > > switch until one gets a sell on a particular stock.
> > > >
> > > > Fred
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "steve_almond" <steve@xxxx>
> > wrote:
> > > > > Fred,
> > > > >
> > > > > Chart looks good to me! I'm surprised by your description of
> > the
> > > > > system. I thought that ranking a group of stocks and picking
> > the
> > > > top
> > > > > n for purchase wasn't (yet) possible in AB. How did you
> manage
> > > > this?
> > > > > How do you decide when to replace the current picks with new
> > > picks?
> > > > >
> > > > > Thanks for any pointers.
> > > > >
> > > > > Steve
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti
> <ftonetti@xxxx>
> > > > wrote:
> > > > > >
> > > > > > Steve,
> > > > > >
> > > > > > As an alternative answer to your question ...
> > > > > >
> > > > > > If CAR is the goal with disregard to DD's and NDX (of
> sorts)
> > is
> > > > the
> > > > > > vehicle, it's not too difficult to obtain semi decent
> > results
> > > > over
> > > > > that
> > > > > > timeframe using a simple non optimized ranking system to
> > pick
> > > the
> > > > > top n
> > > > > > candidate stocks from the NDX as a rotating portfolio to
> > trade
> > > > > long and
> > > > > > short (See Attached) These are hardly what I'd call
> > > outstanding
> > > > > results
> > > > > > given the size of the DD's, but given that this was in
> > essence a
> > > > > > "sample" ranking criteria to drive the surrounding
> > development
> > > > > activity
> > > > > > the results are IMHO better than expected.
> > > > > >
> > > > > > Fred
>
>
>
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