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Hi Herman,
Thank you for the kind words : - )
Actually, these weren't really designed for out-of-sample
testing, but I think you could do it with a little extra work. I
suppose a little background is probably in order - At the present
time I am a discretionary trader, and I concentrate on what is
happening now - I really dont even check to see how these indicators would
have performed in the past. Since they are optimized over the time period
you select, I assume they would have their ups and downs when the same values
are used for other time periods. I have only been doing TA for about 2 or 3
years now, and when I started, I spent the first year or
so backtesting, using and trying to combine all the popular indicators, but
was generally disappointed with the results - I'm sure you know the story -
works on some stocks but not others, take a closer look at the good
ones and find out the same system would have failed miserably the year
before, big drawdowns vs. mediocre returns, stock's personality suddenly
changes, etc... I never did find a system I really liked, so rather than
continue down that road, I decided to try a different approach - concentrate on
what each individual stock is doing now, and try to be as "tuned in" as possible
to any changes in behavior.
So I came up with these self-optimizing indicators. I think
the important thing to know about them is that they continually reoptimize
themselves as new data is added, so you can see changes happening in real time.
They do not just carry yesterday's optimized value forward (well, they can do
that if you want, but I dont use them that way, and I probably wouldn't expect
to see very good results). This daily reoptimization is actually a double-edged
sword - it is good to stay on top of things, and know that you are seeing the
latest, best result for each indicator and each stock, but on the other hand it
is possible that they can change without warning (i.e. - today's 5 period
MA can become tomorrow's 10 period MA) and you may suddenly find yourself
on the wrong side of the trade. While it is theoretically possible for this to
happen at any time I guess, in practice it does not actually seem to happen very
often. But then again I have only been using them for a few months, and I also
spend a lot of time running the included Explorer code to try and
identify "friendly" stocks. I have actually been doing pretty well
with them, but if you are a "system" guy who backtests your code against 5 or 10
years of data, you may not feel very comfortable with them. Of course, you could
always select the entire data range as your test period, and automatically get
the best parameters for each stock/indicator, but I really dont know
offhand whether the return, drawdown etc would be any good or not.
OK, I have babbled long enough, I will try to answer your
question... : - )
Yes, I think you could use these with AB's backtester to test
on any range of data, but not without a little work. The code for each
indicator calls the DLL, which sets AFL variables containing the optimal
parameters for your test period. You can access these variables in AFL, and
use AB's backtester to test any data range, but you would need to add the
backtester code you want to use and plug in the parameter variables. For
example:
buy = cross( close, ma( close, OptParam1Val));
You would also want to make sure the backtester Settings and
the settings at the top of the AFL for the indicator you are testing
are set to match as closely as possible. I actually
thought about adding this code to all the indicators at one time, but decided
not to bother until I was ready to use it...maybe I will add it soon.
Meanwhile, if you decide to do this, I will be happy to help you in accessing
the variables, etc, if you are having any trouble. Just let me
know!
Best Wishes,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman van den
Bergen
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, June 14, 2003 5:31
PM
Subject: RE: [amibroker] overhaul to
AutoOpttools
<FONT face=Arial color=#0000ff
size=2>Thank you Steve, some relly nice work!
<FONT face=Arial color=#0000ff
size=2>
I
have not used any of your auto opt tools before... could you explain how one
would go about performing an out of simple test? Is that possible? Or are the
signal always optimized?
<FONT face=Arial color=#0000ff
size=2>
many
thanks for a very interesting contribution!
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: Steve Dugas
[mailto:sjdugas@xxxxxxxxx]Sent: Saturday, June 14, 2003 3:32
PMTo: amibrokerSubject: [amibroker] overhaul to
AutoOpttools
Hi All,
I have made some changes to AutoOptTools, and posted
the new version if anyone can use it. Picture attached. The main changes
are:
1. Fixed a bug that caused the plotted indicators to
disappear at times ( actually, they didnt disappear, just defaulted to
the background color if certain conditions weren't met).
2. added volume histogram in the background.
3. added black triangles that automatically point to
beginning and end of selected test period.
4. added color-sensitive up/down arrow to last bar to tell
instantly if indicators are currently long or short. (usually wasnt hard to
tell, but on occasion it could be)
5. moved some statistics and other info from the main
screen and the title to the interpretation window.
6. added a couple of new statistics to the
title.
7. now has 2 include files - for leading and lagging
indicators (seems to give better results).
8. updated the help file - I left out a couple of things
the 1st time.
Best Wishes,
SteveSend BUG REPORTS to
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