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Thank
you steve, btw; you don't babble at all, your concept is quite interesting! I am
probably one of those "system guys" who want to OOS and look at historical
performance. Also; I am more an experimental coder than a trader...
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I'll
have to do some experimenting with your indicators, this will take some time :-)
thank you again for introducing an interesting concept.
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<FONT face=Arial color=#0000ff
size=2>herman
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<FONT face=Tahoma
size=2>-----Original Message-----From: Steve Dugas
[mailto:sjdugas@xxxxxxxxx]Sent: Saturday, June 14, 2003 8:47
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
overhaul to AutoOpttools
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>
<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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