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That is great Herman, maybe you will discover and teach me a
few things about them! I will look forward to hearing anything you may care to
post. Thanks for your interest!
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman van den
Bergen
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, June 15, 2003 4:02 AM
Subject: RE: [amibroker] overhaul to
AutoOpttools
<FONT face=Arial color=#0000ff
size=2>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...
<FONT face=Arial color=#0000ff
size=2>
I'll
have to do some experimenting with your indicators, this will take some time
:-) thank you again for introducing an interesting
concept.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>herman
<FONT face=Arial color=#0000ff
size=2>
<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>
<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
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