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You just post an impressive amount of work and someone wants more.
Ths time it is me. I would like to try the tool on intraday futures.
In principle this should work but the results sofar are not very
impressive; will have to d some more work on proper settings.
However I would like to try the tool on the custom system (based on
StochRSI) I use for my future trade. Is it possible to modify the
tool in order to work with custom buy and short signals or does this
require work in the *.dll file (something I have no knowledge of).
Willem Jan
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxxx> wrote:
> 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
> ----- Original Message -----
> From: Herman van den Bergen
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, June 15, 2003 4:02 AM
> Subject: RE: [amibroker] overhaul to AutoOpttools
>
>
> 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...
>
> I'll have to do some experimenting with your indicators, this
will take some time :-) thank you again for introducing an
interesting concept.
>
> herman
>
> -----Original Message-----
> From: Steve Dugas [mailto:sjdugas@x...]
> Sent: Saturday, June 14, 2003 8:47 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: 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
> ----- Original Message -----
> From: Herman van den Bergen
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Saturday, June 14, 2003 5:31 PM
> Subject: RE: [amibroker] overhaul to AutoOpttools
>
>
> Thank you Steve, some relly nice work!
>
> 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?
>
> many thanks for a very interesting contribution!
>
> Herman.
> -----Original Message-----
> From: Steve Dugas [mailto:sjdugas@x...]
> Sent: Saturday, June 14, 2003 3:32 PM
> To: amibroker
> Subject: [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,
>
> Steve
>
>
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