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Fred,
I've recently moved from Metastock to
AmiBroker so haven't picked up the acronyms yet. What is PT? It's difficult to
search the archives for "PT". I get 99 gazillion hits.
By the way, I've also seen a reference to AA in
posts. What's that?
And, lastly, are there any other useful but cryptic
acronyms for the AmiBroker world in a glossary online somewhere? Otherwise, I'm
sure all will unfold in good time.
Many Thanks
Peter K
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Fred
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 18, 2003 3:30 AM
Subject: [amibroker] Re: Please send
unmarked bills, in a brown paper bag, to: ...
Phsst,PT was my way to pay my debt so to speak to
the general community. AB has been very good to me since I started
using it in that with the huge engine speed improvements over other
potential products it has allowed me to ferret out new and/or improve some
my existing systems that would have been next to impossible
elsewhere. Regarding the support issues, I completely understand,
but in a free product this can take whatever the developer chooses to
"spend" on it. I could have stopped pre GUI, I could stop here, but
like Tomasz, although to a much lesser degree, there are places I'd like
to take PT that it hasn't reached into yet really more for my own uses as
was the reason for its initial development then for any other reason, but
the result is all users benefit.Best
Regards,Fred--- In amibroker@xxxxxxxxxxxxxxx, "Phsst"
<phsst@xxxx> wrote:> Fred,> > I know what
transpired, and it is as you said, except that I wasn't> trying to keep
anything a secret. When anyone chastises me and then> demands that I
explain myself, I react predictably.> > Now that the dust is
settled...> > I have my own VB application that processes
exported backtest .csv> files containing the detailed trades.>
> The application builds its own dynamic arrays representing the
trade> information in chronological order so that the metrics
measuring> portfolio trading systems can be calculated. >
> I developed this app for my own use. While I considered releasing
it> to the AB community, I decided against it because I don't want
to> expose myself to the potential support issues. I'd rather spend
my> time doing other things.> > You on the other hand
have been very generous in spending what appears> to me to have
been a huge amount of time and effort on PTxxxx and I> applaud you for
it.> > You and I are just motivated differently.>
> Regards,> > Phsst> > --- In
amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:> >
Phsst,> > > > First of all I don't have the power to
banish you from anything.> > > > Second, you better go
back and reread the posts you are referring > > to. While not
banishing you, I did chastise you for NOT publishing > > your
results and methodologies since what we were talking about was a >
> tool for calculating results from trading multiple securities >
> simultaneously not a system from timing or selection of those >
> securites. Therefore, as then, again now, why the need for >
> secrecy ? Although fairly sophisticated now, this is all PT does
> > i.e. provide a framework for users to have their own timing and
> > scoring algorithms along with the means, unfortunately of doing
the > > bean counting.> > > > --- In
amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:> > >
Steve,> > > > > > My question to you was
honest.> > > > > > You claim that you don't have an
answer for my questions, and yet > > you> > >
demand that I provide you with my own backtest results of 'YOUR'> >
> published system... <LOL> BTW... Fred banished me from
publishing my> > > own backtest results on this board since I
don't use his official> > > PTxxxx AFL to calculate my own
backtesting results. (I use my own> > > software which
approaches the issue of analyzing backtest results > > >
differently from Fred). Hey... It is not an issue worth exchanging>
> > words over. > > > > > > So my position
remains... don't demand that I disprove your > > approach. >
> > > > > And don't puff up your credentials... just tell
us what mathmetical> > > metrics you used to determine the
validity of your system. And if > > you> > > still
don't have an answer... then that is OK. Just let it drop. > >
Never> > > mind that you defended a flawed formula to begin
with.> > > > > > Phsst> > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Steve Karnish"
<kernish@xxxx> > > wrote:> > > > Gee
Phsst,> > > > > > > > I don't have an answer
to your question:> > > > > > > > "how do you
think that this system performs relative to the > >
following:"> > > > > > > > If you think this
indicator can anchor a mechanical system, I> > > suggest
that> > > > you backtest the general approach and report
back. Every > > asterisk you> > > > listed is
important and of course, these intermediate calculations> > >
should> > > > lead to more meaning numbers (Sharpe Ratio,
Ulcer Index, > > Expectancy,> > > Value> >
> > at Risk, etc.).> > > > > > > > For
the past three quarters, I've been providing 150 institutions> >
> with buy> > > > and sell signals (80+ stocks). I
would be laughed "off the > > street"> > >
without> > > > providing specific trading values that measure
up to industry> > > standards. I> > > >
think I have a working knowledge of what's required to justify a>
> > mechanical> > > > approach. My specific
approach to the markets and the formula > > that I> >
> > provided in the email are in no way related.> > > >
> > > > A couple months ago I found an old 3 1/2" floppy with
some > > formulas> > > that I> > > >
tweaked (years ago). I slapped the SteErrOsc on DJM and than
the> > > DJU and> > > > was surprised that it
did such a good job of identifying > > overbought and> >
> > oversold territory. The formula and these "ballpark"
triggers > > have been> > > > presented and
posted at a number of technical forums (over the > > last
few> > > > months). People seemed to understand the
spirit of what I > > presented.> > > > > >
> > As my first posts stated: it's un-optimized,
un-tweaked,> > > un-manipulated, no> > > >
filters, no stops, no trend identification, no nothing. My most
> > adamant> > > > statement was: "it does a decent
job tracking the CBOT Dow > > contract."> > > >
> > > > The challenge for mean reversion, momentum traders is
to find a > > credible> > > > indicator (I've
offered many and many folks on this forum use > > them), and>
> > > then start "cornering the rat (price)".> > > >
> > > > *Only put positions on in the direction of the
trend> > > > *Drawdown stop> > > > *Profit
target stop> > > > *Time stop> > > >
*Mechanical oscillator exit> > > > *Money management>
> > > > > > > Building the mouse trap is the easy
part. As Fred & Chuck (and> > > others)
have> > > > stated many times, issue selection is far more
important than the> > > approach> > > > you
use. We all have lots of things that work on lots of > >
issues. This> > > > out-of-sample...must work on a
random basket is total nonsense. > > If> > >
one's> > > > goal is to damper returns, then design something
that trades all> > > issues with> > > >
profits.> > > > > > > > I've traded futures
for over 25 years, and have always had great> > > returns
in> > > > wheat, corn, oats, silver, gold, fuel and
indices. I can't trade> > > bellies> > >
> (well, none of the meats), interest rates, currencies, the
softs,> > > and the> > > > rest of the sixty
or seventy futures (like canola meal). Which of> > >
the above> > > > commodities do you think I risked money on
(for me and my best > > friends)?> > > > Would
the validity of my approch suffer if I couldn't prove that I> >
> can make> > > > a profit trading Orange Juice?>
> > > > > > > Enough said. Well, one more
thing. As forums evolve, > > occasionally they> >
> > enter into the "Mark Brown Syndrome" (simple, fresh ideas
get> > > shouted down> > > > by overbearing list
members). Or, as of late, tons of finger> > > pointing
at> > > > people that are offering commercial solutions
(within the limits> > > imposed by> > > >
Tomasz). It would be fun to see the forum return to the spirit
> > it> > > > supported for so many years. In
the meantime:> > > > > > > > "The woodwork
squeaks and out come the freaks"...Was (Not Was).> > > >
> > > > Take care,> > > > > > >
> Steve> > > > > > > > ----- Original
Message -----> > > > From: "Phsst" <phsst@xxxx>>
> > > To: <amibroker@xxxxxxxxxxxxxxx>> > > >
Sent: Wednesday, July 16, 2003 6:26 PM> > > > Subject:
[amibroker] Re: Please send unmarked bills, in a brown> > >
paper bag,> > > > to: ...> > > > > >
> > > > > > > Steve,> > > >
>> > > > > You started this thread off like it was a
chip on your shoulder.> > > > >> > > >
> Rather than 'taking my best shot at your system', I'd rather >
> ask a few> > > > > questions. For any randomly
generated basket of stocks, how do > > you> > >
> > think that this system performs relative to the following:>
> > > >> > > > > * Number of Trades (Long
versus Short)> > > > > * How quickly is available capital
'over traded'> > > > > * % of trades that are
profitable> > > > > * % of trades that are losers>
> > > > * Avg profit per winner> > > > > * Avg
loss per loser> > > > > * Avg days held for winning
trades> > > > > * Avg days held for losing trades>
> > > > * RAR on Long trades> > > > > * RAR on
Short trades> > > > > * Max % drawdown of account value for
both Longs and Shorts> > > > >> > > > >
What kind of metrics were available to you that made you think >
> this> > > > > system was worth publishing?>
> > > >> > > > > Regards,> > >
> >> > > > > Phsst> > > >
>> > > > >> > > > > --- In
amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" > >
<TSOKAKIS@xxxx>> > > > > wrote:> > >
> > > Steve,> > > > > > as you see, nobody
likes this wonderful system *as is*.> > > > > > I am
still surprised, nobody wants to buy at $10 and sell at > > $90
???> > > > > > But, it is a net +800% !!!> >
> > > > Anyway, perhaps the best typo ever written.> >
> > > > Thanks for the surprise,> > > > > >
Dimitris Tsokakis> > > > > > --- In
amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" > >
<kernish@xxxx>> > > > > > wrote:> > >
> > > > Group,> > > > > > >> >
> > > > > I've stayed on the sidelines for the most recent
"shit-> > slinging".> > > > > > I thought I'd
post an elementary approach to the "Dow"...just > > so>
> > > > > people could find another member to attach.
Take your best > > shots at> > > > > > the
systems (I've been called all kinds of unflattening names > >
and I> > > > > > even like some of the "tags").>
> > > > > >> > > > > > > The system
hasn't been optimized, tweaked, or manipulated. > >
All> > > > > > types of rules and filters could be
super-imposed (over, > > under or> > > > > >
around the basics...simple is always better). As it stands, >
> it does> > > > > > a decent job tracking the CBOT
Dow contract.> > > > > > >> > > >
> > >> > > > > > >> > > >
> > > Thanks to HB for providing the code translation:>
> > > > > > // Standard Error Oscillator (Steve
Karnish)> > > > > > >> > > > >
> > StdErrOsc =
(C+2*StdErr(C,8)-MA(C,3))/(4*StdErr(C,8))*100;> > > > >
> >> > > > > > > Plot(StdErrOsc, "StdErrOsc",
colorBlack, styleLine);> > > > > > >> >
> > > > > Plot(10,"",colorRed); Plot(90,"",colorRed);>
> > > > > >> > > > > > > Buy =
Cross (10, C);> > > > > > >> > > >
> > > Sell = Cross (C, 90);> > > > > >
>> > > > > > > Take care,> > > >
> > >> > > > > > > Steve> > >
> >> > > > >> > > > >> >
> > > Send BUG REPORTS to bugs@xxxx> > > > > Send
SUGGESTIONS to suggest@xxxx> > > > >
-----------------------------------------> > > > > Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx> >
> > > (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
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> > > >> > > > > Your use of Yahoo! Groups is
subject to> > > <A
href="">http://docs.yahoo.com/info/terms/>
> > > >> > > > >Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
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