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Hello,
As for
> portfolio tester gives you very specific
> candidates regardless
> how many candidates are out there because there is not
> enough equity to
> trade them all. You get the same candidates regardless how
> many times you test
> it. AB choose the candidates using its internal rules.
The rules for selecting candidates for trading if
there are more signals than can be traded (because
of limited funds or limited 'number of open positions') are:
- absolute value of score (positionscore variable - ranking mode only)
- dollar position size
- alphabetic order
- order type (longs take precedence over short)
so when there is no ranking or score is the same
then the orders with higher position size take precedence,
if equal then alphabetic order decides
if the same symbol - then long is preferred
One possibility of 'robustness' testing is setting
up random watch lists containing subset of your
universe and test on them and compare results.
With OLE automation interface it is possible
to setup watch lists and perform automated backtests.
(actually only 'old' backtester can be launched by automation
right now, but automation is planned also for portfolio
backtester).
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "tchan95014" <tchan95014@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, October 01, 2003 9:03 PM
Subject: [amibroker] robust system development
> Hello,
>
> I want to throw some random thoughts to the list to see if some
> discussions can be stimulated.
>
> 1) With the wonderful Excel 3D macro available in file area, it
> is easy to eyeball
> the 'most robust or stable' area when 2 parametes are used.
> How do we do if there are more parameters out there?
> Is it enough just use 2 at a time and repeat?
> How if the robust parameter pair we get changes each time?
> How many repeat is enough?
> It is very labor intensive and we get ONLY the net$ optimal,
> nothing else.
> The result is not quantifiable, you eye ball it, you feel
> right and that is all.
>
> Mark Johnson propsed an idea years ago, (go to Yahoo AAFT
> group, you might still
> be able to find it) using what he called 'hyper-sphere' to
> include ALL the
> parameter sets within a defined radius and then compare the
> chosen statistics
> amongst all the 'spheres' to find the optimal parameter set.
> The idea is
> same as the 3D macro, just to extend it to N parameters and
> many more statistics
> can ge generated and compared.
>
> Theorerically, there can be as many hyper-spheres as your
> parameter set candidates,
> say after an optimization run, you have 10,000 entries, then
> each entry can have
> its own hyper-sphere with itself as the center point,
> potentially with different
> radius.
>
> Within each sphere, all sorts of statistics can be calculated,
> including net$,
> and then can be compared against all other spheres for you to
> decide which one
> is the best.
>
> I think it is a good idea, better still, if this idea can be
> included into AB.
> I would like to know if there are other opinions or ideas out
> there.
>
> 2) In portfolio testing, Chuck R. brought up this question
> and proposed a solution
> very early on, but there are other questions.
>
> Since resource is always limited, how if there are more
> candidates than one
> can act for each signal?
>
> Current backtester gives you ALL the candidates giving
> each candidate all your
> equity, while portfolio tester gives you very specific
> candidates regardless
> how many candidates are out there because there is not
> enough equity to
> trade them all. You get the same candidates regardless how
> many times you test
> it. AB choose the candidates using its internal rules.
>
> Even using S&R, you just artificially limit your own
> candidates per the rules
> defined by yourself instead of AB.
>
> Chuck proposed using TradeSim, which uses Monte Carlo
> simulation, to see more
> realistic test results. I think it is a good idea to
> confirm the robustness
> of a system.
>
> Even so, how about in real time trading? Do we just choose
> whatever the candidates
> AB or S&R chooses for us and trade them?
>
> 3) Following the idea in (2), for each system we develop,
> regardless how many data
> points we use, they are all history.
> We tried to use as many as possible data points hoping to
> cover all the
> possible scenarios that might happen in the future, we use
> this process
> to develop 'robust' systems. Of course, there are many do
> not agree with
> the idea of 'using as many as possible data points', but
> that is beyond
> the argument here.
>
> But, regardless, it is always single path and it is always
> histoy.
> Is this approach good enough?
> Is this the best we can do?
>
> I heard that synthesized data set are used to make the
> data universe even larger.
> I also learned that Monte Carlo simulation might have some
> uses here.
>
> Any ideas?
>
>
> Thomas
>
>
>
>
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