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The mechanical concept:
Begin with the new year 2002.
Buy with the first significant trough [Feb22, 2002], sell with the
first significant peak [March8, 2002].
Then buy every X days, Sell every Y days, X<Y
The trial period needs 5-6 trades in 5-6 months until the buy/sell
signal occur on the same bar.
This is the end of the trial period and , if the results are good,
you may begin the real trades.
Select the top5 and trade them up to the next buy/sell coincidence
[12 to 18 months]
The application:
X=26, Y=24 filled the above requirements.
The first buy/sell coincidence [trial cycle] occurred on Aug28, 2002.
The top5 was ERICY, MNST, NVDA, SANM and VRSN.
The system will come to an end at the next [13th] Buy signal [25 bars
later]
The real trading cycle is 286 bars, if it is to be repeated.
[In the mean time, the system xIII has began from Jan2, 2003 and so
on...]
As for the results, backtest the above database from 29/8/2002 up to
now ans see...
The code is simple
// System xII
STARTBUY=DateNum()==1020222;
STARTSELL=DateNum()==1020308;
X=26;Y=24;
Buy=BarsSince(STARTBuy)%X==0;
Sell=BarsSince(STARTSell)%Y==0;
Short=Sell;Cover=Buy;
Settings:buy/sell/short/cover at +1 open, commission 0.25% [of course
you may use delay0, since you know in advance the buy/sell dates]
For the described period the performance exceeded the +500%
[If I was following without any hesitation from the beginning, I
would see 4digits, but the trial period was necessary]
[The next system xIII will use the Inspection Points theory for,
hopefully, even better results]
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> What is this ?
> Except the mechanical character of the system, will you tell us now
> the appropriate statistics before and after and whatever comes in
> your mind to fit your narrow point of view ?
> You may apply these rules to your systems but it doesnīt mean you
> express a universal must for mechanical systems.
> Anyway, you will have my examples in 6h...
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > Dimitris,
> >
> > I have always wanted the answer ... I've yet to see one
> >
> > The question has ALWAYS been the same ...
> >
> > Let's see the equity curve of some system you like with the
> > appropriate stats from 2-3 years before to 2-3 years after the
> > relatively recent top. I've posted mine, several times. I'm
still
> > trading the same system(s).
> >
> > Fred
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> <TSOKAKIS@xxxx>
> > wrote:
> > > Fred,
> > > It is the hard way to avoid any other opinion except yours !!
> > > Full examples are already available at request.
> > > Except if you want to keep this sterile and unproductive
thought.
> > > You may avoid to change your position, [I will agree it is
> > > convenient] but I really wonder why do you provocatively ask
the
> > same
> > > question if you donīt want any answer...
> > > As for the dance, I think it takes 2 to tango...
> > > Dimitris Tsokakis
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > > DT,
> > > >
> > > > Nonsense ...
> > > >
> > > > We've been here before. Let's not do the same dance again,
> okay ?
> > > >
> > > > Fred
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> > > <TSOKAKIS@xxxx>
> > > > wrote:
> > > > > Fred,
> > > > > Although it is hard to understand your request, yes, I did
it
> > > [and
> > > > I
> > > > > will do it again...]
> > > > > And when I say mechanical, I mean it.
> > > > > Mechanical in logic, execution, starting date and ending
date
> > > > > [cycles].
> > > > > I have already posted some hint, I may post more, if you
find
> > it
> > > > > interesting...
> > > > > Dimitris Tsokakis
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx>
> wrote:
> > > > > > LOL ... Okay, if you say so ... Let me know when any of
you
> > > guys
> > > > > who
> > > > > > believe this START trading mechanical systems with REAL
> > money,
> > > > I'll
> > > > > > be very interested in your real time results.
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Jayson"
<jcasavant@xxxx>
> > > wrote:
> > > > > > > Fred,
> > > > > > > I think market behavior does change because the market
> > itself
> > > > has
> > > > > > changed.
> > > > > > > 10 years ago your broker told you "Buy GE, put it under
> the
> > > > > > mattress, you
> > > > > > > will make money". If you took his advice and bought it
on
> > > > Monday
> > > > > > only to
> > > > > > > watch it fall all week then called him up he would tell
> > > you "We
> > > > > are
> > > > > > in this
> > > > > > > for the long haul, relax" ...... and you probably did,
> > > > especially
> > > > > > since your
> > > > > > > trade probably cost you over $100 round trip. 10 years
> ago
> > a
> > > > one
> > > > > > year or 6
> > > > > > > month hold was considered "Short Term" today that is no
> > > longer
> > > > > the
> > > > > > case.
> > > > > > > With online brokerage accounts you can now buy and sell
> > that
> > > > same
> > > > > > chunk of
> > > > > > > stock for $10 per side. Your broker isn't selling the
> stock
> > > de
> > > > > > jour, instead
> > > > > > > you are picking it your self. You have access to
hundreds
> > of
> > > > > > websites,
> > > > > > > dozens of data providers and have computer power on
your
> > desk
> > > > > that
> > > > > > could
> > > > > > > have launched a rocket a half a generation ago. And
more
> > > > > > importantly so do
> > > > > > > millions of other "Small investors". Day traders didn't
> > even
> > > > > exist.
> > > > > > This
> > > > > > > isn't your fathers market, IMO to back test data from
10
> > or
> > > 20
> > > > > > years ago
> > > > > > > and think that optimizing on that data to trade today
> holds
> > > > > little
> > > > > > value.
> > > > > > > The markets turn on a dime and there is a whole new
breed
> > of
> > > > more
> > > > > > nimble
> > > > > > > traders taking part in the action. The dynamics and
> > > psychology
> > > > of
> > > > > > the market
> > > > > > > is completely different. It is no longer ruled by the
> few.
> > > > Watch
> > > > > the
> > > > > > > buy/sells go through and you see trade after trade of
100-
> > 200
> > > > or
> > > > > > 500 shares.
> > > > > > > This is not Dean Whiter placing trades but Joe and Jill
> six
> > > > pack.
> > > > > 5
> > > > > > years
> > > > > > > ago I used to always wait until the first have hour of
> > > trading
> > > > > had
> > > > > > passed
> > > > > > > before placing a trade to avoid the built up demand
> already
> > > in
> > > > > the
> > > > > > pipe. Now
> > > > > > > if I wait more than 10 minutes the train is out of the
> > > station.
> > > > > > Perhaps it
> > > > > > > is just a forest/trees scenario but I think there are
> > > > fundamental
> > > > > > > differences in the way the markets react today versus
the
> > > > recent
> > > > > > past......
> > > > > > >
> > > > > > >
> > > > > > > Regards,
> > > > > > > Jayson
> > > > > > > -----Original Message-----
> > > > > > > From: Fred [mailto:fctonetti@x...]
> > > > > > > Sent: Sunday, October 19, 2003 5:38 PM
> > > > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > > > Subject: Objective functions (was RE: [amibroker] Re:
> > > > > Optimization -
> > > > > > - again)
> > > > > > >
> > > > > > >
> > > > > > > There are a lot of questions and provacative statements
> in
> > > your
> > > > > > post,
> > > > > > > only one of which from my perspective needs an
> > > answer/response.
> > > > > > >
> > > > > > > Market behavior will continually change after that ...
> > > > > > >
> > > > > > > Change ? from what ? into what ? I guess this is the
part
> I
> > > > don't
> > > > > > > follow. To me there is nothing new in market behavior
> now
> > > that
> > > > > > > didn't exist last month, last year, last decade, last
> > > century,
> > > > but
> > > > > > > clearly those that take a short sighted view of history
> and
> > > the
> > > > > > > market action that made up that history will clearly
> never
> > > see
> > > > it.
> > > > > > > It's a forest and trees thing ...
> > > > > > >
> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill"
> > > <dmerrill@xxxx>
> > > > > > > wrote:
> > > > > > > > I'm not trying to be argumentative, honest (:-)...
I'm
> > more
> > > > > than a
> > > > > > > little
> > > > > > > > sick of saying the same thing over and over, but I j
u
> s
> > > t
> > > > d
> > > > > o
> > > > > > > n ' t g
> > > > > > > > e t i t .
> > > > > > > >
> > > > > > > > ------------------------------
> > > > > > > >
> > > > > > > > I fail to see the huge difference in principle
between
> > > equity
> > > > > > > feedback and
> > > > > > > > backtesting.
> > > > > > > >
> > > > > > > > let's start by assuming that backtesting performance
of
> a
> > > > system
> > > > > > > and its
> > > > > > > > parameters over some period of past data tells you
> > > something
> > > > > about
> > > > > > > its
> > > > > > > > future performance. it's not a perfect predictor, but
> > it's
> > > > the
> > > > > > best
> > > > > > > evidence
> > > > > > > > we have. does this seem like a reasonable starting
> point?
> > > what
> > > > > > > alternative
> > > > > > > > is there?
> > > > > > > >
> > > > > > > > if that's true, why is it better to do it only once?
> what
> > > > > > > justification is
> > > > > > > > there for picking one examination period over
another?
> > > clearly
> > > > > > > market
> > > > > > > > behavior will change continually after that. don't we
> > need
> > > a
> > > > > way
> > > > > > of
> > > > > > > working
> > > > > > > > that looks at what's been happening and evolves our
> > > response?
> > > > > > > >
> > > > > > > > sounds like we examine performance up to some point
and
> > > > adjust,
> > > > > > > trade with
> > > > > > > > the best-choice system and parameters for a while,
then
> > > > examine
> > > > > > and
> > > > > > > adjust
> > > > > > > > again later. make sense? what alternative is there?
> > > > > > > >
> > > > > > > > so then, how often do we re-examine performance
> history?
> > to
> > > > put
> > > > > it
> > > > > > > > differently, how long do we ignore any changes in
> market
> > > > > dynamics
> > > > > > > that may
> > > > > > > > or may not have occurred? why would intermittently
> > refusing
> > > > to
> > > > > > look
> > > > > > > and
> > > > > > > > respond improve system performance or reliability?
> > > > > > > >
> > > > > > > > if that needs to be done, why not have the system
> itself
> > do
> > > > it,
> > > > > as
> > > > > > > part of
> > > > > > > > its inherent operation? why is it better for us as an
> > > outside
> > > > > > agent
> > > > > > > to
> > > > > > > > periodically run some separate tests, reach into the
> > > > internals
> > > > > of
> > > > > > > the
> > > > > > > > system, and change stuff?
> > > > > > > >
> > > > > > > > or should we just continue with the system and
> parameters
> > > we
> > > > > > choose
> > > > > > > at the
> > > > > > > > beginning? are they somehow more valid than what we'd
> > > choose
> > > > > > later,
> > > > > > > using
> > > > > > > > the same backtesting methods, but on a different date
> > range
> > > > of
> > > > > > data?
> > > > > > > >
> > > > > > > > ------------------------------
> > > > > > > >
> > > > > > > > I realize that even if it seems to make sense
> logically,
> > > this
> > > > > all
> > > > > > a
> > > > > > > complete
> > > > > > > > crock if no systems put together like this even
> backtest
> > > well,
> > > > > > > never mind
> > > > > > > > forward testing.
> > > > > > > >
> > > > > > > > but every time I think about abandoning this line of
> > > > research,
> > > > > it
> > > > > > > seems like
> > > > > > > > the first thing I'd want to do with a new system
would
> be
> > > > (let
> > > > > me
> > > > > > > guess),
> > > > > > > > test and possibly adjust it using data up to some
date,
> > > then
> > > > run
> > > > > > > with it for
> > > > > > > > a while after that and see if equity growth is good.
if
> > it
> > > > is,
> > > > > I'd
> > > > > > > want to
> > > > > > > > lather, rinse and repeat with other in and out of
> sample
> > > > data,
> > > > > to
> > > > > > > make sure
> > > > > > > > that wasn't coincidence.
> > > > > > > >
> > > > > > > > sounds way too familiar to be a completely different
> > animal.
> > > > > > > >
> > > > > > > > dave
> > > > > > > > From: Fred [mailto:fctonetti@x...]
> > > > > > > >
> > > > > > > > That IS what I was trying to say. I suspect
because
> > > equity
> > > > > feed
> > > > > > > back
> > > > > > > > is like looking in a rear view mirror, great for
> > letting
> > > us
> > > > > know
> > > > > > > > where we were and how we could have adjusted the
past
> > to
> > > > make
> > > > > it
> > > > > > > > better, but that's about it.
> > > > > > >
> > > > > > >
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