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Hello,
I have read nearly one meter of books and I remember one " the
ultimate trading guide". it backtests p 216 a simple donchian system
that is reoptimized on a rolling 2 years basis, the results were
worst than static parameters and the conclusion was that
reoptimization does not work...
stephane
wrote:
> re the bug, you're correct, thanks. I don't specifically remember
fixing it,
> but it's wrong as you found in v1, but corrected in the unreleased
v1.1.
>
> re the possibility that profitability isn't great because
optimization
> happens too often, you got that you can control how often that gets
done,
> right? in the framework configuration section,
equity_lookback_frequency is
> the number of bars between optimizations, with 0 meaning every day
and -1
> meaning optimize once at the beginning.
>
>
> re other reasons why this doesn't make systems profitable, well,
that's a
> very very very interesting question, one I've thought and posted
about a
> lot.
>
> I don't see any huge difference in principle between auto-
optimization and
> backtesting in general. when we say some strategy works well, we
generally
> mean that someone backtested it at some point in time, with some
particular
> set of parameters, and it worked well. if another person hears
about it 25
> years later, and backtests with data going up to that much later
date, they
> may get very different optimal parameters, or a completely failing
result
> with any settings. so our evaluation of systems and their
parameters is
> always dependent on the time frame we chose to examine.
>
> if that's the case, it seems to me that a robust system should be
> optimizable at any given point in time, and be successful going
forward with
> those best-choice parameters. re-optimizing every day takes that to
an
> extreme, but avoids completely arbitrary decisions about when to
optimize
> and when not to. every week? month? year? every saturday? every
january 1?
> june 22? what possible justification is there for any of these? to
put it
> differently, why does ignoring possible changes in market dynamics
in
> between optimizations improve the performance or reliability of a
system?
>
> outside of when you choose to optimize, it fundamentally comes down
to
> whether past performance predicts future performance or not. if
> auto-optimization fails as a concept, doesn't that say that there's
a basic
> disconnect between how a system and settings performed in the past
and how
> it does in the future? if that's true, why do we believe that any
backtest
> results tell us anything useful at all?
>
> one possible answer is that raw profitability may not be the best
predictor
> of future performance, so we need better metrics to judge past
performance
> than simple equity growth. the framework comes with two rules for
scoring
> performance during optimization, and you're heartily encouraged to
edit
> those or add your own.
>
>
> if I really believed that observing past performance told us
nothing about
> the future, I'd have to abandon TA completely and look to
fundamentals,
> industry news and knowledge, etc for trading strategy. I haven't
gone that
> far obviously, but I'm at a loss to explain away the argument I've
just
> given. better performance metrics are the only logical avenue I can
see out
> of that dead end.
>
> I don't mean to sound like I think I've got this all figured out,
quite the
> opposite. I feel like I've disproved my own existence or something,
proved
> the impossible. so please, somebody, wise me up!
>
> dave
> update:
>
> I have attached a file with my settings and results by rule.
(Again, I
> used
> QQQ daily data for from 1/2/3 to 10/28/3.)
>
> I agree with your statement: '...almost no trading rules I've
tested are
> very profitable when managed this way, with any framework
settings I've
> tried...'
>
> So, I wonder what this means? Perhaps the optimization happens too
> frequently?
>
> -john
>
> Also I found a possible bug in BuySellStochCCI. I added the
second line
> below:
>
> function BuySellStochCCI(dynamic, p1, p2) { // p1 = CCI period
> period=p1; //added this to Dave's code
> cc = CCIx(period);
> cc = StochTransform(cc, period);
> Buy = Cover = Cross(cc, 50);
> Sell = Short = Cross(50, cc);
> }
>
>
>
> ----- Original Message -----
> From: john gibb
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, October 29, 2003 10:33 AM
> Subject: Re: [amibroker] Auto-optimization AFL uploaded
>
>
> I assume by 'analysis mode' you mean Scan mode; right?
>
> And, yes, the Index Symbols below have no
Buys/Sells/Shorts/Covers with
> 'my'
> rule in Scan mode, although they do have volume...
>
> Since it seems to be working, I am now wondering what my next
step should
> be, given my ultimate objective of a QQQ options system that uses
EOD
> data.
> I welcome your inputs on this, but I think I will first take
advantage of
> all the rules you have provided and compare, via the sum of
BackTest
> Profit,
> their QQQ results with those of my rule. (And I will also record
Explore
> results so I can see the optimum parameter values, although I am
not clear
> on how to best utilize these results yet.)
>
> thanks again
>
> -john
> ----- Original Message -----
> From: Dave Merrill
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, October 28, 2003 7:03 PM
> Subject: RE: [amibroker] Auto-optimization AFL uploaded
>
>
> glad it's working. it's too bad the no-array limitations on the
native AB
> functions make us get a little more techie about this than we'd
otherwise
> have to, it's workable.
>
> re no rows, near the bottom is the exploration code, including
the filter
> statement, which I think defaults to buy or sell or short or
cover. if
> that's what you want, then the problem is probably that you're
not seeing
> any buys, in analysis mode either, yes? if so, make sure the
index tickers
> you're using have volume data (some do some don't in the
QuotesPlus data I
> use), or modify the minimum volume requirement in the TRADE ENTRY
> RESTRICTIONS section.
>
> that's actually the sleazy answer. a better one is to look in the
> FRAMEWORK
> ENGINE section, at 'tweak volume entry requirements for things
with no
> volume data', and find this expression:
> StrLeft(Name(), 1) == "!"
> with my QuotesPlus data, that's how indexes are flagged, by
having their
> ticker names begin with "!". with other providers, it's probably
> different;
> I think yahoo is "^", for example. change that code, and anything
with
> that
> prefix won't be subject to the minimum volume rule in TRADE ENTRY
> RESTRICTIONS. the unreleased update of the framework has a better
way of
> handling this.
>
> hope this helps,
>
> dave
> It works!!!! Making my MFI period, p1, a constant, eliminated the
> error...thanks
>
> Then, since sum() appears to take an array for its period, I was
able to
> get
> this updated, dynamic-or-not function to run:
>
> function BuySellPcntBMFI(dynamic, p1, p2) { // p1 = MFI period,
p2 = high
> crossover threshhold
> price = Close;
> BA = 20; //Bband MA
> BD = 2;//Bband Stdev
> BL = ML = 20;// lower crossover threshhold
> MP = p1;// MFI period
> if(dynamic) {
> MoneyFlow = V * Avg;
> Change = Avg - Ref( Avg, -1 );
> PositiveFlow=Sum( IIf( Change > 0, MoneyFlow, 0 ) ,p1 );
> NegativeFlow=Sum( IIf( Change < 0, MoneyFlow, 0 ) ,p1 );
> MoneyRatio=PositiveFlow/NegativeFlow;
> MFIndex=100-(100/(1+MoneyRatio));
> } else {
> MFIndex=MFI(MP);
> }
> MH = BH = p2;// higher crossover threshhold
> b= ((price - BBandBot( price, BA, BD )) / (BBandTop( price,
BA, BD ) -
> BBandBot(price, BA, BD ))) * 100;
> Buy = Cover = b > BH AND MFIndex > MH;
> Sell = Short = b < BL AND MFIndex < ML;
> }
>
> thanks again
>
> -john
>
> BTW, when I use 1990-to-current EOD data for MSN's $COMPX or
Yahoo's ^IXIC
> (both supposedly the NASDAQ composite) as my 'current stock', i
get a
> single
> result row for Backtest and NO rows, just headers, for Explore.
> Individual
> stocks do yield multiple rows.
>
>
> ----- Original Message -----
> From: Dave Merrill
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, October 28, 2003 12:09 PM
> Subject: RE: [amibroker] Auto-optimization AFL uploaded
>
>
> hi john, I don't have time right now to mess in detail w this,
but try
> temporarily replacing p2 with a fixed number and see if the error
goes
> away.
> it won't give you correct results, but might verify my suspicion,
which is
> that AB's BBand functions can't take arrays for their period. if
that's
> the
> case, you'd need to code a replacement in AFL that can, or if
we're lucky,
> maybe those functions are part of indicators.dll.
>
> I hope that some day soon, we'll get versions of all built in AB
> indicators
> that are array-capable. many of them already are, and it would be
great if
> life was that kind of symetrical, not to mention useful.
>
> dave
>
> I think i have a 'dynamic=false' situation like your
BuySellStoch. (I am
> using p1 as the number of periods for MFI() and assume that this
> "mfi(periods=14)" syntax in Help means that MFI can take only a
> single-value
> parameter. And p2 is a single-value crossover threshold for
Bollinger's
> %b.)
>
> FWIW, here is my rule code producing the error:
>
> function BuySellPcntBMFI(dynamic, p1, p2) { // p1 = MFI period,
p2 = high
> crossover threshhold
> price = Close;
> BA = 20; //Bband MA
> BD = 2;//Bband Stdev
> BL = ML = 20;// lower crossover threshhold
> MP = p1;// MFI period
> MH = BH = p2;// higher crossover threshhold
> //b is Bollinger's %b
> b = ((price - BBandBot( price, BA, BD )) / (BBandTop( price,
BA,
> BD ) -
> BBandBot(price, BA, BD ))) * 100;
> Buy = Cover = b > BH AND MFI(MP) > MH;
> Sell = Short = b < BL AND MFI(MP) < ML;
> }
>
> TIA,
>
> -john
>
> ----- Original Message -----
> From: Dave Merrill
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, October 28, 2003 8:03 AM
> Subject: RE: [amibroker] Auto-optimization AFL
>
>
> thanks for the compliments, glad it's kind of sane in there (:-).
>
> just FYI, there's a new version of this that I haven't posted
yet. among
> other changes, it handles up to 3 optimization parameters, and
allows each
> rule to set the optimization parameter ranges independently. it
also moves
> the docs into a separate file, so the code file is smaller and
easier to
> deal with. I'll get that up as soon as I can finish it off.
>
> no, you don't have to set dynamic yourself, and shouldn't. did
you read
> the
> comments about it? I bet it's not dynamic itself that your rule
is getting
> hung up on, it's the optimization parameters being arrays when
dynamic is
> true.
>
> here's the section about this from the newer version, expanded a
bit from
> the original; not sure if the example BuySell rules it mentions
are
> exactly
> the same:
>
> --------------
> during optimization, the active rule is called multiple times,
once with
> each combination of p1, p2 and p3 being tested. at this time, p1,
p2 and
> p3
> are simple numeric values, not arrays. once optimal settings have
been
> determined for every bar, the rule is called once more, to
generate actual
> trading signals. this time, p1, p2 and p3 are arrays, each bar
dynamically
> containing the optimal p1, p2 and p3 value for that bar.
>
> whether they're simple values or arrays matters because not all AB
> functions
> can accept arrays as inputs. for example, MA, TEMA, DEMA, WMA and
AMA can
> use an array as their period, but EMA and MACD can't. it's usually
> possible
> to code an equivalent in AFL that can, like the included EMAx
function is
> a
> replacement for EMA. an AFL replacement may be significantly
slower
> though,
> if it has to do a lot of work, since rules are called many times
during
> optimization. you could also use a DLL, like indicators.dll from
the 3rd
> party section of the AB site, but I didn't want this code to
depend on
> outside tools.
>
> if this is an issue for a particular rule, include both slower
> array-capable
> code for use in the final signal-generation phase, and faster,
> non-array-capable code for use during the many optimization
tries. use the
> 'dynamic' parameter to know which to call; see BuySellStoch,
below, for an
> example. you can also write a custom function with both versions,
and pass
> dynamic into it; see BuySellCCI and CCIx for an example.
> --------------
>
> hth,
>
> dave
> Hi Dave,
>
> I started working with it...very nice, structured, work...this
will help
> folks learn AFL as well as general programming design, I believe..
>
> so far, i am having a bit of trouble with the 'dynamic' True/False
> parameter
> being fed to one of my indicators---but i suspect this is my
problem not
> yours:
>
> BuySellRule(True, best_p1, best_p2);
> -----------------------------------^
>
> Bad args.
> 0-th argument of function call has invalid (or unsupported) type
>
> I don't have to specifically set 'dynamic'; do I?
>
> thanks
>
> -john
> ----- Original Message -----
> From: Dave Merrill
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, October 23, 2003 6:32 PM
> Subject: RE: [amibroker] Auto-optimization AFL uploaded
>
>
> thanks, appreciate it (:-).
>
> so, did you figure out how we can all be millionaires by morning
with it
> yet? or at least learn something about something?
>
> you probably noticed this, but the way it comes set up, it's not
using
> equity feedback to optimize with, but net bars on the right side
of the
> market. my initial impression after I built that was that it
worked better
> than equity, but since then, I've concluded that, guess what, it
depends.
> so
> anyway, try the other scoring algorithm too, if you haven't
already.
>
> keep me posted (:-).
>
> anyone else playing with this thing?
>
> dave
> I've downloaded it and run it about a dozen times. What you've
done is
> very
> impressive.
>
> Thanks,
> Howard
>
> -----Original Message-----
> From: Dave Merrill [mailto:dmerrill@x...]
> Sent: Wednesday, October 22, 2003 1:11 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Auto-optimization AFL uploaded
>
> forgot to say it howard, but I'm very interested in what you
think about
> it,
> and any results you get from fiddling with it.
>
> dave
>
>
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