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Yes, issue selection. But in two steps. Issue nomination (perhaps by
some algorithm) and issue confirmation (running them by criteria 3-5
to try to get a read on how the system will perform on them).
Speaking of which, one interpretation of the pics I posted coming up
(after more coffee).
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Mark,
>
> Okay assuming one likes what one sees from the results of criteria 1 -
> 5 then where do you take this ? Issue selection ?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
> <quanttrader714@xxxx> wrote:
> > I did the posted simulations with XLSim ($125).
> > http://www.analycorp.com/xlsimindex.htm
> > I also have and would recommend Resampling Stats ($179).
> > http://www.resample.com/content/software/excel/index.shtm
> > I have *no* connection with either. Each has functionality the
> other
> > doesn't but either one will perform the simulations I've given
> > examples of.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> > > Great stuff. Mark. A year ago someone on this forum mentioned
> using
> > > bootstrap resampling to good advantage but I could never
> understand
> > how
> > > to use it. Your example seems much more understandable.
> > >
> > > Could you please tell us the exact software you use for the
> > > bootstrapping. A search of google produces too many hits to know
> > which
> > > is the easiest to use/most value for the buck choice.
> > >
> > > Thanks for your work and sharing,
> > >
> > > Ken
> > >
> > > -----Original Message-----
> > > From: quanttrader714 [mailto:quanttrader714@x...]
> > > Sent: Tuesday, November 04, 2003 8:00 AM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Re: Robustness Example With Pictures
> > >
> > > In this case initial equity but it could be anything. To clarify
> > the
> > > mechanics of this particular simulation for anyone interested, it
> > > started with a basket of trades from AB output (% profit/trade).
> It
> > > randomly drew trades from the basket w/replacement and made a
> > sequence
> > > of 100 (100 was arbitrary) trades, an artificial equity line if
> you
> > > will. Then it calculated max % dd *for that sequence* by taking
> the
> > > largest percentage distance between peak equity value and
> following
> > > trough values. It did this 999 more times then made the histogram
> > and
> > > cumulative distribution graph based on the 1000 max % dd results.
> > > What you're in effect doing is coaxing all you can out of your
> data.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > > So the estimated MaxDD is based on what ? an indivdiual trade ?
> > > > initial equity ? the account balance at any given point in
> time ?
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
> > > > <quanttrader714@xxxx> wrote:
> > > > > It's late and I've had too much scotch, so one very quick
> > example
> > > > > which I'll explain the basics of but would like to have
> someone
> > > else
> > > > > please take a stab at interpreting.
> > > > >
> > > > > To recap the Robustness Criteria, Condensed Version 1-5:
> > > > >
> > > > > 1. Test on small, mid & large cap stocks in bull, bear &
> > sideways
> > > > > markets.
> > > > > 2. Evaluate performance on top 20% most actively traded small,
> > > mid &
> > > > > large cap stocks.
> > > > > 3. Graph and evaluate system performance consistency
> > > (%profit/trade
> > > > > and % profit/bar) on select stocks.
> > > > > 4. Perform simulation to estimate probability of profit in 10
> > > trades
> > > > > (for select stocks).
> > > > > 5. Perform simulation to estimate future drawdown (for select
> > > > stocks).
> > > > >
> > > > > For this example I picked a stock, any stock. I think
> everyone
> > > gets
> > > > > what I mean by criteria 1 and 2 (whether they agree or not),
> > > correct
> > > > > me if I'm wrong. I've posted the output of criteria 3-5 in
> the
> > > > > example folder in the photos section. Criterion 3 output is
> > > photos
> > > > 1
> > > > > and 2, criterion 4 output is photos 3 and 4, and criterion 5
> > > output
> > > > is
> > > > > photos 5 and 6. I think the criterion 3 graphs are self
> > > > explanatory.
> > > > > On criterion 4, forget how it's calculated for now. It
> > > estimates
> > > > the
> > > > > probability of profit (and how much) at the end of 10 trades.
> > > Unit
> > > > of
> > > > > measure is % of starting equity. Looking at the histogram,
> the
> > > > > highest bin (the mode of the distribution) is 19.16 -- 29.63
> > which
> > > > > means approx 15.5% of the time (y axis) the profit at the end
> of
> > > 10
> > > > > trades fell in this bin, between 19.16% and 29.63% of initial
> > > > equity.
> > > > > The cumulative distribution graph is the histogram in
> > cumulative
> > > > > form and shows the likelihood that a result falls below the
> > value
> > > on
> > > > > the x axis. For example, 20% of the simulations (of the sum
> of
> > 10
> > > > > trades) lost money so you can *estimate* there's an 80%
> chance
> > > > you'll
> > > > > be profitable after 10 trades with this. Same unit of measure
> > > for
> > > > max
> > > > > dd and those graphs are read the same way. P.S. Each
> simulation
> > > was
> > > > > 1000 runs, so the graphs of criterion 3 show one actual pass
> > > through
> > > > > the data by AB, while the others depict the collective results
> > of
> > > > 1000
> > > > > simulated runs (and include my adjustment factor).
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
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