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Thanks for that perspective because my focus is on stocks. In fact,
almost everything I post should be taken in that context.
Hey, I really, really want to play with Prosizer. Does anyone know how
to do the following?
Somehow coax out of AB these 3 columns, with each row providing
numbers on a *per trade* basis.
1. Closed trade profit/loss in $
2. Risk (stop loss) in $ at trade entry
3. 20 day ATR at trade entry
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Mark,
>
> I suspect that the numbers Alex is looking for are in terms of
> dollars as opposed to percent not only because of what you stated
but
> also because this is the way most futures traders usually look at
> things and I think Alex most naturally fits in that classification.
>
> Fred
>
> --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
> <quanttrader714@xxxx> wrote:
> > Looking at this closer... using profit/trade in $ as opposed to %
> > terms can introduce a whole bunch of complications, especially
when
> > comparing results on different issues or even on the same issue if
> > there's a significant change in price during the test period,
> > depending on system test settings. With that said, obviously
this
> guy
> > knows that from just guesstimating the brainpower required to put
> > a package like this together. So it seems as if this product is
> more
> > oriented toward developing/comparing/contrasting position sizing
> > strategies on specific issues... looks like it's well worth the
$37
> > for just the "hands-on" education on position sizing methodologies
> > alone. I still personally prefer a generic MCS package where you
> can
> > brew your own but will probably buy this anyway and play with it
to
> > see what ideas I can get. Would be nice, BTW, if the graphs for
> > return% maxdd, etc. had numbers on the x axis.
> >
> > Ken, to address your question, let me put what's required for
input
> > into specific terms for the board. You'd need to somehow coax the
> > following out of AB in 3 columns, with each row providing numbers
> on a
> > *per trade* basis. Anyone care to take a stab?
> >
> > 1. Closed trade profit/loss in $
> > 2. Risk (stop loss) in $ at trade entry
> > 3. 20 day ATR at trade entry
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx>
wrote:
> > > Fred: you got your message "reply to" mixed up it seems.
> > >
> > > I read the FAQ line by line. No help for the question I asked.
> > What
> > > would be the AB outputs.
> > >
> > > Profit per trade is obvious.
> > > Volatility could be ATR (but of course that does not show up in
> the
> > > trade report but can be generated)
> > > What about Stops? What number is that from AB?
> > >
> > > Ken
> > >
> > > -----Original Message-----
> > > From: Fred [mailto:fctonetti@x...]
> > > Sent: Thursday, November 06, 2003 8:51 AM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Re: Robustness Challenge Update
> > >
> > > He explains a little more in the FAQ ...
> > >
> > > http://unicorn.us.com/trading/prosizerfaq.html
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "E Winters" <e.winters1@xxxx>
> > wrote:
> > > > Fred,
> > > > A while back you posted a system for the QQQ. Might this be
> > > a "system" to
> > > > start with?
> > > > Regards,
> > > > Ed
> > > > ----- Original Message -----
> > > > From: "Fred" <fctonetti@xxxx>
> > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > Sent: Wednesday, November 05, 2003 3:29 PM
> > > > Subject: [amibroker] Re: Robustness Challenge Update
> > > >
> > > >
> > > > | Mark,
> > > > |
> > > > | I seem to be participating more than most which I at least
> find
> > > to be
> > > > | a little strange. One of the probs for some will be the
need
> > to
> > > find
> > > > | and install a decent MCS product. Some won't want to spend
> the
> > $,
> > > > | some won't want to spend the time etc. By the way Alex
> > Matulich
> > > has
> > > > | a product in this area for I think about $37 that midgt fill
> > the
> > > bill
> > > > | for those who are interested but don't want to go for a
more
> in
> > > depth
> > > > | product.
> > > > |
> > > > | Beyond that though as I stated at the beginning, I have no
> > > particular
> > > > | interest in the last couple of steps you outlined i.e.
> > publication
> > > > | and real account trading.
> > > > |
> > > > | In my case I can't even say that I have a great data vendor
> for
> > > > | stocks because as I've stated previously I don't really
trade
> > > stocks.
> > > > |
> > > > | That aside for a minute, I have suggestion which may be a
> > little
> > > off
> > > > | the wall but I'll put it out there any way. Since you've
> > > obviously
> > > > | been doing this for some time, how 'bout starting the group
> off
> > > with
> > > > | a little system that although you might consider to be
robust
> > > even if
> > > > | only marginally is also something that you don't actually
use
> > for
> > > > | trading any more. This would at least allow some to go
> through
> > > the
> > > > | process with something that at least sort of works so they
can
> > > > | proceed from there.
> > > > |
> > > > | Just an idea ...
> > > > |
> > > > | Fred
> > > > |
> > > > | --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
> > > > | <quanttrader714@xxxx> wrote:
> > > > | > Now that I've posted the criteria, I feel we've had some
> good
> > > > | > discussions but frankly don't see enough interest out
there
> to
> > > > | provide
> > > > | > the effort it would take to refine the criteria or even
use
> > as
> > > is,
> > > > | > develop some robust systems, write a trading plan, iron
the
> > > bugs out
> > > > | > in simulated trading and then trade in real time with
real
> > > money.
> > > > | I'm
> > > > | > actually surprised there's not more interest in
> participating
> > > in the
> > > > | > trading process from soup to nuts as I've outlined,
> especially
> > > > | since I
> > > > | > offered to put up the $. Would be quite an education for
> > > anyone, no
> > > > | > matter how much experience they have, but particularly
for
> > > newbies.
> > > > | > Not to mention fun. Which is why I offered to lead such
an
> > > effort
> > > > | in
> > > > | > the first place. No hidden agendas here.
> > > > | >
> > > > | > Anyway, if I've misread things and you are interested,
> > *please
> > > email
> > > > | > me privately* and let me know the extent to which you
> > personally
> > > > | would
> > > > | > like to participate. If I get enough emails indicating
> there
> > is
> > > > | > critical mass, I'll either start this in Amibroker-ts or
in
> a
> > > new
> > > > | > group that everyone here would be welcome to join. If not
> > then
> > > I'll
> > > > | > still be around, in drips and drabs, as I have in the
> past.
> > > Thanks
> > > > | > for the interesting and civil discussions.
> > > > | >
> > > > | > Regards,
> > > > | >
> > > > | > Mark
> > > > |
> > > > |
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