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Hi Matt,
Thanks, I'll check it out.
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "m_o_t_o2003" <m_o_t_o2003@xxxx> wrote:
> Hello
>
> This is my second attempt at trying to reply to this, so I hope I get
> it right this time. I recently bought prosizer and I wanted results
> quick so my method is messy but I will strive to improve. I export
> the backtest results to excel and then I export an exploration to
> excel. I then cut and paste the columns I need into prosizer. I use
> the following code to my strategy for my exploration;
>
> PositionSize = 10000;
>
> ApplyStop(stopTypeLoss, stopModePoint, 2*ATR(14), True, True );
>
> AddColumn(BuyPrice,"BuyPrice",1.4,colorDefault,colorDefault);
> AddColumn(ShortPrice,"ShortPrice",1.4,colorDefault,colorDefault);
> AddColumn(ATR(20),"ATR",1.4,colorDefault,colorDefault);
> AddColumn(2*ATR(14),"ATRStopPoint",1.4,colorDefault,colorDefault);
> AddColumn(2*ATR(14)*
> (1*PositionSize),"ATRStop$",1.0,colorDefault,colorDefault);
> AddColumn(4.5*ATR(14),"ATRProfitPoint",1.4,colorDefault,colorDefault);
> AddColumn(ATR(14)*
> (1*PositionSize),"ATR$",1.0,colorDefault,colorDefault);
>
> You will need to customize to suit yourself (position size etc).
>
> But now I have a question now that I have found a p-sizing strategy I
> like, how do you include net profit into auto analysis eg. t = x + y
> * netprofit;
>
> Thanks
>
> Matt
>
> --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
> <quanttrader714@xxxx> wrote:
> > 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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