|
PureBytes Links
Trading Reference Links
|
Glenn
TradeSim is a great product. There are users of AB that use
TradeSim also, myself included. Chuck Rademacher has written some
code which you will find in the files section - Convert.exe - which
converts the Old AB Backtests to TradeSim Data Files ( I haven't
tried it with new backtester but I suspect it may not work - Please
correct me if I'm wrong Chuck). Other options are to use the one of
the table handling Pluggins such as Osaka to build a Text Trade
Database file for use in TradeSim. This option also enables you to
make full use of TradeSims ranking capabilities. As AB improves I
find myself using TradeSim less, but I still test any potentially
favorable system with TradeSim. The Monte Carlo analysis, worst
case scenarios and the ability to exclude those exceptional large
winning trades from the analysis, along with pyramiding etc adds to
the confidence one has in a system.
Andrew
--- In amibroker@xxxxxxxxxxxxxxx, "Glenn" <glennokb@xxxx> wrote:
> Hi Herman,
>
> > Metastock is a few years behind me :-)
>
> Yes, it's a now a dinosaur compared to AB ...but Tradesim is
another
> story.
>
> Tradesim is still ahead of AB when it comes to backtesting. It has
> numerous money management features (including pyramiding trades
> and/or capital), Monte Carlo and lots of nice charts to view all
the info
> (although not intra day testing). I'm hope soon AB will have all
the
> features of Tradesim.
>
> Another thing is, rather then (in EOD trading) setting the buy at
the open
> or close, you can set it at "market" which tests random prices
between
> the low and high of the day. You can also test worse case etc etc.
>
> > Unlimited possibilities, aren't you glad you bought AmiBroker :-)
>
> Yes, yes and YES!!!
>
> Cheers Glenn
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen"
> <psytek@xxxx> wrote:
> > Metastock is a few years behind me :-)
> >
> > Yes it is great fun to create combos; systems build up from
several
> systems.
> > You can use the signals from a slow system to qualify signals
from a
> fast
> > system (like a trend qualifier). Or you can use the Long equity
from
> slow
> > system one as a trend indicator for system number two. You can
even
> pack a
> > large number of systems (perhaps including some duplicate
systems
> but with
> > different parameters) into one piece of code and optimize for
the best
> > signal combination from the lot of them. When you separate Long
and
> Short
> > equities they can become trend indicators for the system under
test, it
> > uniquely reflects the trend sensitivities for the system, much
better
> then a
> > totally unrelated trend indicator... imho
> >
> > Unlimited possibilities, aren't you glad you bought AmiBroker :-)
> >
> > herman
> > -----Original Message-----
> > From: Glenn [mailto:glennokb@x...]
> > Sent: November 12, 2003 3:10 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Backtest using equity curve
> >
> >
> > Hi Herman,
> >
> > Thanks for your reply. Excellent!
> >
> > Have you done much testing with your equity curve to change
your
> > systems parameters?
> >
> > I've done most of my backtesting with Metastock and Tradesim
and
> been
> > waiting for ages for Tradesim to have this in it.
> >
> > Ami has been able to do it all along!
> >
> > Cheers Glenn
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen"
> <psytek@xxxx>
> > wrote:
> > > You can cascade as many systems as you like, even different
ones,
> > and use
> > > the Equity from the previous one as a parameter in the next
> system.
> > I know
> > > this can be done with the old backtester and think it should
also
> > work in
> > > the new PF tester.
> > >
> > > // system one code here
> > > E1 = Equity(1);
> > >
> > > // System two code here
> > > Buy = Buy and (some function of E1);
> > > E2 = Equity(1);
> > >
> > > // System three code here
> > > Buy = Buy and (some function of E2);
> > > E3 = Equity(1);
> > > etc.
> > >
> > > You essentially redefine the buy signal as often as needed
(afl
> > executes
> > > line after line and never looks back), the last definition
will be
> > what
> > > determines your results.
> > >
> > > Herman
> > >
> > > -----Original Message-----
> > > From: Glenn [mailto:glennokb@x...]
> > > Sent: November 12, 2003 1:35 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Backtest using equity curve
> > >
> > >
> > > Hi,
> > >
> > > I'm was wondering if it is possible in AB to incorporate
the
> > equity curve
> > > of a system within a backtest, using it to test the
following:
> > >
> > > a. No new entries if a closed trade crosses below a moving
> > average of
> > > the equity curve and re-enter when a closed trade crosses
above
> > the
> > > moving average. Another idea is to use a percentage on the
> equity
> > curve
> > > instead of a moving average.
> > >
> > > b. Using the above also test tightening the actual
trailing stop
> > on the
> > > open trades. ie: if a closed trade crosses below a moving
average
> > (or
> > > whatever) then instead of using a 3 x ATR stop then use a
2 x
> ATR
> > stop
> > > on the open trades.
> > >
> > > Note that the trades in between the exit and entry need to
be
> > tracked for
> > > the re-entry.
> > >
> > > If this is possible, do you know how to set it up please?
> > >
> > > Cheers, Glenn
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|