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I took a quick look at this a while ago and wound up with similar
findings. For the (good) systems I looked at, equity feedback (only
taking trades when equity is above MA) hurt performance. Then I
looked at what would happen if only taking trades when equity is below
the MA and the results were even worse. At which point I dropped the
study and didn't bother to look at mediocre systems or try to confirm
the results with another method. Not saying this is the definitive
answer, but would love to see quantitative evidence to the contrary.
--- In amibroker@xxxxxxxxxxxxxxx, "giggollo99" <giggollo@xxxx> wrote:
> Hi Herman, Glenn:
>
> I did some studies on this idea about a year ago with futures data.
> For example, as Glenn suggested, "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." Interstingly I
> found one potential problem to be that you would miss out on the
> winning trades that were carrying the equity back over its MA and
> would trigger you to start taking your system trades again. Without
> equity feedback, those trades add to your bottomline and make a big
> difference i found. However, you are always taking the trades that
> take you back under the equity curve. This is certainly an
> interesting approach and requires further study perhaps with other
> data sets.
>
> Tomasz: Thanks a lot for the portfolio backtester..its
amazing..look
> forward to seeing the pyramiding feature implemented in the future
> hopefully
>
> best regards to all
> g
>
>
>
>
> using and found that one potential problem with using equity curve
> to start/stop your system
>
>
>
> --- 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
> >
> >
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