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<FONT face=Arial color=#0000ff
size=2>imho Equity feedback can only be expected to work in short term
trading systems, i.e. something like 1 to 5 day
trades.
<FONT face=Arial color=#0000ff
size=2> <FONT
size=2>It would make sense to use separate equity curves for Long and Short
positions. <SPAN
class=350183801-16112003>The
L&S composite equity curve may go up while the Short equity curve is going
down, same for the Long side. The feedback equity array should be
sampled with the last trade of the same type, i.e. do not include the last
Long trade period in the evaluation of the Short equity, this is
essentially a Cash priod for the Short equity and carries no information -
unless your system is perfectly symmetrical...
<FONT face=Arial color=#0000ff
size=2>herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: quanttrader714
[mailto:quanttrader714@xxxxxxxxx]Sent: November 16, 2003 9:38
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Backtest using equity curveI took a quick look at
this a while ago and wound up with similarfindings. For the (good)
systems I looked at, equity feedback (onlytaking trades when equity is
above MA) hurt performance. Then Ilooked at what would happen if
only taking trades when equity is belowthe MA and the results were even
worse. At which point I dropped thestudy and didn't bother to look
at mediocre systems or try to confirmthe results with another
method. Not saying this is the definitiveanswer, 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-enterwhen > 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..itsamazing..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 signalsfrom > 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@xxxx]> >
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 Tradesimand > 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@xxxx]> > > 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
tobe> > tracked for> >
> the re-entry.> > >>
> > If this is possible, do you know how to set
it up please?> > >> >
> Cheers, Glenn> > > > >
> Yahoo! Groups
Sponsor>
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