|
PureBytes Links
Trading Reference Links
|
That's kinda what I did. Short term, average trade length of about 3
days, but looked at the long side in isolation. Now if you believe
equity feedback works, that's good enough for me to at least take
another look. Because I'm *always* looking for ways to squeeze more
out of my systems and as I said, only did a quick and dirty analysis
then dropped it. Do you have any code you'd recommend? Thanks.
--- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen" <psytek@xxxx>
wrote:
> imho Equity feedback can only be expected to work in short term
trading
> systems, i.e. something like 1 to 5 day trades.
>
> It would make sense to use separate equity curves for Long and Short
> positions. 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...
>
> herman.
> -----Original Message-----
> From: quanttrader714 [mailto:quanttrader714@x...]
> Sent: November 16, 2003 9:38 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Backtest using equity curve
>
>
> 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
> > >
> > >
> > > Yahoo! Groups Sponsor
> > > ADVERTISEMENT
> > >
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
> > > -----------------------------------------
> > > 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 the Yahoo! Terms of
> > Service.
>
>
> Yahoo! Groups Sponsor
> ADVERTISEMENT
>
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> 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 the Yahoo! Terms of
Service.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
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/
|