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<FONT face=Arial color=#0000ff
size=2>After reading my post below i realize all this can be tested in
the new Portfolio tester using PositionScore, no longer a need to write separate
code as we used to do :-) must try this soon.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Thanks Tomasz! There are always numerous new applications made
possible with the new features you introduce...
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: Herman vandenBergen
[mailto:psytek@xxxxxxxx]Sent: November 16, 2003 9:49
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: Backtest using equity curve
<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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