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Well, when you figure out how to do that would you please post your
methodology so I can give it a spin? I'll keep an open mind but my
initial testing wasn't promising. And logically, it seems to me that
equity feedback is just an application of the gambler's fallacy unless
serial dependencies exist between your trades which is not the case
for mine.
--- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen" <psytek@xxxx>
wrote:
> 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.
>
> Thanks Tomasz! There are always numerous new applications made
possible with
> the new features you introduce...
>
> herman.
> -----Original Message-----
> From: Herman vandenBergen [mailto:psytek@x...]
> Sent: November 16, 2003 9:49 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: Backtest using equity curve
>
>
> 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
> > >
> > >
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> > >
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