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<FONT
size=2>[quanttrader714] ...Well, when you figure out
how to do that would you please post your methodology so I can give it a
spin?
<FONT face=Arial color=#0000ff
size=2>
As I wrote, I
haven't worked on this lately, so i can't give you finished/working code. You
would have to score Long and Short trades independently, here is some code to
get you started (based on ideas/code provided by TJ):
LongPositionScore = <SPAN
class=020011805-16112003>Long<SPAN
class=020011805-16112003>FeedbackFunction( Foreign("~~~EQUITY", "O")
);
ShortPositionScore = <SPAN
class=020011805-16112003>ShortFeedbackFunction( <FONT
size=2>Foreign("~~~EQUITY"<FONT
size=2>, "H") );
LongPreferred = abs( LongPositionScore
) > abs (ShortPositionScore );
PositionScore = IIF( LongPreferred,
LongPositionScore, ShortPositionScore );
Buy = Buy and
LongPreferred;
Short = Short and NOT
LongPreferred;
You will have to
write your own Long and Short feedback functions, the Foreign() calls retrieve
the PortFolio Tester's separate Long and Short Equities that TJ already provides
for us. Ideas on what I think the feedback criteria should include were
mentioned in my earlier email.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>herman
<FONT face=Tahoma
size=2>-----Original Message-----From: quanttrader714
[mailto:quanttrader714@xxxxxxxxx]Sent: November 16, 2003 11:30
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Backtest using equity curveWell, when you figure out
how to do that would you please post yourmethodology so I can give it a
spin? I'll keep an open mind but myinitial testing wasn't
promising. And logically, it seems to me thatequity feedback is just
an application of the gambler's fallacy unlessserial dependencies exist
between your trades which is not the casefor mine.--- In
amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen"
<psytek@xxxx>wrote:> After reading my post below i realize
all this can be tested in thenew> Portfolio tester using
PositionScore, no longer a need to writeseparate> code as we used
to do :-) must try this soon.> > Thanks Tomasz! There are always
numerous new applications madepossible with> the new features you
introduce...> > herman.> -----Original
Message-----> From: Herman vandenBergen
[mailto:psytek@xxxx]> 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 termtrading> systems, i.e. something like 1 to 5 day
trades.> > It would make sense to use separate
equity curves for Long andShort> positions. The L&S composite
equity curve may go up while the Shortequity> curve is going down,
same for the Long side. The feedback equityarray> should be sampled
with the last trade of the same type, i.e. do notinclude> the last
Long trade period in the evaluation of the Short equity,this is>
essentially a Cash priod for the Short equity and carries noinformation
-> unless your system is perfectly symmetrical...>
> herman.> -----Original
Message-----> From: quanttrader714
[mailto:quanttrader714@xxxx]> 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 withsimilar> 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
isbelow> the MA and the results were even
worse. At which point Idropped the>
study and didn't bother to look at mediocre systems or try
toconfirm> the results with another
method. Not saying this is
thedefinitive> answer, but would love to
see quantitative evidence to thecontrary.>
> --- In amibroker@xxxxxxxxxxxxxxx,
"giggollo99" <giggollo@xxxx>wrote:>
> Hi Herman, Glenn:>
>> > I did some studies on this idea
about a year ago with futuresdata.> >
For example, as Glenn suggested, "No new entries if a
closedtrade> > crosses below a moving
average of the equity curve andre-enter>
when> > a closed trade crosses above the
moving average."Interstingly I> > found
one potential problem to be that you would miss out
onthe> > winning trades that were
carrying the equity back over its MAand>
> would trigger you to start taking your system trades
again.Without> > equity feedback, those
trades add to your bottomline and makea
big> > difference i found. However, you are
always taking the tradesthat> > take you
back under the equity curve. This is certainly
an> > interesting approach and requires
further study perhaps withother> > data
sets.> >>
> Tomasz: Thanks a lot for the portfolio
backtester..its>
amazing..look> > forward to seeing the
pyramiding feature implemented in
thefuture> >
hopefully> >>
> best regards to all> >
g> >>
>> >>
>> > using and found that one
potential problem with using equitycurve>
> 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 qualifysignals>
from> > a
fast> > > system (like a trend
qualifier). Or you can use the Longequity>
> from slow> > > system one as a trend
indicator for system number two. Youcan>
> even pack a> > > large number of
systems (perhaps including some
duplicatesystems> > but
with> > > different parameters) into one
piece of code and optimizefor the> >
best> > > signal combination from the lot
of them. When you separateLong> > and
Short> > > equities they can become trend
indicators for the systemunder> > 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 boughtAmiBroker :-)> >
>> > >
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 tochange
your> > > systems
parameters?> >
>> > > I've done most of
my backtesting with Metastock andTradesim>
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,
evendifferent> >
ones,> > > and
use> > > > the Equity from
the previous one as a parameter in thenext>
> system.> > > I
know> > > > this can be
done with the old backtester and think
itshould> >
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
asneeded>
(afl> > >
executes> > > > line after
line and never looks back), the
lastdefinition> > 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 toincorporate
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
amoving> > > average
of> > > > the
equity curve and re-enter when a closed
tradecrosses> >
above> > >
the> > > >
moving average. Another idea is to use a percentageon
the> >
equity> > >
curve> > > >
instead of a moving average.> >
> >> > >
> b. Using the above also test tightening the
actualtrailing> >
stop> > > on
the> > > >
open trades. ie: if a closed trade crosses below
amoving> >
average> > >
(or> > > >
whatever) then instead of using a 3 x ATR stop thenuse a
2> > x ATR>
> > stop> >
> > on the open
trades.> > >
>> > > >
Note that the trades in between the exit and entryneed
to> be> >
> tracked for> >
> > the
re-entry.> > >
>> > > > If
this is possible, do you know how to set it
upplease?> > >
>> > > >
Cheers, Glenn> >
>> > >>
> > Yahoo! Groups
Sponsor> >
>
ADVERTISEMENT> >
>> > >>
> >> >
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