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Hi Fred –
There is another way to look at a rising
equity curve – to view it as a good thing.
Assume that models and markets flow back
and forth between in agreement (profitable) and out of agreement
(drawdown). When the model is working, enjoy and take advantage of
it. That is – increase positions and / or leverage. The gambling
phrase associated with this is $B!H(Bbet the run of the table$B!I(B.
Howard
-----Original Message-----
From: Fred
[mailto:fctonetti@xxxxxxxxx]
Sent: Saturday, November 15, 2003
4:14 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Backtest
using equity curve
Assuming equity curves work like markets, which I'm not sure they do, <font
size=2 face="Courier New">
and there is reversion to the mean this would
argue for reducing
trades or position size as you get farther and
farther above the
linear regression of the equity curve and
increasing them as you get
further and further below.
--- 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@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 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@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 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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> >
> >
> >
> >
> > Send BUG REPORTS to
bugs@xxxx
> > Send SUGGESTIONS to
suggest@xxxx
> >
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