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Presactly. I never viewed them any other way. However an approach
of switching systems to ones with currently better looking equity
curves argues for a similar approach i.e. catch the moving train and
hope that it isn't already going top speed just prior to it hittng
the wall.
--- In amibroker@xxxxxxxxxxxxxxx, "Howard Bandy" <howardbandy@xxxx>
wrote:
> 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 ¡Èbet the
run of the
> table¡É.
>
>
>
> Howard
>
>
>
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> 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,
> 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@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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