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My comments are below.
--- In amibroker@xxxxxxxxxxxxxxx, "Howard Bandy" <howardbandy@xxxx>
wrote:
> If
> we have designed trading systems based on recognition of patterns
that
> precede profitable trading opportunities, and if those patterns are
> persistent, then we no longer have random, independent outcomes.
I think you're confusing randomness, independence and stationarity.
>Our
> trading systems do have serial dependencies and upward sloping
equity
> curves.
An upward sloping equity curve has *absolutely nothing to do with
serial dependencies*. And further, not all systems have them. Which
statistical tests are you using, BTW?
>
> Howard
>
>
>
> -----Original Message-----
> From: quanttrader714 [mailto:quanttrader714@x...]
> Sent: Saturday, November 15, 2003 8:30 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Backtest using equity curve
>
>
>
> 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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