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Yes Gary, or more accurately, "Tomasz, you give us a mile we ask for
100 miles"!, i just thought it would be bordering on blasphemous to
compare Amibroker (or the Portfolio Backtester for that matter) to
an "inch" but I am sure it was a Freudian slip :)
What is the "amibroker-beta list"? Is there a secret beta list which
I am not a part of :0) If someone has the message number of the
thread Tomasz is referring to please let me know.
Thanks and best regards
g
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Gary,
>
> See the previous discussion on this on amibroker-beta list.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: Gary A. Serkhoshian
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Friday, November 21, 2003 12:52 AM
> Subject: Re: [amibroker] Using Portfolio Backtester To Track
Performance - Need Pyramiding
>
>
> G,
>
> Who follows their system 100%? This is functionality that
everybody needs.
>
> Even if you follow your system 100% you need to compare actual
fills to what AmiBroker was filled to ensure you've accounted for
slippage properly.
>
> All of this can be tracked offline in Excel, Access, etc., but
it would be sweet to have the functionality built into AB.
>
> You see Tomasz, you give us an inch, and we ask for a mile : )
>
> Regards,
> Gary
>
>
> giggollo99 <giggollo@xxxx> wrote:
> One interesting way I have started using the new Portfolio
> Backtester is to track my own live trading performance. Here's
how:
>
> 1. Extract transactions list from my
brokerage's "Transactions" page
> 2. Write a small script to convert Transactions list into AFL
> buy/sell signals...e.g.
>
> ...
> Buy=Buy OR (DateNum()==1031118 AND Name()=="URMP");
> Buysize= IIf(DateNum()==1031118 AND Name()
=="URMP",6000,buysize);
> BuyPrice=IIf(DateNum()==1031118 AND Name()
=="URMP",0.225,BuyPrice);
> ...
>
> 4. Copy/Paste the AFL code into AA window
> 5. Add following line:
>
> PositionSize=Buysize*BuyPrice;
>
> 6. Run Portfolio Backtester
>
> and Voila!...i get a plethora of metrics telling me how well i
am
> doing, i get account equity curves, trade equity curves, i get
trade
> by trade P/L and MAE info and much more!...This is extremely
useful
> information to have if you are a discretionary (or semi-
> discretionary trader). It is interesting to start looking at
your
> own discretionary trading as a system, because in the end it
all
> boils down to buy/sell signals and you can see what areas you
need
> to work on..Even if you are trading a system (or trying
to :) ),
> using this approach can provide valuable information regarding
the
> difference between perceived theoretical performance of your
system
> and actual measured performance. It can show you where your
actual
> results are deviating from the theoretical expectations.
>
> Through this post I also would like to draw attention to the
fact
> that implementing pyramiding is an essential step towards the
> maturing of the portfolio backtester. Right now, for example,
> Portfolio backtester gets the P/L wrong on some trades just
because
> pyramiding is not yet implemented. It retains the share size
of the
> first trade even if i bought the same security multiple times
before
> selling. I do not know of a way to get around this except to
wait
> patiently for pyramiding to be implemented (i am open to
> suggestions?)
>
> I thank Tomasz for providing such a nice tool and continuing
to
> improve the product with great momentum. I am *really* looking
> forward to seeing pyramiding implemented in the near future.
>
> Thanks and Best regards to all
> g
>
>
>
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