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<FONT face=Arial color=#0000ff
size=2>herman
<FONT face=Tahoma
size=2>-----Original Message-----From: giggollo99
[mailto:giggollo@xxxxxxxxxxx]Sent: November 21, 2003 4:22
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Using Portfolio Backtester To Track Performance - Need
PyramidingYes 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
regardsg--- 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> > >
> Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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