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Gary,
Many thanks for your comments. I've now changed only
MaxPos = Optimize("Max Positions",1,1,15,1);
//MaxPos = Optimize("Max Positions",5,1,15,1);
(and commented out the Indicator) to have 100k available for the code
(I am using AB 4.40.4).
My results seem to be much more optimistic: [52% total
return/account], 16% CAR, MDD=-12%. Actual equity ended up at
$137,634 (# of lots?), so the real 3 year return (with 0.5% slippage)
is 38%.
I would like to know if we are getting similar, or different results,
and what might cause the difference.
________________________
System: I need to play with the modifications you mentioned but a
couple of things seems obvious: (i) the system is lagging quite a
bit, and missed the mother of all bottoms in Oct'02, (ii) very
recently, it tended to buy high and sell low, giving back 14k out of
36k hard-earned on a bull run Apr-Jul'03. The point (ii) is really
frustrating, and needs a correction for market choppiness, at least
in terms of %portfolio management, I guess.
Thanks for invitation to come to AB conf - I enjoy learning from
people's talks, it's fastest for me, - and I am grateful for your
comments. Not sure I can make it, but still. -D. 8-D.
________________________
Report:
Total net profit: 52651.02 Total commissions paid: 0.00
Return on account: 52.65 % Open position gain/loss 0.00
Buy&Hold profit: 12880.00 Bars (avg. days) in test: 726 (1054)
Buy&Hold % return: 12.88% System to Buy&Hold index: 308.78%
Annual system % return: 15.78% Annual B&H % return: 4.28%
System drawdown: -1720.00 B&H drawdown: -27810.00
Max. system drawdown: -20187.00 B&H max. drawdown: -40150.00
Max. system % drawdown: -11.80% B&H max. % drawdown: -35.42%
Max. trade drawdown: -13024.00
Max. trade % drawdown: -7.61%
Trade drawdown: -9184.00
Total number of trades: 11 Percent profitable: 63.6%
Number winning trades: 7 Number losing trades: 4
Profit of winners: 70326.01 Loss of losers: -17674.99
Total # of bars in winners: 215 Total # of bars in losers: 50
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00
Largest winning trade: 36244.00 Largest losing trade: -5114.99
# of bars in largest winner: 90 # bars in largest loser: 10
Commission paid in largest winner: 0.00 Commission paid in largest
loser: 0.00
___________________________________________________
Scan from 01-01-01 to 11-21-03 :
IWM Sell 13.02.2001 99.85
IWM Buy 27.04.2001 96.90
IWM Sell 17.05.2001 100.76
IWM Buy 15.10.2001 85.40
IWM Sell 28.11.2001 90.05
IWM Buy 10.12.2001 94.11
IWM Sell 26.12.2001 97.50
IWM Buy 12.03.2002 99.24
IWM Sell 13.03.2002 98.40
IWM Buy 30.04.2002 101.30
IWM Sell 10.05.2002 98.13
IWM Buy 25.10.2002 74.44
IWM Sell 11.12.2002 78.65
IWM Buy 21.03.2003 74.77
IWM Sell 29.07.2003 94.85
IWM Buy 29.08.2003 99.21
IWM Sell 26.09.2003 96.60
IWM Buy 13.10.2003 105.45
IWM Sell 24.10.2003 101.25
IWM Buy 04.11.2003 107.44
IWM Sell 18.11.2003 103.76
--- In amibroker@xxxxxxxxxxxxxxx, "Gary A. Serkhoshian"
<serkhoshian777@xxxx> wrote:
> Dalengo,
>
> I hope Tomasz reads this as my response below will prove that I
actually paid attention and read his posts on the AmiBroker Beta
board : )))))))))))))
>
> I'm glad that you took the time to ask these questions as they are
critical to understand, and as in prior posts those not familiar with
portfolio tester open up your ears and listen in as this is basic
stuff elaborated in the read-me and if you ask Tomasz he will find
you and club you over the head for not reading the read-me : ) Lemme
save you the headache, and hopefully save Tomasz the time.
>
> Let's tackle your e-mail in three parts:
>
> 1. Why you are not getting results when using old backtester and
RUTVOL on cash Russell 2K index.
>
> 2. Why are arrows showing up in the equity graph for the old
backtester.
>
> 3. Your basket testing returns compared to mine.
>
> Okay #1:
>
> The reason you are not getting results is driven by settings in the
code governing initial equity, position size, min size, and round lot
size.
>
> Let's go through each of these in the order they occur in the code.
>
>
> SetOption("InitialEquity", 100000);
>
> Straightforward. This is cash we start with. Why code it versus
using the GUI? Because different systems require different captial
requirements. This allows you to customize.
>
> RoundLotSize = 100;
>
> All trades must occur in blocks of 100 shares. I think this is
fair. It you wanna try odd lots, good for you. I don't.
>
> SetOption("MinShares",100);
>
> Minimum size must be 100 shares. You'll see how this is important
in a sec.
>
>
>
> MaxPos = Optimize("Max Positions",5,1,15,1);
>
> SetOption("MaxOpenPositions",MaxPos);
>
> Allow 5 open positions at one time if cash is avail. I've given
you the ability to optimize this via MaxPos variable.
>
>
>
> PositionSize = -100/MaxPos;
>
> If there is a " -" in from of the number that means we are
designating percent. In this case positon size for one position can
not exceed 20% of total portfolio equity.
>
>
>
> Okay, here's the punchline: Trading the RUT cash index around 400
or so
>
> 400 x 100 min share size = $40,000 position which is bigger than
$20,000 position size limit. So the position never gets put on.
>
> If you want to run this in the old backtest, comment out the
positionsize line, and it will run. You'll want to increase initial
equity, too. Run it on the IWM to be realistic.
>
>
>
> 2. Regarding why you are getting arrows in the old backtester
equity curve is that the equity curve for the old backtester is
taking all the code from the aa window and including in the equity
line code. This means the indicator code at the bottom of the system
code actually plots buy sell arrows which makes the equityline
indicator hard to read. If you are going to run this in the old
backteser, comment out the indicator code. Be careful not to comment
out anything important : )
>
> 3. Okay now the meat and potatoes. The returns. Don't get
worried about the returns, because I'm going to show you how to make
them better.
>
> 1/01 - 11/03 trading IWM (no portfolio trading):
>
> CAR: 7.27
>
> MaxDD: -8.23%
>
>
>
> Same Period basket trading with BB selection:
>
> CAR: 5.25%
>
> MaxDD = -28.9%
>
> Now for some detail. We must keep in mind that this is a long only
system over what was primarily a bearish period. The basket trading
return was horrible. The important message is the Bollinger Band
selection method is not the best. It was an example to get you
going, but in the spirit of more code and less talk (an idea which I
hope all of our more verbose contributors will espouse...you know who
you are) let's show you the ncAlpha selection method:
>
> Same Period basket trading with ncAlpha selection:
>
> CAR: 49%
>
> MaxDD = -22.79
>
> Woah. Not bad, eh? CAR went way up and we reduced maxdd. At
least we are in >2 MAR country which Fred has taught me is a good
place to be. Again this was an all long system over a lot of bear
market moves. There are better signals out there, but RUTVOL isn't a
bad place to start.
>
> Here's the code for ncAlpha to play with (early X-Mas present so be
nice till Jan 1 ; )
>
> //GLOBAL SYMBOLS
>
> INDEXSYM = ParamStr("INDEX SYM","!RUT");
>
> RAWINDEX = Foreign(INDEXSYM,"C"); //CLOSING PRICE OF INDEX
>
> RAWFUND = C; //CLOSING PRICE OF FUND
>
> LB = Param("LOOKBACK PERIOD",126,0,1008,10);
>
> //NC ALPHA
>
> //COMPUTE DAILY STDEV & APPLY MONTHLY CONVERSION FACTOR
>
> SDF = StDev(ROC(RAWFUND,1),LB) * sqrt(22);
>
> SDI = StDev(ROC(RAWINDEX,1),LB) * sqrt(22);
>
> RELSD = SDF / SDI; //RATIO IS SAME REGARDLESS OF WHETHER WE USE
DAILY OR MONTHLY SD VALUES
>
> NCALPHA = MA(ROC(RAWFUND,1),LB) - RELSD * MA(ROC
(RAWINDEX,1),LB); //DAILY ncALPHA
>
> I need to get back to work so I'll spare you a definition of
ncAlpha, but go to Werner's site, and you'll get a better definition
than I can ever give.
>
> Also, I'd strongly encourage you to get out to Clearwater because
there will be a good presentation by Bruce Robinson on blending a
signals like RUTVOL with simple to complex filters to create better
long signals, and tradeable short signals. I'll also be running
through a lot of these signals in terms of analyzing them through the
portfolio backtester with various baskets of stocks as well as
optimization analysis. www.ftmonitor.com has details.
>
> Hopefully I've left enough for you to play with.
>
> Hope this helps,
>
> Gary
>
>
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