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Gary,
You really did read the posts in amibroker-beta group
:-))))))
Thank you very much.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Gary
A. Serkhoshian
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Cc: <A title=rboroff@xxxxxxxxxxx
href="">RICHARD L. BOROFF
Sent: Sunday, November 23, 2003 3:07
AM
Subject: Re: [amibroker] RUTVOL 800 bars
test/TC2000
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(<FONT color=#ff00ff
size=2>"InitialEquity", <FONT
color=#ff00ff size=2>100000<FONT
color=#000000>);
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<FONT
size=2>;
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.<FONT
color=#0000ff size=2>
SetOption(<FONT color=#ff00ff
size=2>"MinShares",<FONT color=#ff00ff
size=2>100);
Minimum size must be 100 shares.
You'll see how this is important in a sec.<FONT
color=#000000>
MaxPos = Optimize<FONT
size=2>("Max Positions"<FONT
size=2>,5,<FONT
color=#ff00ff size=2>1,<FONT color=#ff00ff
size=2>15,1<FONT
size=2>);<FONT
color=#0000ff size=2>
SetOption(<FONT color=#ff00ff
size=2>"MaxOpenPositions"<FONT
size=2>,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<FONT
size=2>/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 ; )<FONT color=#008000
size=2>
//GLOBAL SYMBOLS
INDEXSYM = ParamStr<FONT
size=2>("INDEX SYM"<FONT
size=2>,"!RUT"<FONT
size=2>);
RAWINDEX = Foreign<FONT
size=2>(INDEXSYM,"C");
//CLOSING PRICE OF INDEX<FONT
size=2>
RAWFUND = C; //CLOSING PRICE OF
FUND
LB = Param<FONT
size=2>("LOOKBACK PERIOD"<FONT
size=2>,126,<FONT
color=#ff00ff size=2>0,<FONT color=#ff00ff
size=2>1008,<FONT color=#ff00ff
size=2>10);
//NC ALPHA
//COMPUTE DAILY STDEV & APPLY MONTHLY CONVERSION FACTOR<FONT
size=2>
SDF = StDev<FONT
size=2>(ROC<FONT
size=2>(RAWFUND,1),LB) *
sqrt(<FONT
color=#ff00ff size=2>22);
SDI = StDev<FONT
size=2>(ROC<FONT
size=2>(RAWINDEX,1),LB)
* sqrt(<FONT
color=#ff00ff size=2>22);
RELSD = SDF / SDI; //RATIO IS SAME
REGARDLESS OF WHETHER WE USE DAILY OR MONTHLY SD VALUES<FONT
size=2>
NCALPHA = MA<FONT
size=2>(ROC<FONT
size=2>(RAWFUND,1),LB) -
RELSD * MA(<FONT
color=#0000ff size=2>ROC(RAWINDEX,<FONT
color=#ff00ff size=2>1),LB); <FONT color=#008000
size=2>//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. <A
href="">www.ftmonitor.com has details.
Hopefully I've left enough for you to play with.
Hope this helps,
Gary
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