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Hi Paul,
Thanks for doing the Excel analysis.
I am back without, unfortunately, any bright idea as to the next step on
this. Some thoughts though:
a) arbitrarily, settle on one
major data source a 'standard'. (I have a colleague who has settled on
Yahoo because a) it goes back to 1962 for some symbols and b) it offers both
split-adjusted and non-adjusted data.)
b) compare the standard
vendor's data for a limited symbol set to two other sources.
c) the majority rules when
there is a discrepancy; ie go with the number that two of the three vendors
provide. When all three disagree, I am not sure wwhat to do. (Call the exchange
on which the discrepant symbol traded and get the correct number,
etc?.)
Regarding c), maybe it's not THAT important how
clean the data is if I am using it for:
1) rough comparisons of the
profitability of one mechanical system vs another or
2) go-or-no-go decisions on
whether a system warrants further investigation.
One other thing: I am now involved in a project
with her and some other folks in which we are testing the profitability of
trading opening gaps. Each of us may have a different data source. I will
let you know if data turns out to be an important variable.
-john
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
john gibb
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, November 26, 2003 5:37
AM
Subject: Re: getting same results...was
Re: [amibroker] Re: any karnish watchers out there? For Steve
Hi Paul,
just a qucik note to tell u i am out of town for
a week or so..but will pick this up when i get back...hopefully u saw
Dimitris' note on his data sources...
i am not sure what to do about this
lack-of-standard-data problem...
thanks
-john
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Paul Binnell
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, November 25, 2003 5:25
PM
Subject: RE: getting same results...was
Re: [amibroker] Re: any karnish watchers out there? For Steve
<FONT
size=2>John
<FONT
size=2> I use Quotes plus data. I have attached a
spread sheet adding the QP open prices and diff between Yahoo and
E-Signal. QP stores some of these quotes as fractions. And
the problem may be rounding errors. As for the AB version I am using
the most recent Beta version. You will see on the spread sheet that I
have used red "Y" for diff between Yahoo and QP and red "E" for diff between
E-Signal and QP. Maybe Dimitris can let us know
where his data comes from. I downloaded Yahoo data for the QQQ and ran
the scan. I did it twice. Once using a round lot size of 100 and
the next allowing for fractions of a share. It seems that
my entry and exit times are different with Yahoo data and they don't
seem to be the same as yours. You will also notice that when I changed
the round lot size the system went from 199% to 282%.
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>Paul
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>
-----Original Message-----From:
john gibb [mailto:jgibb1@xxxxxxxxxxxxx] Sent: 25 November 2003
16:38To: amibroker@xxxxxxxxxxxxxxxSubject: getting
same results...was Re: [amibroker] Re: any karnish watchers out there? For
Steve
Hi Paul,
As you will see in the attached Excel file
there are a significant number of discrepancies in our trades. (a red x
marks both date and Open price discrepancies).
Also, your Trade List includes the column
Position Size; mine does not. What version of Amibroker are you
using?
I then downloaded free Esignal historical
data for the QQQs as a potential benchmark source and marked,
again with a red x Open price discrepancies. (Interestingly, Yahoo
doesn't have data for 9/11/2001) (See attached)
So there is quite a bit of work to come up
with a clean QQQ database on which to test.
In an effort to get the same results,
our next step might simply be declaring
Yahoo, Esignal, or ??? as our 'best' data source and we both test
using it--without regard to data errors.
What do you think?
-john
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
john
gibb
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 24, 2003
8:53 PM
Subject: Re: [amibroker] Re: any
karnish watchers out there? For Steve
Hi Paul,
I have attached my HTML report file in
which I notice that I have one more winning and one less losing trade
than you.
In addition, apparently due to different
data, we have different trades.
I started to go throught the list and
marked in red on my list below some discrepancies. Tomorrow I will
complete the list and double check the Open on the days in question
with a couple of different data sources.
BTW, what data source did you
use?
<SPAN
>Trade<SPAN
>
Entry date<SPAN
>
Entry price<SPAN
>
Exit date Exit
price Net Profit<SPAN
> Equity
value
<FONT
face="Times New Roman">Out<SPAN
>
<SPAN
>6/1/2000<SPAN
><SPAN
>
85.19<SPAN
>
<SPAN
>6/2/2000<SPAN
>
92.63<SPAN
>
0.00<SPAN
> 10000.00
<FONT
face="Times New Roman">Long<SPAN
>
<SPAN
><FONT
color=#ff0000>6/2/2000<SPAN
><SPAN
>
92.63<SPAN
>
<SPAN
>6/19/2000<SPAN
><SPAN
>
94.02<SPAN
>
92.40<SPAN
>
10092.40
<FONT
face="Times New Roman">Short<SPAN
> <FONT
color=#ff0000> <st1:date Month="6" Day="19"
Year="2000"><FONT
color=#ff0000>6/19/2000<SPAN
><SPAN
>
94.02<SPAN
>
<SPAN
>7/7/2000<SPAN
><SPAN
>
95.00<SPAN
>
-145.69
9946.71
<FONT
face="Times New Roman">Long<SPAN
>
<SPAN
>7/7/2000<SPAN
><SPAN
>
95.00<SPAN
>
<SPAN
>7/11/2000<SPAN
><SPAN
>
94.06<SPAN
>
-141.02
9805.69
<FONT
face="Times New Roman"><SPAN
>Short<SPAN
>
<SPAN
>7/11/2000<SPAN
><SPAN
>
94.06<SPAN
>
<SPAN
>8/3/2000<SPAN
><SPAN
> 84.25<SPAN
>
936.67
10742.36
<FONT
face="Times New Roman"><SPAN
>Long<SPAN
>
<SPAN
>8/3/2000<SPAN
><SPAN
>
84.25<SPAN
>
<SPAN
>8/8/2000<SPAN
><SPAN
> 92.06<SPAN
>
737.17
11479.53
<FONT
face="Times New Roman">Short<SPAN
>
<SPAN
>8/8/2000<SPAN
><SPAN
>
92.06<SPAN
>
<SPAN
>9/20/2000<SPAN
><SPAN
>
93.38<SPAN
>
-177.61
11301.93
<FONT
face="Times New Roman">Long<SPAN
>
<SPAN
>9/20/2000<SPAN
><SPAN
>
93.38<SPAN
>
<SPAN
>9/22/2000<SPAN
><SPAN
>
87.63<SPAN
>
-620.25
10681.68
<FONT
face="Times New Roman">Short<SPAN
>
<SPAN
><FONT
color=#ff0000>9/22/2000<SPAN
><SPAN
>
87.63<SPAN
>
<SPAN
>10/4/2000<SPAN
><SPAN
>
83.50<SPAN
>
369.72
11051.39
<FONT
face="Times New Roman">Long<SPAN
>
<SPAN
><FONT
color=#ff0000>10/4/2000<SPAN
><SPAN
>
83.50<SPAN
>
<SPAN
>10/19/2000<SPAN
><SPAN
>
82.39<SPAN
>
-152.41
10898.98
<FONT
face="Times New Roman"><SPAN
>
<FONT face=Arial
size=2>BTW, does anybody know of a good 'diff' utility for Windows? I
couldn't get Word's Tools | Compare and Merge feature
to work here.
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>-john
<FONT face=Arial
size=2>
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Paul
Binnell
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 24, 2003
5:22 PM
Subject: RE: [amibroker] Re: any
karnish watchers out there? For Steve
I've been reading this thread also and at this point
with the settings Ihave read I can only get it to 172.70% for the
date June 1 2000 toNovember 21, 2003. Maybe Dimitris or John
could attach there report forthe afl so I can compare it to
mine. That way I can check dates andprices to ensure that
there is no discrepancy there. I have attached myreport for this
afl.ThanxPaul-----Original Message-----From:
john gibb [mailto:jgibb1@xxxxxxxxxxxxx] Sent: 25 November 2003
01:50To: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Re:
any karnish watchers out there? For SteveHi
Dimitris,Those settings increased my Return on Account to
295%...now i am only 55percentage points from your
total.May I assume you were citing Return on Account when you
mentioned +350%?My results are the same with both MSN and
Yahoo EOD data.Any other thoughts on why we are still so
different?thanks again,-john----- Original
Message ----- From: "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxxxxxxx>To:
<amibroker@xxxxxxxxxxxxxxx>Sent: Monday, November 24, 2003
9:51 AMSubject: [amibroker] Re: any karnish watchers out there?
For Steve> John,> I used buy/sell/short/cover at
+1 Open, commission 0.25%, all stops > disabled. Dimitris
Tsokakis> --- In amibroker@xxxxxxxxxxxxxxx, "john gibb"
<jgibb1@xxxx> wrote:> > Dimitris, thanks for posting
this!> >> > Like Dave, I couldn't get as good
results as you got--with the> regular Backtester, Yahoo EOD,
and 4.49.0. (While close to you on > drawdown and %winners, I
got nowhere near 350% return (my Return on > Account was
158%).> >> > I am attaching those results and my
settings file, in the hopes> that you can suggest how I can
more closely replicate your return. (I > suspect, like Dave,
that it is a difference in commissions; I use> 0.5%.)>
>> > thanks> >> > -john>
> ----- Original Message ----- >
> From: Dave Merrill> > To:
amibroker@xxxxxxxxxxxxxxx> > Sent: Monday,
November 24, 2003 5:58 AM> > Subject: RE:
[amibroker] Re: any karnish watchers out there? For>
Steve> >> >> > One further
related question: You mention that this is "tuned to> the
bearish environment". Do you have an indicator that helps you
know> quantitatively when we're no longer in a bearish
environment?> >> > Thanks,>
>> > dave>
> Dimitris, thanks for the ideas, I'll
check it out. Besides a> QQQ trading vehicle, I'm interested in
the smoothing method you chose,> and also your trend
qualifier.> >> > Just out
of curiosity, what commission settings do you use? I'm> at 1%,
which is my usual, but if that's too stringent in this
context,> maybe that's why my initial results with this,
and other things I've > tried, aren't as spectacular.>
>> > I know some of what I'm
about to ask has been discussed here in> general, but let me
ask it in this specific context anyway: There are > a number of
parameters here, either adjustable or built into the code.>
If we wanted to optimize for better performance in the current
> environment, what test period would you think would translate
well to > the future? Going forward, when would you think you'd
want to optimize> again? How would you suggest we
distinguish a beautiful curve fit over> the test period
from settings likely to perform well in the future?>
>> > Please don't take those
questions as anything other than what> they are, a sincere
desire to learn.> >> >
Dave> > Dave,>
> It would be interesting to
make your own study on the STORSI.>
> Here is an example for
QQQ.> > It was tuned to
the bearish environement, the peak of the> Equity is>
> very close to the change of
the trend.> >>
> // A STORSI example for
QQQ> >
SetBarsRequired(1000,1000);>
> function IIR2( input, f0, f1,
f2 )> > {>
> result[ 0 ] =
input[ 0 ];result[ 1 ] = input[ 1 ];>
> for( i = 100; i
< BarCount; i++ )>
> {>
>
result[ i ] = f0 * input[ i ] + f1 * result[ i - 1 ] + f2> *
result> > [ i - 2
];> >
}> > return
result;> > }>
>
x=DEMA(RSI(10),10);t=20;>
>
C1=100*(x-LLV(x,t))/(HHV(x,t)-LLV(x,t));Plot(C1,"STORSI",1,1);>
> K=0.4;>
> RD=IIR2( C1, 0.3, 1.6,
-0.9);// SMOOTHED STOCHRSI>
>
Plot(RD,"["+WriteVal(10*K,1.0)+"]",4+10*K,1);>
>
TREND=LinearReg(DEMA(C,20),30);// TREND QUALIFIER>
>
Plot(TREND,"TREND",4,styleOwnScale);>
>
BLEVEL=Optimize("BL",-19,-30,-10,1);Plot(BLEVEL,"BLEVEL",1,1);>
>
SLEVEL=Optimize("SL",49,40,60,1);Plot(SLEVEL,"SLEVEL",1,1);>
>
Buy=Cross(RD,BLEVEL);Sell=Cross(RD,SLEVEL);>
> Short=Cross(RD,SLEVEL)
;Cover=Buy;> >>
> It is a good point to start
and tune it to the present> conditions,>
> add trend characteristics [I
have added a TREND function, you> may>
> select yours] etc.>
> From June2000 till now, no
losing combinations, affordable> drawdowns>
> [less than 40%] and very good
behavior when the bears define> the>
> game...>
> Better than +350%,
winners/losers ~2/1, not bad at all for> QQQ.>
> Of course it is not the only
QQQ vehicle, it is just an> example to>
> begin with.>
> Dimitris Tsokakis>
>> >
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