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Today's software for trading systems can take you down some dangerous
paths and it is a literal siren call for optimized systems. With the
advent of today's high-performance desktop computers and software as
well as the availability and cheapness of historical data, trading
systems are more prevalent than ever. These systems usually hold out
the promise, either implicitly or explicitly, of assured trading
rewards. The majority of the trading systems being offered to the
trader today are presented with hypothetical track records showing
the excellent profitability and performance that could have been
obtained by using that system.
With the anecdotal method, it's easy to portray a system as holding
the promise of future profitability, because this method only shows
those examples carefully chosen from the past that produce positive
results! Many of the buy and sell signals are picture perfect,
selling very near exact tops and buying very near exact bottoms.
One of the problem with OmniTrader (OT) is that the founder Ed Downs
thinks that Mechanical Systems can't exist because the moment users
discover it, it will become obsolete and hence have to re-discover it
because they will destroy it and so Optimization is the way to go,
not Optimization of individual systems, but a collection of systems
and a Voting methodology based on APR and Adviser Rating. I
respectfully disagree, because I use an un-optimized robust
mechanical individual system which has been in R&D for over 40 years
and I believe there are quite a number of silent users, and it is the
best system I have come across, but requires great skill in
Interpreting the signals it generates made difficult previously by a
lack of versatile trading system platform development tools. The 6
or so profiles in the current version of OT combined with
filters/confirmation systems etc., to develop an Expert System, seems
to bring it closer to the Expert System I have developed over the
years, but one could easily fall into a trap by over-optimizing. A
robust system is one that uses the least number of parameters and
still have a good chance of being profitable in the future.
Nevertheless, one would still require a great deal of effort in
developing systems using any platform. I would suggest you to read
articles on optimization and robustness in this forum and decide for
yourself.
Using OT, you could fix the optimized periods without ever having to
do re-optimization simulating an un-optimized system on OutOfSample
periods, provided the in-sample period optimization is sufficiently
long-enough (15 years) so that it is an accurate representation of
the real-world and any chance that may have played in producing
excellent results may be minimal. In that sense, it could be a good
System, but a very expensive one indeed, not to mention the enormous
amount of time and energy one would have to spend in developing a
comprehensive expert system and testing it in the real-world.
AB is the best platform to develop Trading Systems (Primary,
Verification and Interpretation Systems) and its Optimization and
BackTesting module is absolutely indispensible to develop a good
Money Mangement Strategy which finally helped me to estimate
DrawDowns and optimize position size. DrawDowns, as you might be
aware threatens your survival as a trader, but you might get away
without estimating it provided you use a strategy of tight stops, and
provided you do not day-trade where there are numerous losses and
occassional gains with a tight-stop strategy. AB support through its
official channels and the user group is excellent making it fast and
easy to develop powerful systems and most of the systems are already
available in the AFL library and S & C trader tips and through gifts
from its most accomplished users. In future AB might also include
Monte Carlo Simulations.
Monte Carlo simulation is a way to account for the randomness in a
trading parameter -- in this case, the sequence of trades. The order
in which losses and gains come dictates the drawdown and thus the
risk of loss (Figure 1). This order is random, and therefore, so is
the risk of loss.
In Monte Carlo simulations, the basic idea is to take a sequence of
trades generated by a trading system, randomize the order of trades,
and calculate the rate of return and the maximum drawdown, assuming
that x% of the account is risked on each trade. The process is
repeated several hundred times, each time using a different random
sequence of the same trades. You can then pose a question such
as, "If 5% of the account is risked on each trade, what is the
probability that the maximum drawdown will be less than 25%?" If
1,000 random sequences of trades are simulated with 5% risk, for
example, and 940 of them have maximum drawdowns of less than 25%,
then you could say the probability of achieving a maximum drawdown of
less than 25% is 94% (940/1,000).
It is just a matter of time before I convert all of my systems
developed in other software into AB...
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "aadicker698" <aadicker698@xxxx>
wrote:
> I had purchased OmniTrader two days ago, and am awaiting it's
> arrival. Then, yesterday, I ran across the Amibroker site and
loved
> what I read. Has anyone ever used OmniTrader? Would it be worth
my
> time to learn it, or should I focus on learning Amibroker? All
> honest and frank suggestions/opinions would be greatly appreciated!
>
>
> Anthony
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