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<FONT face=Arial color=#0000ff
size=2>DT, you misunderstood or perhaps I didn't explain properly:
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>The collection of stocks traded is kept constant at 100, no
stocks were ever removed (RFMD and ERICY were traded in all
cases). S<SPAN
class=280391911-31122003>tocks
are only removed from the composite one at a time, they are NOT
removed from the stocks traded. Removing certain stocks from the composite made
a huge difference in profits.
<SPAN
class=280391911-31122003><FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>herman
<FONT face=Tahoma
size=2>-----Original Message-----From: DIMITRIS TSOKAKIS
[mailto:TSOKAKIS@xxxxxxxxx]Sent: December 31, 2003 6:40
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Stock-Sensitivity Analysis of CompositesHerman,It
may be strange at first sight but it is not.From the recently removed N100
stocks, RFMD and ERICY were in the 4digit profit list for many systems [by
far the best fit for many complicated indicators]. If a system runs at
+100% and RFMD runs, for the same period and settings, at +1500%, the
result of removing RFMD is obvious.<SPAN
class=280391911-31122003>
The profitability is not, IMO, the crucial criterion
for a group of stocks. <FONT
face=Arial color=#0000ff size=2> The peaks
are more important. When they are sharp, then the directionality is here
and may give clear [and repetitive] signals.This [very important] property
was not affected by the recent change, not even the extended change one
year ago and may give a basis for important trading hints . A strong Sell
signal is more important from the [paper] profitability of a system over
100 or 500 stocks.Another interesting issue is the local peaks/troughs of
the composite equity line : Systems suffer from wrong timing sometimes,
causing troughs to the average equity. They also suffer from temporary
curve fitting, it is when we see [excellent] equity peaks. If this curve
fitting period is, by chance, the last two months, then the system
will present huge profits, without *any* guarantee for the next 6
months.That´s why I try to discover sharp signals.Dimitris
Tsokakis--- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen"
<psytek@xxxx> wrote:> Hello,> > It appears that
the removal of a single stock in your composite can make a> big
difference in system performance. The program below shows that
profits> can vary from 82% to 575% by just removing one single
stock from the> composite. I have found similar results in other
trading systems.> > You should replace the demo system's code,
found in the SystemUnderTest(),> with your own composite-using
system. You may also have to modify the type> of composites
created; for this example I used simple price composites while> you
may be using MeanRSI type of composites.> > You can open your
WorkSpace, select Candle or Bar style, and step through> the
composites to see in detail how the removal of single stocks effect
the> composite. The Symbol attached to the "~Comp" indentifies the
ticker that is> ommitted from the composite.> > While
this effect will vary for different systems it could, in some
case,> explain the "demise" of systems when ticker lists are
changed. If nothing> else it shows that nothing should be taken for
granted in systems design.> > herman.> >
/*> Composite stock-sensitivity analysis - Herman van
den Bergen> 1) Set filter to the watchlist used to create
composite> 2) Set WatchlistNum in first line of code below to the same
watchlist number> 3) Set All Quotations and run Scan> 4) For
a normal test (full composite) set Range and run the
Old-Backtester> 5) To see how a single stock effects group
performance set Filter to> Watchlist selected earlier and run the
Old-Optimizer 6) To see how the> removal of one stock effects
individual equities run an Eploration> */> >
WatchListNum = 0;>
Scan = Status("Action")==3;>
BackTest = Status("Action")==5;> Explore =
Status("Action")==4;> List =
GetCategorySymbols( categoryWatchlist, WatchListNum);>
InitialEquity = 100000;> Filter =
Status("LastBarInTest");>
SetOption("InitialEquity",InitialEquity);>
SetOption("NoDefaultColumns",True);> Buy=Sell=Short=Cover=0;>
> function SystemUnderTest( RemovedTicker )>
{> Comp =
"~Comp"+RemovedTicker;> // Create your own type of
composites below>
V=Foreign(Comp,"V");>
O=Foreign(Comp,"O")/V;>
H=Foreign(Comp,"H")/V;>
L=Foreign(Comp,"L")/V;>
C=Foreign(Comp,"C")/V;> > // Substitute your
own composite-based system for the one below>
Sell=Cross( MACD(), Signal() );> Buy = Cross(
Signal(), MACD() );>
Short=Sell;> Cover=Buy;> //
End trading system> return
Equity(0);> }> > if(Scan)>
{> // Create normal
composite>
AddToComposite(1,"~Comp","V");>
AddToComposite(O,"~Comp","O");>
AddToComposite(H,"~Comp","H");>
AddToComposite(L,"~Comp","L");>
AddToComposite(C,"~Comp","C");> > // Create
composites with one stock removed> for( n=0;
(RemovedTicker=StrExtract( List, n))!= ""; n++)>
{> if( RemovedTicker!= Name()
)>
{>
AddToComposite(1,"~Comp"+RemovedTicker,"V");>
AddToComposite(O,"~Comp"+RemovedTicker,"O");>
AddToComposite(H,"~Comp"+RemovedTicker,"H");>
AddToComposite(L,"~Comp"+RemovedTicker,"L");>
AddToComposite(C,"~Comp"+RemovedTicker,"C");>
}> }> > } // End Scan> >
if(explore)> {>
AddTextColumn(Name(),"TradedTicker",1.0);> RefEquity = SystemUnderTest(
"" );> AddColumn(RefEquity,"NormalEquity",1.2);>
AddColumn(Null,"Removed->",1.0);> for( n=0;
(RemovedTicker=StrExtract( List, n))!= ""; n++)>
{> NewEquity = SystemUnderTest( "~Comp"+RemovedTicker
);>
AddColumn(NewEquity,RemovedTicker,1.2);> }> }
// End Explore> > if( BackTest )>
{> for( n=0; (RemovedTicker=StrExtract( List, n))!=
""; n++);> RemovedTickerNum =
Optimize("RemovedStockNum",9999,0,n-1,1);>
RemovedTicker=StrExtract( List, RemovedTickerNum );>
if(RemovedTickerNum==9999) RemovedTicker = "";>
SystemUnderTest( RemovedTicker );> } // End
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