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[amibroker] CORRECTION: Reported Sharpe Ratios



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<FONT face=Arial 
color=#0000ff size=2>ok. thanks duude!
<FONT face=Arial 
color=#0000ff size=2> 
<FONT face=Arial 
color=#0000ff size=2>you still having those probs?
<FONT face=Arial 
color=#0000ff size=2> 
<FONT face=Arial 
color=#0000ff size=2>d

  
  
  From: Gary A. Serkhoshian 
  [mailto:serkhoshian777@xxxxxxxxx] Sent: Tuesday, March 23, 2004 
  2:56 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: 
  [amibroker] Where do we stand with the CSI data? Was CSI/UA data to AB (2 
  methods)
  
  Howdy Dale,
   
  I'll let you know once the next version of CSI's UA comes out.  
  Since neither b nor Chuck have had the problems I have, perhaps it was a 
  fluke.
   
  Regards,
  Garydingo <dingo@xxxxxxxxxxxx> wrote:
  <BLOCKQUOTE class=replbq 
  >
    
    <SPAN 
    class=437013117-23032004>For those of us timid mice what's the status? Have 
    all of the issues been resolved?
    <SPAN 
    class=437013117-23032004> 
    <SPAN 
    class=437013117-23032004>TIA
    <SPAN 
    class=437013117-23032004> 
    <SPAN 
    class=437013117-23032004>d
    
      
      
      From: Gary A. Serkhoshian 
      [mailto:serkhoshian777@xxxxxxxxx] Sent: Monday, March 22, 2004 
      8:41 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: 
      [amibroker] CSI/UA data to AB (2 methods)
      
      Thanks Chuck for pointing this out.  To your point in previous 
      posts, you'd mentioned handling this via watchlists.  I've been doing 
      this thanks to b's help, and it's working splendidly.
       
      In terms of a follow-up on CSI's support, Rudi did contact me, and 
      sent me a fix for the EAccess error.  Now that everything is working, 
      it is pretty sweet having the data locally stored in AB.
       
      Kudos to Chuck who has always preached, and validated with stats, the 
      importance of comprehensive historical data.  I'm certain these 
      efforts I'm making are certainly worth it.
       
      Regards,
      Gary
       
      Chuck Rademacher 
      <chuck_rademacher@xxxxxxxxxx> wrote:
      <BLOCKQUOTE class=replbq 
      >
        
        <FONT face=Arial color=#0000ff 
        size=2>b,
        <FONT face=Arial color=#0000ff 
        size=2> 
        <FONT face=Arial color=#0000ff 
        size=2>Thanks for taking the time to document how this all 
        works.   I'm glad that someone has the 
        patience!
        <FONT face=Arial color=#0000ff 
        size=2> 
        <FONT face=Arial color=#0000ff 
        size=2>One note though....
        <FONT face=Arial color=#0000ff 
        size=2> 
        <FONT face=Arial color=#0000ff 
        size=2>I see a problem with the technique you are using.   You 
        are letting the foreign and preferred stocks into your trading 
        logic.  It's all well and good to ignore them, but they are using 
        up position numbers.   Let's say you want to trade ten stocks, 
        but two of them are Canadian stocks.   You will only be 
        trading eight stocks.   It's a minor point, but I prefer to 
        filter them out BEFORE they get into my trading logic rather than ignore 
        them from my "orders list".   It's certainly easy enough to 
        do.
        <FONT face=Arial color=#0000ff 
        size=2> 
        <FONT face=Arial color=#0000ff 
        size=2>Just my thoughts on the subject.   I'm sure enjoying 
        the new CSI export to AB.  It saves me about three hours a 
        day!
        <FONT face=Arial color=#0000ff 
        size=2> 
        <FONT face=Arial color=#0000ff 
        size=2> 
        <FONT face=Arial color=#0000ff 
        size=2> 
        <BLOCKQUOTE 
        >
          <FONT face="Times New Roman" 
          size=2>-----Original Message-----From: b 
          [mailto:b519b@xxxxxxxxx]Sent: Monday, March 22, 2004 3:16 
          PMTo: amibroker@xxxxxxxxxxxxxxxSubject: 
          [amibroker] CSI/UA data to AB (2 methods)TJ 
          is right. The new "distribution" (ie, export) featurebuilt into 
          CSI's UA 2.7.8 is very fast.Here is a quick outline of how to 
          set it up. I will explain2 methods - I use both.Method 
          One: Create a Trading Database1. Open AB and create a NEW 
          database and call it"csiTRADING". There is no need to specify any 
          plug-in.2. Open CSI's UA (CSI's Unfair Advantage). Click on 
          thePreferences menu and then click on "Distribution 3" (theone 
          for AB). Select the settings you want. For examplecheck the 
          box for - Export all stocks to Amibrokerset the number of days 
          to export. Usually I00 days is morethan I need, but the export of 
          300 days is also fast (lessthan 15 minutes on my computer) so that 
          is what I tend touse.  uncheck the box for - "Include 
          Delisted Stocks..." Thatwill exclude all the inactive stocks. 
          Remember, this fisrtdatabase is just for trading so inactives or 
          delistedstocks are not needed. check the box - "Export 
          history with next download". Besure to check this if this is your 
          first export to the ABdatabase. If you download CSI data daily, 
          this does notneed to be check. However, if you skipped a day, or 
          if youdownloaded the data but did not have AB open at the 
          time,then it would be best to "check" the box. Note: this 
          will export "all" active stocks to AB includingstocks from the the 
          3 US exchanges (NYSE, AMEX, NASDAQ)plus two Canadian (TORONO and 
          VANCOUVER) and one European(LONDON). Stocks from the foreign 
          exchanges are identifiedby the addition of "-T", "-V", "-L". Also 
          there are somepreferred stocks which are identified by "+A" etc. 
          I do not know of any way to stop CSI's UA from 
          exportingthese foreign and preferred stocks, but it is no 
          bigproblem. I just have use AB's exploration print a list 
          ofstock picks and I ignore the ones with suffixes.Method 
          Two - Creating a Research Database1. Open AB and create a new 
          database called "csiRESEARCH"or whatever name you want.2. 
          Open CSI's UA and set the number of days to 2,500 (about10 years 
          worth of data). If you paid CSI for additionaldata (about 
          20$/year) then add about 250 days for eachadditional year. 
          Exporting 13 years of data for active andinactive stocks takes 
          over a hour on my computer, so I onlycreate a Research database 
          once a month or so.3. Check the box to "Include Delisted 
          Stocks, add Csinum toSymbols". This is very important because this 
          will give youtwice as many stocks and thus more trustworth back 
          testresults.4. Check the box "Export history with next 
          download". Note: You do not have to wait for the next download 
          to dothis export. You can force UA to do the export at any 
          timefrom the Menu: Database/Manual Database 
          Distribute.Note: The foreign and preferred stocks are a bit of 
          aproblem for back testing. My solution is use some 
          watchlistcreation AFL code to put them into a special group 
          orwatchlist and then just exclude that watchlist or groupwhen 
          doing AA 
          backtests.b__________________________________Do 
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