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Yes, the 1/2% commission is to factor in slippage. This high
commission rate will often take what might appear to be a tradable
system and kill it, but that is life.
The only publication I like that gives occasional trading system ideas
is SFO magazine ( sfomag.com ). They interview trading professionals
who share enough of their techniques to give the reader some ideas for
backtests.
Then I have at least a dozen books with multiple stradegies that I
have only scratched the surface backtesting.
And there are many... many ideas for backtests and systems from user
posts to the AB forum. Pull in the Archive of posts and play with them.
While you did not ask, last year I wasted a lot of hours on some
systems development that looked good, only to find out that while I
meticulously avoided looking into the future on Buys, Sell, Short &
Cover conditions, I failed to consider that my PositionScore variables
values were based upon same day Trade Entry, which of course meant
that PositionScore was looking into the future. That knocked the wind
out of me after spending so much time on these systems.
Good luck.
--- In amibroker@xxxxxxxxxxxxxxx, "Christoper" <turkey@xxxx> wrote:
>
> Hey - thanks for the reply... I don't think I was exactly clear. I
> was wondering, now without TASC, what other magazines, newsgroups,
> websites do you visit.
>
> Thanks...
>
> BTW in your reply you said: "Establish commissions or transaction
> costs of at least 1/2% on each side of the trade" Well my broker
> charges fairly straight commissions, so I'm faily certain of the
> commissions. Now as for the 1/2% is this like to compensate for
> slippage? and then how would the 1/2% be used in afl code?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> >
> > I don't have a simple answer for you, but I can give some guidance...
> >
> > 1) Open yourself up to as many sources of ideas as possible.
> >
> > 2) Establish some basic setup parameters such as:
> > SetFormulaName( "Name of your Backtest" );
> > SetTradeDelays(1,1,1,1);
> > SetOption("InitialEquity", 100000);
> > SetOption("AllowPositionShrinking",True);
> > RoundLotSize = 1;
> > PositionSize = -20;
> > Buy = Sell = Short = Cover = 0;
> >
> >
> > 3) Apply the purported rules of the new Buy, Sell, Short, Cover
> > setups. (You eill need to test Long and Short setups both seperately
> > and in Combo).
> >
> > 4) Establish commissions or transaction costs of at least 1/2% on each
> > side of the trade.
> >
> > 5) If your initial results are in any way positive, then start
> > tweaking your parameters to see if you can get any improvements,
> > including adjusting the SetTradeDelays parameters to match 'real life'
> > trading conditions.
> >
> > All of the above is pretty intuitive. And usually, you will be able to
> > cull 98%+ of all stradegies on the 1st pass or two.
> >
> > But when you get any kind of positive result, then dig in and be
> > prepared to spend 20 to 40 hours to tweak the stradegy to see where it
> > leads you.
> >
> > My problem at present is that I blow up on 98% of my optimize efforts
> > as a result a current memory bug in AB which TJ promises to fix in the
> > next major release of AB.
> >
> > Rgds..
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Christoper" <turkey@xxxx> wrote:
> > >
> > > Yeah, I've purchased, tested, played with tasc issues over the past
> > > year, and never found anything really useful either. Its
encouraging
> > > to see that I'm not alone.
> > >
> > > Having said that, where else do you go for 'inspiration'?
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> > > >
> > > > Graham,
> > > >
> > > > One final point...
> > > >
> > > > The reason I stopped subscribing to TASC several years ago was
> that I
> > > > don't remember *ever* seeing any articles written in TASC that
shed
> > > > any real *lignt* on trading.
> > > >
> > > > But that may be just my own limited viewpoint.
> > > >
> > > > Rgds,
> > > >
> > > > Phsst
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> > > > >
> > > > > Hi Graham,
> > > > >
> > > > > I don't subscribe to TASC either.
> > > > >
> > > > > But from the variable names of the afl, it seems clear what the
> > > > > intention of the logic is.
> > > > >
> > > > > And if you are like me, you might have put together some
> simple afl
> > > > > backtests to 'see what shakes'.
> > > > >
> > > > > My own quick analysis pretty well discounted the validity of the
> > > > > variable names.
> > > > >
> > > > > If anyone found anything positive about the Entry / Exit logic
> > of the
> > > > > stradegy, then let the rest of us know. Otherwise, a
> > confirmation post
> > > > > of the lack of validation would be appreciated.
> > > > >
> > > > > Rgds,
> > > > >
> > > > > Phsst
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx>
> wrote:
> > > > > > Is it possible to get the description of how this is used
> please?
> > > > > >
> > > > > >
> > > > > > On Sun, 16 Jan 2005 07:18:38 +0800, Graham <kavemanperth@xxxx>
> > > wrote:
> > > > > > > It is the regions when the conditions Entrysignal and
> exitsignal
> > > > > are both false
> > > > > > > Entrysignal = blue
> > > > > > > exitsignal = orange
> > > > > > > else = grey
> > > > > > >
> > > > > > > On Sat, 15 Jan 2005 22:44:50 -0000, sthlm_69 <sthlm_69@xxxx>
> > > wrote:
> > > > > > > >
> > > > > > > >
> > > > > > > > Tomasz,
> > > > > > > >
> > > > > > > > We know what the red and blue color ribbon is, but what
> is the
> > > > grey?
> > > > > > > >
> > > > > > > > Thanks.
> > > > > > > >
> > > > >
> > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
> > > > <amibroker@xxxx>
> > > > > > > > wrote:
> > > > > > > > > Hello,
> > > > > > > > >
> > > > > > > > > OK. It is posted now.
> > > > > > > > >
> > > > > > > > > Best regards,
> > > > > > > > > Tomasz Janeczko
> > > > > > > > > amibroker.com
> > > > > > > > > ----- Original Message -----
> > > > > > > > > From: "jnk1997" <jnk1997@xxxx>
> > > > > > > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > > > > > > Sent: Saturday, January 15, 2005 10:00 PM
> > > > > > > > > Subject: [amibroker] TJ: TASC February 2005 Traders Tips
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > > Thomasz,
> > > > > > > > > >
> > > > > > > > > > Could you please post the code for "The Truth about
> > > > Volatility"
> > > > > > > > in
> > > > > > > > > > the members area please.
> > > > > > > > > >
> > > > > > > > > > Thanks
> > > > > > > > > > Jim
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > > Check AmiBroker web page at:
> > > > > > > > > > http://www.amibroker.com/
> > > > > > > > > >
> > > > > > > > > > Check group FAQ at:
> > > > > > > >
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > > > > > > > Yahoo! Groups Links
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > Check AmiBroker web page at:
> > > > > > > > http://www.amibroker.com/
> > > > > > > >
> > > > > > > > Check group FAQ at:
> > > > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > > > > > Yahoo! Groups Links
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > --
> > > > > > > Cheers
> > > > > > > Graham
> > > > > > > http://e-wire.net.au/~eb_kavan/
> > > > > > >
> > > > > >
> > > > > >
> > > > > > --
> > > > > > Cheers
> > > > > > Graham
> > > > > > http://e-wire.net.au/~eb_kavan/
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