|
PureBytes Links
Trading Reference Links
|
So it's valid to scan for things that you can't backtest ?
I guess I'd agree for those that are discretionary traders.
--- In amibroker@xxxxxxxxxxxxxxx, "Dan Clark" <dan_public@xxxx>
wrote:
> Dingo,
>
>
>
> Thanks for posting this.
>
>
>
> From a trading system development perspective, I agree. However,
from a
> scanning perspective, I disagree. Even current information would
be very
> useful in scans.
>
>
>
> Regards,
>
>
>
> Dan.
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of dingo
> Sent: Wednesday, July 20, 2005 8:47 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: Tomasz, GetExtraData() Array Question
>
>
>
> You guys need to read this msg from the beta forum:
>
>
>
> http://finance.groups.yahoo.com/group/amibroker-beta/message/1882
>
>
>
> It follows below:
>
>
>
>
>
>
> From: "Tomasz Janeczko" <amibroker@>
> Date: Thu Feb 3, 2005 4:37 pm
> Subject: Re: [amibroker-beta] TC20005 and GetData
>
> amibroker <http://profiles.yahoo.com/amibroker>
> <ymsgr:sendIM?amibroker> OfflineOffline
>
> <http://finance.groups.yahoo.com/group/amibroker-beta/post?
postID=xkGwdsJ5hI
> oa_1u9tRXDrKyM6jGb06lGA2Tbcn9YUZBtl-
e05Nrjy9TVLzoXuGtw1mu9h_qMzjy7GGAK2wDM3f
> u8GaxHYNzA6z6hbA> Send EmailSend Email
>
>
>
>
> Hello,
>
> Small clarification: there are few fundamentals available from
TC2000
> like Capitalization, Dividend/Yield, Earnings but these are all
just
> *current*
> values. No historical data.
>
> So from "trading strategy development" point of view they are not
useful.
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Tomasz Janeczko" <amibroker@
> <http://finance.groups.yahoo.com/group/amibroker-beta/post?
postID=k-54KdmuQO
> fx8o0d-
jeZZs3EOL0EWPF52iLKOGWZHQ_ubpFKqSEpFlxEENvkyOKy6Hx1E45iOziIpPM> >
> To: <amibroker-beta@xxxxxxxxxxxxxxx
> <http://finance.groups.yahoo.com/group/amibroker-beta/post?
postID=JbviPvsSUh
> gcscV39YKXwMnfeD4EH1WAviWmnwytZhkMwEX0BG0giqdRKTPxC-
ZQzIUOKc0F0Wd13Di2-s_nCC
> Mzpqw> >
> Sent: Thursday, February 03, 2005 10:13 PM
> Subject: Re: [amibroker-beta] TC20005 and GetData
>
>
> >
> > Hello,
> >
> > You should direct this suggestion to the data vendor.
> >
> > As of now TC2005 API does NOT allow to retrieve ANY extra data
except what
> is
> already available in current
> > plugin ("BOP" and "MoneyStream"). Specifically NO historical
fundamental
> data
> is available from TC2K API.
> >
> > As for QP2 GetExtraData it has way more fields than two.
> > http://www.amibroker.com/f?getextradata
> > but indeed only QRS and EPSRank have any historical data (others
are
> "current"
> only)
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "Joe Landry" <jelandry@
> <http://finance.groups.yahoo.com/group/amibroker-beta/post?
postID=gJ1iU8JcJd
> qQM_QebsZhLIkQQ0oHHF2nRl9Hu14-ObuCiHZp-O5e5nkelKa8vjUHv__ux-
d6AVivMpKB> >
> > To: <amibroker-beta@xxxxxxxxxxxxxxx
> <http://finance.groups.yahoo.com/group/amibroker-beta/post?
postID=JbviPvsSUh
> gcscV39YKXwMnfeD4EH1WAviWmnwytZhkMwEX0BG0giqdRKTPxC-
ZQzIUOKc0F0Wd13Di2-s_nCC
> Mzpqw> >
> > Sent: Thursday, February 03, 2005 9:38 PM
> > Subject: [amibroker-beta] TC20005 and GetData
> >
> >
> >>
> >> Before you close the books on the TC2005 plug ins and make it a
> production
> >> copy,
> >> could I suggest some additionals GetExtraData as you did in
Quotes Plus?
> >>
> >> I don't know a thing about the new version of TC2005, but I've
always
> looked
> >> for addition earnings and fundamental data. Unfortunately the
QP3
> >> GetExtraData
> >> only has 2 arrays QPS and EPSRank, but would like more. It's
surprising
> how
> >> a trading strategy based on setup and entries improves when you
add a
> >> fundamental
> >> filter (or Score) to it.
> >>
> >> What do you think? Probably would have kept me a TC2000
customer if you
> >> need
> >> justification for t
> >> the Worden Bros.
> >> Best Regards
> >>
> >> JOE
> >>
>
>
>
>
> _____
>
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of sgfuchs
> Sent: Wednesday, July 20, 2005 11:30 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Tomasz, GetExtraData() Array Question
>
> Hello Dan,
>
> I don't think that you hijack this thread. Actually, I made the
> proposal several years ago to Tomasz to create a link between AB
and
> databases like TC2000 and QP ( I think with AB 1.8 or so - don't
> remember ).Others on the board supported this idea.
>
> Coming back to your question - well I have yet to find a single
> trading / investing software which can do all the tasks I do for
my
> trading.
>
> Each product has it's advantages and disadvantages. I'll not give
a
> detailed review of both applications here. Let me say, I use both
> since a couple of years - with some breaks for each one of them in
> between due to my job constraints.
>
> As I said already in my post ( or didn't I ? ) TA is very much
> limited in QP / SPP ( which is a short version of the HGSI
product )
> and I use it primarily as a data provider. Also, the Charting
module
> in QP is far from userfriendly. Hence I made the proposal severalö
> years ago, that Tomasz should create the ability for AB to read QP
> data directly. My request to QP, to use AB charts directly when
> calling a chart from the SPP Module was not considered up 'til now
> though ;-)
>
> Although I like the features in QP like the Data Warehouse ( SPP
> now ) for setting up particular scans, possibilities are rather
> limited to compare - say one parameter with another - in it's
> screens.
> Even Reuters stock-selector ( today called Power-Screener ) was
> lightyears ahead of QP and for free when it comes to this point
i.e.
>
> - Well, one could try to do this in the QP scanning module ( so
> called Advanced scans ) but being a lazy person, I like the Easy
> scans in TC 2005 very much. With TC2K 4.2 version, they started to
> offer the possibilty to use more spreadsheets (tabs) and to add
more
> PCF's as selection tools in the the header rows. So it was easy to
> setup a couple of Buy / Sell criteria and see them right away
after
> the daily update in your desired easyscan stocklist.
> Also, the way you can create use and sort individual indicators
was
> very much appreciated.
>
> One drawback with TC2000 and 2005 is the very limited amount of
> fundamental data ( more then most other quote providers offer, but
> still no match for QP3 )
>
> I made some good money with my TC scans and one should not change
a
> winning horse ( until it stops winning ) in the middle of a race.
I
> have coded some "Bread & Butter" strategies and easy scans in
TC2000
> and I'm simply to lazy to rewrite them all for AB.
> The biggest advantage of TC is, that it runs all strategies PCF's
> and easy scans during a singly update which takes only a few
minutes
> on my PC. In addition, I can update TC2005 during the markethoures
(
> 20 minutes delayed data ) to scan for certain patterns which
develop
> during the day again for all scans, lists, PCF's etc.
> - not possible with QP.
>
> Finally - I rely heavily on my volatility based money-management
for
> positionsizing. Few people would belief what a difference proper
> moneymanagement makes. Let me just say, that my positionsizing
> algorithm can make a difference of 100% and more on the
performance
> of many trading systems - with much less drawdowns and , most of
the
> time, less than 50% of my trading capital employed ( at Risk ).
> Read Van Tharp's "How to trade your way to financial freedom" and
> you know what I mean. My MM aand Positionsizing code is a
derivative
> from his proposals / findings and I can tell you, since
>
> These algorithms are coded in TC and with every stock I call up, I
> see at once how many shares to buy, at which prefered entry-price
> where to set my stops and where to set my profit targets.
> This system is dynamic and changes with every new quote - hence I
> can use it also for scaling in and out strategies, depening on the
> volatilty of the underlying.
>
> BTW = it has nothing to do with the ATR stop used in AB's
> backtester, which unfortunately leads to disappointing results in
> most backtests.
>
> Hope you got the idea, why I still use TC2005 along with QP. Also
I
> must admit, the real Money-Makers have been my TC2000/5 scans /
> signals for the last 3 years ( + Moneymanagement ! )
>
> With QP, it's a love and hate affair :
> I love their fast and friendly customer service and the
fundamental
> screening abilities of SPP also - making use of the HGSI ratios (
> PSR,EGR and so forth ) also, their A/D indicators are quite
> valuable. I make heavily use of the self definable combo ranking -
> which is also dynamic and offers a lot of hidden power to finetune
a
> scanning strategy.
> However - what I hate with QP are the limited TA possibilities,
the
> oldfashoined charting module, missing backtest of strategies.
> One has to gain trust in his own setups by really trading the
> results. I use IB as my broker and their low commissions make it
> possible to test-trade certain strategies without putting to much
> money on the table.
>
> In a nutshell : I'm making money with my whole setup ( except with
> Omnitrader because I never found the guts to simply trade it's
> signals - although it had been right more often than I thought. )
>
> So I don't change it lightheartily unless I would find a tool that
> could combine all these possibilities for a still reasonable
price -
> Haven't found it yet, although VV and 123portfolio come a bit
closer
> now.
>
> Sorry for the long reply. Hope it was still helpful.
>
> regards and good trading
> Stefan
>
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dan Clark" <dan_public@xxxx>
> wrote:
> > Stefan,
> >
> >
> >
> > Not trying to hijack this thread, but I noticed that you use
both
> QP and
> > TC2005. (I'm interested because I'm thinking of replacing
TC2005
> with QP.)
> > Why have both? What benefits does TC2005 provide that QP does
not?
> >
> >
> >
> > Thanks and regards,
> >
> >
> >
> > Dan.
> >
> >
> >
> > _____
> >
> > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
> On Behalf
> > Of sgfuchs
> > Sent: Wednesday, July 20, 2005 2:41 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Tomasz, GetExtraData() Array Question
> >
> >
> >
> > RJS
> >
> > AB provides a list of QP datafields which can be accessed via
> > getextradata function - see helpfile "Getextradata" function.
> >
> > In order to retrieve "historical data" for these fields ( if
> > provided
> > by QP )you need to use also the "ref(Getextradata("XXXXX")"
> function
> > and to enter the days/periods for how long AB should look back
in
> > the QP database.
> >
> > EPSRank i.e. is available back to January 8th. 02
> >
> > I have created a fairly complex strategy / Exploration /
> > Tradingsystem around the datafields available from QP which I
can
> > backtest in AB because there's no other way to check the
validity
> of
> > stock selections performed in SPP based on fundamentals.
However,
> I
> > needed to create a lot own "datafields" and ratios to be
> calculated
> > by AB in order to "simulate" rthe selection and ranking process
in
> > SPP/ HGSI. It seems, that this system works quite well in real
> live
> > trading. But the possibilities for backtesting are still very
much
> > limited due to the fact, that I cannot access certain QP
> datafields
> > in AB ( in particular the ranking values and A/D letter ranks )
> >
> > Hence I would second the proposal to include some more QP
> > datafields - at least those, which one can already access also
in
> > Excel via the QP Excel plugin. For most other fields, I fear,
they
> > are calculated during each update and / or no historical figures
> are
> > kept.
> >
> > That's one of the drawbacks of QP / HGSI - backtesting of
> > fundamental
> > strategies or combined fundamental / technical strategies is
> > impossible without 3rd. party software like AB - and even this
> > combination is rather limited.
> >
> > I used Vectorvest Online including their ProTrader application
for
> a
> > 5
> > week trial because it allows a quite convenient backtesting of
> > fundamental strategies because it stores historic fundamental
> values
> > and their ratings, partially back to 9 years. The software is
very
> > easy to use and very stable. However, TA is
> > However - 60.- etxra a month + a 495.- USD one time fee for
> > Pro-Trader
> > in addition to my current data subscriptions is a bit too much
for
> > me.
> > ( I use already AB, Omnitrader, QP and TC2005 )
> >
> > 123portfolio.com allows also portfolio level backtesting on more
> > than
> > 500 fundamental andf technical parameters, including a quite
> > sophisticated ranking system for selection of trades. Several
> users
> > over there are very educated and experienced. Some of them have
> > already posted their real live portfolio results vs. hteir
> > backtesting
> > strategies. At least from these documents, one can draw the
> > conclusion, that this stuff works - and it has to, because it
makes
> > no
> > sense to have a portfolio turnover of 500% a year with mediocre
> > results.
> >
> > For what I can see, 123portfolio standard folio's outperform the
> S+P
> > by about 40% a year. Take this with a grain of salt - almost all
> > strategies are small cap related and hence the SP 600 or RUT
would
> > be
> > a more realistic comparison for perfomance.
> > I compare those results with either small-cap mutual funds or
the
> > new
> > Powershares ETF's ( i.e. PWO, PWC ) because they offer a
> mechanical
> > way to invest in a quantitative strategy without the hassel of a
> > 500%
> > portfolio turnover / year and no tax problems due to shortterm
> > gains.
> > Up 'til now, their performance is very impressive for Indexbased
> > ETF's
> > ( Intellidex Indexes ) see www.powershares.com
> >
> > regards
> > Stefan
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "razorruss17" <rsebring@xxxx>
> > wrote:
> > > Please Help!
> > >
> > >
> > > Gary over at Quotes-Plus told me on QP's message board that QP
> > > database contains historical earnings and revenues data
fields.
> If
> > > this is the case shouldn't we be able to use the GetExtraData()
> > > command to extract array's beyond the QRS, and EPSRank arrays?
> > There
> > > seems to be a strong interest in many QP and Amibroker users
to
> be
> > > able to accomplish this. What's the verdict, Tomasz? Anyone??
> > >
> > >
> > > RJS (Russ)
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> >
> >
> >
> >
> > SPONSORED LINKS
> >
> >
> > Investment
> > <http://groups.yahoo.com/gads?
> t=ms&k=Investment+management+software&w1=Inves
> >
>
tment+management+software&w2=Investment+property+software&w3=Investme
> nt+soft
> >
>
ware&w4=Investment+tracking+software&w5=Return+on+investment+software
> &w6=Sto
> > ck+investment+software&c=6&s=195&.sig=f7GzIv9NJMWrH8f5eIxZQQ>
> management
> > software
> >
> > Investment
> > <http://groups.yahoo.com/gads?
> t=ms&k=Investment+property+software&w1=Investm
> >
>
ent+management+software&w2=Investment+property+software&w3=Investment
> +softwa
> >
>
re&w4=Investment+tracking+software&w5=Return+on+investment+software&w
> 6=Stock
> > +investment+software&c=6&s=195&.sig=fBbyjQAf07KrkKtKejJqSg>
> property
> > software
> >
> > Investment
> > <http://groups.yahoo.com/gads?
> t=ms&k=Investment+software&w1=Investment+manag
> >
>
ement+software&w2=Investment+property+software&w3=Investment+software
> &w4=Inv
> >
>
estment+tracking+software&w5=Return+on+investment+software&w6=Stock+i
> nvestme
> > nt+software&c=6&s=195&.sig=JfxNHYIXqCuLAnnc8YN4_A> software
> >
> >
> > Investment
> > <http://groups.yahoo.com/gads?
> t=ms&k=Investment+tracking+software&w1=Investm
> >
>
ent+management+software&w2=Investment+property+software&w3=Investment
> +softwa
> >
>
re&w4=Investment+tracking+software&w5=Return+on+investment+software&w
> 6=Stock
> > +investment+software&c=6&s=195&.sig=SgkrPC352yiiN_zJGzIM9Q>
> tracking
> > software
> >
> > Return
> > <http://groups.yahoo.com/gads?
> t=ms&k=Return+on+investment+software&w1=Invest
> >
>
ment+management+software&w2=Investment+property+software&w3=Investmen
> t+softw
> >
>
are&w4=Investment+tracking+software&w5=Return+on+investment+software&
> w6=Stoc
> > k+investment+software&c=6&s=195&.sig=L-DlQNXfuFeH8Mu0waS7qw> on
> investment
> > software
> >
> > Stock
> > <http://groups.yahoo.com/gads?
> t=ms&k=Stock+investment+software&w1=Investment
> >
>
+management+software&w2=Investment+property+software&w3=Investment+so
> ftware&
> >
>
w4=Investment+tracking+software&w5=Return+on+investment+software&w6=S
> tock+in
> > vestment+software&c=6&s=195&.sig=0oBPv1BELuBmfls_PcSgGg>
> investment
> > software
> >
> >
> >
> > _____
> >
> > YAHOO! GROUPS LINKS
> >
> >
> >
> > * Visit your group "amibroker
> > <http://groups.yahoo.com/group/amibroker> " on the web.
> >
> > * To unsubscribe from this group, send an email to:
> > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?
subject=Unsubscribe>
> >
> > * Your use of Yahoo! Groups is subject to the Yahoo!
> > <http://docs.yahoo.com/info/terms/> Terms of Service.
> >
> >
> >
> > _____
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
>
>
>
>
> SPONSORED LINKS
>
>
> Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+management+software&w1=Inves
>
tment+management+software&w2=Investment+property+software&w3=Investme
nt+soft
>
ware&w4=Investment+tracking+software&w5=Return+on+investment+software
&w6=Sto
> ck+investment+software&c=6&s=195&.sig=f7GzIv9NJMWrH8f5eIxZQQ>
management
> software
>
> Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+property+software&w1=Investm
>
ent+management+software&w2=Investment+property+software&w3=Investment
+softwa
>
re&w4=Investment+tracking+software&w5=Return+on+investment+software&w
6=Stock
> +investment+software&c=6&s=195&.sig=fBbyjQAf07KrkKtKejJqSg>
property
> software
>
> Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+software&w1=Investment+manag
>
ement+software&w2=Investment+property+software&w3=Investment+software
&w4=Inv
>
estment+tracking+software&w5=Return+on+investment+software&w6=Stock+i
nvestme
> nt+software&c=6&s=195&.sig=JfxNHYIXqCuLAnnc8YN4_A> software
>
>
> Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+tracking+software&w1=Investm
>
ent+management+software&w2=Investment+property+software&w3=Investment
+softwa
>
re&w4=Investment+tracking+software&w5=Return+on+investment+software&w
6=Stock
> +investment+software&c=6&s=195&.sig=SgkrPC352yiiN_zJGzIM9Q>
tracking
> software
>
> Return
> <http://groups.yahoo.com/gads?
t=ms&k=Return+on+investment+software&w1=Invest
>
ment+management+software&w2=Investment+property+software&w3=Investmen
t+softw
>
are&w4=Investment+tracking+software&w5=Return+on+investment+software&
w6=Stoc
> k+investment+software&c=6&s=195&.sig=L-DlQNXfuFeH8Mu0waS7qw> on
investment
> software
>
> Stock
> <http://groups.yahoo.com/gads?
t=ms&k=Stock+investment+software&w1=Investment
>
+management+software&w2=Investment+property+software&w3=Investment+so
ftware&
>
w4=Investment+tracking+software&w5=Return+on+investment+software&w6=S
tock+in
> vestment+software&c=6&s=195&.sig=0oBPv1BELuBmfls_PcSgGg>
investment
> software
>
>
>
>
> _____
>
>
> YAHOO! GROUPS LINKS
>
>
>
> * Visit your group "amibroker
> <http://groups.yahoo.com/group/amibroker> " on the web.
>
> * To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
> <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>
> * Your use of Yahoo! Groups is subject to the Yahoo!
> <http://docs.yahoo.com/info/terms/> Terms of Service.
>
>
>
>
> _____
------------------------ Yahoo! Groups Sponsor --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/DldnlA/9M2KAA/U1CZAA/GHeqlB/TM
--------------------------------------------------------------------~->
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|