Stefan,
Many thanks for your feedback. I very
much appreciate the effort you put into this.
I was especially interested in your
comments on “…volatility based money-management for positionsizing.”
I’ve been doing this for several years, but it has been more
qualitative. It looks like you have quantified the approach.
BTW, I’ve ordered Van Tharp’s
book. (Thanks.)
You mentioned that you are using TC2005
for scanning. I can understand TC versus QP. However, AB looks like it
provides the best of both worlds – the ability to use TC or QP or data,
very good charting, and extremely strong scanning. So, why TC rather than AB?
Also, you mentioned that your position
sizing scans were in TC2005. In the AFL Library, I found your AFL “STO
& MACD Buy Signals with Money-Management”. Are those position-sizing
algorithms and the ones you use in TC2005 the same?
Thanks and best regards,
Dan.
From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of sgfuchs
Sent: Wednesday, July 20, 2005
8:30 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)
>
>
>
>
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