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Hello Dan,
the code I published in the AFL library was my first experiment of
simple MM system which can be integrated in a backtest. As you can
see from the date, it was quite a while ago when I posted this code.
In the meantime, I have finetuned this simple code and reference
some other parameters as well. But basically, this is still the
idea, yes. Measure volatility depending on the timeframe you intend
to trade, calculate possible targets and stops. Measure the
difference between entry and stop ( Risk ) and set your prefferred
level of risk you want to take in relation to your account size.
You could start from this point and develop it further according to
your personal needs .
The code for TC2005 is much more complicated, since TC2005 does not
have those convenient AFL functions.
Actually, I had to develop a number of PCF's to achieve almost
similar results.
The codes I use today , either in AB or in TC2005 are not intended
for publishing - sorry ;-) everyone needs his bit of a tiny edge :-)
regards
Stefan
--- In amibroker@xxxxxxxxxxxxxxx, "Dan Clark" <dan_public@xxxx>
wrote:
> 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)
> >
> >
> >
> >
> > 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
> >
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> >
> >
> >
> >
> >
> >
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