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ChrisB,
No problemo. Do what you can and get back to me later.
Basically, I am talking about building an include (modular code)
that weights buy/sell signals according to a percentage (of all
available signals), rather than a static number. I haven't thought
it out too much, but this seems like something many system
developers would want, so if I build it -- it goes in the AFL
library -- where the others can pick on my code and clean it up for
me ;-) I'm a data guru more than a programmer these days.
Thanks,
Brian
--- In amibroker@xxxxxxxxxxxxxxx, kris45mar <kris45mar@xxx> wrote:
>
> Brian
>
> You've lost me, I'm afraid. This is clearly way ahead of where I
would hope to be with AFL and system design, even some time from
now, but the ideas are intriguing.
>
> Regards.
>
> ChrisB
>
> Brian <brianrichard99@xxx> wrote: So far it looks like I
will be weighting signals based on 1) how
> consistently leading the indicator is, and 2) various ratios
used to
> identify profitability during the optimization process.
Currently my
> signals are all equal weight. As I get used to how the system
> performs in papertrading, I will tweak the weights accordingly.
I
> will be writing some code to give each indicator a ratio
relative to
> all other signal ratios in its signal group. That way I don't
have
> to assign a number, which would force me to become refamiliar
with a
> new signal range (1-100 is now 1-120, etc.). The results in AA
would
> then come out as percentages instead of integers, that way.
>
> If you come up with a better weighting method please send me an
> email at brian (at) brianrichard (dot) com.
>
> Thanks!
>
> Brian
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, kris45mar <kris45mar@> wrote:
> >
> > Brian
> >
> > Good feedback, thanks.
> >
> > Yes "feeler trades" is basically where I am at at the
moment.
> Keep probing the market, if good, add more, if bad, too bad.
> >
> > A recent presentation in Perth by a systems developer (who
sells
> his signals commercially so I am not interested: I am too pig
> headed for this I suppose) is based on this principle. He runs
10
> systems over the top 30 US stocks. If on any day there are 7 or
> more buy signals from the individual systems, this is his buy
> recommendation. Sort of a weight of evidence theory. Seems
based on
> sound statistics, thousands of trades in his stats, stop and
> reverse system, in and out of sample testing with smooth equity
> curve and manageable drawdowns. EOD only and entry/exit on open.
> >
> > Similar I guess to what you are doing by weighting your
signals.
> This may ultimately where I am headed.
> >
> > Sounds like I have more coding to learn: half the fun,
though.
> >
> > Regards
> >
> > ChrisB
> >
> > Brian <brianrichard99@> wrote: ChrisB,
> >
> > I just completed another "system" that's comprised of about
15
> > different proprietary indicators, all of them optimized for
both
> EOD
> > and Weekly timeframes, as well as for a specific group of
500
> > stocks, ETFs and CEFs. I used to look at just two or three
> > indicators (a "system"), but found each indicator has its
unique
> > weakness. So now I just go with looking at all of the
signals
> that
> > all of my best indicators generate. I weight each signal. I
also
> > look at signals that are up to 3 bars old, and weight those
> signals
> > less.
> >
> > I will eventually try to automate all of this optimization.
Not
> > there yet.
> >
> > I also separated out trending signals from daily buy/sell
> signals,
> > so I really have a separate trend system as well.
> >
> > I've read more than once, from reading passages written by
very
> > profitable traders, that their systems generally take the
same
> form
> > as the one I've created. Very few boil everything down to
one
> type
> > of trade that they do over and over. Problem with those
single
> setup
> > trades is you still need to look at all important variables
> outside
> > of the setup that can affect the setup. A mentor statistican
> friend
> > of mine recommended I build in an additional "trade
> cancellation"
> > system that lets me know when outside variables are building
> against
> > the system signal. This helps me sort the best trades out
from
> the
> > bunch.
> >
> > I am using no equity curve. IMO that would just seem to add
> another
> > layer of unnecessary complexity. Focus on money management --
> > scaling and scaling out, user "feeler" trades, etc. That
will
> likely
> > get you farther down the road. My personal goal is to use my
> system
> > to identify good trades for my discretionary style of
trading.
> >
> > Just my toe scents.
> >
> > ~Brian
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, kris45mar <kris45mar@>
wrote:
> > >
> > > Phew, Yuki.
> > >
> > > Honoured to humbled to receive your lengthy reply.
Please be
> > warned: this inspirational, supportive ( and midly
cajoling )
> reply
> > ( thank you! ) may be transferred into my "Yuki says"
> handbook!
> > Everything you say strikes a resonant note though, and is
taken
> in
> > good spirit.
> > >
> > > I have 25% DD with 4 wins out of the last 30
discretionary
> > trades.
> > > Looking through my last two years' trades tells me that
what
> > worked in 2004 is not working in 2005/6. This brings me to
the
> > point in my 2005 trading plan where I defined conditions to
> stop
> > trading. I now need a change of direction: the plan is to
> continue
> > to explore AB, AFL and the superb posts on this board
towards
> > developing a mechanical system. It can't be that hard for
me to
> > develope one that does better than my 2005 trading year.
> Whether I
> > can then actually trade it is a whole different ball game.
> > >
> > > You said:
> > >
> > > "
> > > And thank goodness not everyone can do this. We need
some
> > productive
> > > members of society, too. ^_-
> > > "
> > >
> > > LOL.... and yet the lesson we learn about ourselves by
> trading
> > can make us more productive in other areas!
> > >
> > > In summary:
> > >
> > > You will never avoid drawdowns: agreed.
> > > Sharper gains (with a reliable system) may come when the
> equity
> > curve is below its MA. Sounds logical, and worth exploring.
> > >
> > > All I am asking is this:
> > >
> > > Markets change over time (that is why there is no Holy
> Grail)
> > and so should our systems, or the ones we choose to trade
with,
> not
> > respond to this? Or we may choose to stand aside for a
while.
> Or
> > just trade different markets with concurrently different
> systems to
> > create a smoother equity curve overall?
> > >
> > > Could you comment on whether you trade with one system
only
> or
> > more than one? And if more than one, what would be a
trigger to
> > change if the Equity curve is not the signal to do so?
> Drawdowns?
> > Sleepless nights? Declining expectancy? This has to part of
our
> > business plan after all. In 2004 I achieved my trading
goals,
> 2005
> > was not a successful one. Message: time to stop doing what
I am
> > doing: it is not working. Do something else. The goal then
is
> to
> > replace what I am doing with something that does work.
> > >
> > > I realise the answers to these questions are personal,
but
> it
> > is invaluable to get some insight to the philosophies of
> others, in
> > an attempt to know where to start.
> > >
> > > Regards
> > >
> > > ChrisB
> > >
> > >
> > >
> > > Yuki Taga <yukitaga@> wrote: Hi kris45mar,
> > >
> > > Monday, March 13, 2006, 11:35:06 PM, you wrote:
> > >
> > > k> b. When the Equity is above the MA, then take the
> signals.
> > >
> > > k> c. when the equity curve falls below its MA, then
> either.
> > >
> > > k> i. stop trading that system until such time as
the
> > curve goes back above the MA.
> > >
> > > k> ii. or severely reduce position size.
> > >
> > > k> iii. and/or swap over to another system that is
now
> > above its MA.
> > >
> > > You will get various opinions on this, however I think
it
> really
> > > boils down to just how logical you suspect your system
> > methodology
> > > is, and whether you suspect it is actually and finally
being
> > > arbitraged out of existence.
> > >
> > > If the system has worked for several business cycles in
> various
> > > market modes, and has never really gotten into serious
> trouble --
> > in
> > > other words, it's a system you can trade -- then it
would
> seem
> > to me,
> > > and indeed is what I do, that the time to be more
careful is
> when
> > > equity has been running well above the MA for some
rather
> lengthy
> > > period of time. I'm inclined to bump *up* position size
a
> little
> > bit
> > > when I start experiencing a losing streak -- in other
words
> when
> > I
> > > get mean reversion or worse of the equity curve. I
would
> > certainly
> > > not stop trading when that happens. I think your gut
> feeling is
> > > exactly opposite of what you should do.
> > >
> > > The sharpest gains and nicest times you are likely to
ever
> have
> > are
> > > when equity is making the swing from below average to
above
> > average.
> > > This is much more fun than the opposite, and you are
going to
> > > experience both. So why would you consider stopping
trading
> when
> > > equity dips below average? Immediately, you would then
be
> > preparing
> > > to cheat yourself out of your best performing part of
the
> cycle,
> > and
> > > you would be ready to embrace the worst cycle segment of
> your
> > system:
> > > when equity moves from above average to below average.
> > >
> > > In the end, it all boils down to confidence. You either
> have a
> > > viable system, or you don't. If you have one, follow
it.
> If you
> > > can't stand the drawdowns ... IMHO, you don't have a
viable
> > system,
> > > and probably should not be trading it. No one should
trade
> any
> > > system that has drawdowns they cannot stomach, and
stomach
> > > comfortably, probably max system percentage drawdown
times
> two,
> > maybe
> > > times 2.5 or three.
> > >
> > > But if you really do have a system, take every signal.
> Period.
> > If you
> > > want to "play" your system a little bit, consider
something
> like
> > > *lightening* position size -- slightly -- when equity
has
> been
> > > running above average for some period of time, and
> *increasing*
> > it
> > > ... again, slightly ... when equity has been running
below
> the
> > line
> > > for some time. You have to judge when these conditions
> might
> > apply
> > > after carefully analyzing your system yourself.
> > >
> > > But using the MA of equity to flatly refuse or take
signals
> is
> > simply
> > > a different form of "Holy Grailism". It is a fear of
taking
> > losers,
> > > or an attempt to altogether avoid taking losers, which
> absolutely
> > > must be taken in any systematic trading. You simply have
to
> have
> > a
> > > system in which you can *stand* to take the losers, and
be
> > > comfortable with them. If you don't, you can't trade
it,
> and
> > playing
> > > around using the equity curve as an ultimate filter is
not
> > likely to
> > > made a dangerous system safe, or an uncomfortable system
> > comfortable.
> > >
> > > You will never, ever, find a system that has an equity
curve
> that
> > > doesn't dance on both sides of a MA. Life doesn't work
that
> > way. But
> > > if the curve is obviously solid, in other words, a real
> curve or
> > > slope, and not an amusement park thrill ride, and all
the
> metrics
> > > look nice over thousands of trades and many years, you
may
> want
> > to
> > > think about doing exactly the opposite of what your gut
> tells you
> > > when you hit a soft patch.
> > >
> > > OTOH, if the last sentence above applies ... why stress
> yourself
> > at
> > > all? Take the *&$% signals as they come, and relax.
^_^
> If you
> > > cannot stand a loss the magnitude of which would tell
you
> that,
> > > indeed, your system is no longer functioning, you are
> probably
> > not
> > > well enough capitalized to be in this business. Not
> everybody
> > is.
> > > And thank goodness not everyone can do this. We need
some
> > productive
> > > members of society, too. ^_-
> > >
> > > Yuki
> > >
> > >
> > >
> > > 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:
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> > >
> > >
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