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How about an example of how to do that using a sharpe ratio
of each security and maybe trade on a rotational basis every month?
Seriously.
d
If the list is a result of some analysis you do then you can
assign
a PositionScore to each security for each bar. This would
yield a
constantly changing and potentially prioritized list of available
securities to be traded.
--- In amibroker@xxxxxxxxxxxxxxx, "Ed
Hoopes" <reefbreak_sd@xxx>
wrote:
>
> As I mentioned in
the first post - I have been trading this system
for
> about 1.5
years. The first quarter of this year had no severe
> declines in
the market, so the Max DD looks better than it really
is.
>
Typically the system goes to 100% cash after about a 5% drawdown.
>
> There is another major component in my trading system that I
didn't
> mention - that of market timing. I use stock index
futures (ES,
YM,
> ER2, NQ) to hedge based on 6 indicators.
This hedging, while not
> perfect, reduces the drawdown considerably so
the system plus
hedging
> results in about 4% drawdowns.
>
> On the subject of drawdowns, there has not been a >10%
market
> correction in over three years. Since I have only traded
this
system
> for 1.5 years, I don't know what will happen when we
eventually get
> one of these more typical market declines.
>
> The main reason for not posting a longer trading history is
that
the
> stock list is updated every couple of weeks, which
actually
improves
> results. I used the list that was current
as of Dec 31, 2005 for
this
> test. I don't know how to
simulate a constantly changing list of
> stocks in the backtester.
>
> Reef-Break
>
>
>
> --- In
amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@> wrote:
> >
>
> Fred's point is accurate IMO....
> >
> > If the Trader
has spent blood, sweat and tears over a period of
years
> >
building up a serious trading equity, then a 28% System Drawdown
would
> > be demoralizing (only after causing a serious case of
"Butt
Pucker").
> >
> > A subsequent post from Ed
showed a 'Max Sys DD = -3.6%', but only
> > included 48 trades...
which because of the small number of trades
> > seemed to me to be
statistically irrelevant.
> >
> >
> > --- In
amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@> wrote:
> >
>
> > > A Comment and a suggestion ...
> > >
> > > - DrawDowns ... I could be wrong but I suspect most people
can't
> > > tolerate 28% DD's ... To bring that number down
to the point
where
> > > at least some people would be
comfortable with it using real
money
> > > one would I think
have to cut it half. Doing that with an
existing
> > >
system by restricting how invested one is will result in the
CAR
>
> > being reduced to the square root of its original number.
>
> >
> > > - Objective Testing ... Take your data, cut in
half ...
Optimize
> > > your system over half of the data and
then test the parameter
values
> > > on the other half.
This rudimentary view of out of sample
testing
> > > will
give you some idea of what you are likely to experience
in real
>
> > trading as opposed to totally in sample results.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04"
<intermilan04@>
> > > wrote:
> > >
>
> > > > Since I have optimized my system between
1996-2006, I guess
the
> > > > answer would be the same
time period.
> > > >
> > > > --- In
amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@> wrote:
> > >
> >
> > > > > That doesn't answer my question
...
> > > > >
> > > > > In the
development of the system what range of data ( time
> > > period
)
> > > > > did you use ? The same time period ? An
earlier one ?
> > > > >
> > > > > --- In
amibroker@xxxxxxxxxxxxxxx, "intermilan04"
<intermilan04@>
>
> > > > wrote:
> > > > > >
> > >
> > > The numbers are the result of backtesting my system
with
> > > > > > NASDAQ and NYSE tickers (around 7000
tickers) between
> > > > > > 1996/1/1~2006/1/1.
>
> > > > >
> > > > > > --- In
amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@>
wrote:
> >
> > > > >
> > > > > > > Are the numbers
you posted in sample or out of sample ?
> > > > > > >
> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx,
"intermilan04"
> > > <intermilan04@>
> > >
> > > > wrote:
> > > > > > > >
>
> > > > > > > I know it depends on what you want
personally for
> > > risk/reward,
> > > > >
but
> > > > > > > I'm
> > > > >
> > > curious as to what other people's systems (developed
in
> > > > > Amibroker)
> > > > > > >
are
> > > > > > > > performing like. You don't have
to share your code
or the
> > > idea
> > > >
> behind
> > > > > > > > your system (unless you
want to), but I'm curious.
> > > > > > > >
>
> > > > > > > Over the last 10 years, say, what is your
annual
profit %,
> > > max
> > > > > >
> > drawdown, % winning trades, etc.?
> > > > > >
> >
> > > > > > > > I have a long system
that has returned around 110%
since
> > > > >
1996. Its
> > > > > > > > winning % is 47%,
and the system drawdown is 28%.
It is a
> > > > >
> > > reversal-based, swing-daytrade system.
> > > >
> > > >
> > > > > > >
> > >
> > >
> > > > >
> > > >
> >
>
> >
>
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