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Seriously ? ... A rotational system is different in scope then what
I thought was being discussed here which appears to be a rotating
universe of tradables that have some life and get traded intraday
based on them meeting some form of buy & sell rules.
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxx> wrote:
>
> 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
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Fred
> Sent: Tuesday, April 18, 2006 1:37 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: System Performances
>
>
> 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@>
> 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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