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Am I missing something ? ... Isn't this standard stuff ? i.e.
.... some condition that makes some security eligible to be bought on
some bar ...
ROCx = ROC(C, 10);
PositionScore = IIf(ROCx > 0, ROCx, 0);
PositionSize = -100;
.... followed by some condition that triggers buy / sell
Buy = Cross(EMA(C, 13), EMA(C, 21));
Sell = Cross(EMA(C, 21), EMA(C, 13));
The above will buy the security with the highet 10 bar ROC on the bar
where it meets the EMA X/O criteria and will hold it until the Sell
unloads it. The system will remain flat until the next Buy Signal
occurs. If one wanted to potentially hold more than one position at
a time then one would alter PositionSize accordingly.
Whether the first condition is directly calculatable like an ROC is
or is the result of reading something like Zack's list really
wouldn't make much difference.
These are the basic components of PositionScoring and Buy/Sell
signals ... aren't they ?
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxx> wrote:
>
> Ok how about an example of what you were talking about?
>
> d
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Fred
> Sent: Tuesday, April 18, 2006 4:52 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: System Performances
>
>
> 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@> 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.
> > > > > > > > > >
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
> >
> >
> >
> >
> >
> > 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:
> > http://www.amibroker.com/support.html
> >
> >
> >
> >
> >
> >
> > SPONSORED LINKS
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> > <http://groups.yahoo.com/gads?
> t=ms&k=Investment+management+software&w1=Inves
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>
> >
> > _____
> >
> > YAHOO! GROUPS LINKS
> >
> >
> >
> > * Visit your group "amibroker
> > <http://groups.yahoo.com/group/amibroker> " on the web.
> >
> >
> > * To unsubscribe from this group, send an email to:
> > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?
subject=Unsubscribe>
> >
> >
> > * Your use of Yahoo! Groups is subject to the Yahoo! Terms
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> >
> > _____
> >
>
>
>
>
>
>
> 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:
> http://www.amibroker.com/support.html
>
>
>
>
>
>
> SPONSORED LINKS
> Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+management+software&w1=Inves
>
tment+management+software&w2=Real+estate+investment+software&w3=Invest
ment+p
>
roperty+software&w4=Software+support&w5=Real+estate+investment+analysi
s+soft
> ware&w6=Investment+software&c=6&s=200&.sig=_XXUzbE9l5lGlZNcMu4KNQ>
> management software Real
> <http://groups.yahoo.com/gads?
t=ms&k=Real+estate+investment+software&w1=Inve
>
stment+management+software&w2=Real+estate+investment+software&w3=Inves
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> tware&w6=Investment+software&c=6&s=200&.sig=5_sgDczz3ArKGMtJ9tFSJA>
estate
> investment software Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+property+software&w1=Investm
>
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t=ms&k=Software+support&w1=Investment+manageme
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nt+software&w2=Real+estate+investment+software&w3=Investment+property+
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re&w4=Software+support&w5=Real+estate+investment+analysis+software&w6=
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> estment+software&c=6&s=200&.sig=aMgGsKT4w29dMAYUzQUKzg> software
>
> _____
>
> YAHOO! GROUPS LINKS
>
>
>
> * Visit your group "amibroker
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>
>
> * To unsubscribe from this group, send an email to:
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> * Your use of Yahoo! Groups is subject to the Yahoo! Terms of
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>
> _____
>
Please note that this group is for discussion between users only.
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