|
Hi Steve,
I'm again late to the party, having been preoccupied since the start
of the year (or a bit earlier) with family issues, "other than trading" business
issues, property issues, tax preparation issues and several more distractions to
my ability to keep up with AB. This week I finally started to break
out getting things behind me (or I'm getting ahead of them?). Quite
coincidentally, I decided to have another look at the portfolio backtester
just as you have apparently started to do so. And like you, I've mostly
used the individual backtester heretofore.
What I see (maybe incorrectly) is that it is great for fully
testing a trading system and potentially gaining sufficient confidence in a
strategy to implement it. While one can also optimize the strategy, I
believe some care must be taken with this so as not to curve fit to the
data. There are several books (Perry Kaufman comes to mind as one author)
on developing trading systems and perhaps I need to read more about it all --
however I've a number of ideas I've been jotting down in a spiral notebook
during my development hiatus which I'd love to code and test. Some are
from things I've been doing by the seat of my pants lately (with some very good
returns, but perhaps it's luck), some are just notions I've had for
possible explorations and subsequent entry or exit triggers. Most of
my trading for the past several years has been based not on indicators, but on
patterns such as Jeff Cooper, Larry Connors, Linda Raschke, and others have
written about with my own flavorings added to the stew. And most of my
trading is intraday or up to perhaps 3 days on daily setups. Trying to
eyeball thousands of charts to see if a strategy makes a buck isn't my idea of
how I want to spend my time while the market is closed.
I've read the User's Guide several time thru and I've coded some systems,
mostly simplistic, as I'm still trying to learn all the different features
to see how they behave. What I've been doing is using some of my
exploration codes which I use normally to identify stocks to trade, then
adding code for the entry and exit rules (along with all the other
minutia necessary) and seeing how the system performs. Once again, Dan
Clark's imagery of AB as an onion with layers of complexity which each user
can peel down to seems so apt.
So off I go into the wild blue yonder of portfolio backtesting. Want
to fly together? (And if anyone thinks I'm dead wrong, about to
crash, or has good tips and suggestions for learning, please speak
up.)
Peace and Justice --- Patrick
----- Original Message -----
Sent: Friday, April 28, 2006 3:29
PM
Subject: Re: [amibroker] Portfolio
Backtester
Hi Ara,
Thank you for the reply! Well, I have
to admit that you make it sound pretty simple and
straigntforward, and I think maybe you zeroed in on my confusion
when you mentioned "stock selection system", but to be honest I think I
am still missing something very basic. If you don't mind a follow-up
question, I will try to explain:
Using the individual backtester, I select my
watchlist and then run my system over the list. When the test is
finished, results show each stock and how well it performed under
that system. I review the results to see how well the different stocks
performed and to determine what stocks, if any, that I might consider
trading with that system - stock selection is not usually something that I do
prior to testing, except to establish a "tradable universe" based on various
price/volume calculations. Also, I do use the Positionsize
variable with the individual backtester to see how reinvesting
different amounts would affect performance.
Now switching to the portfolio
backtester...
OK, I understand that in real life we will
have an account with X amount of dollars, and that it will probably be split
up between several positions ( our portfolio ), and that we will try to remain
fully invested if possible, assuming we can find enough good looking
opportunities to invest in. So I run the portfolio backtester on a list
of, say 1000 stocks, and the results list shows all trades that were
taken, and it shows that, at some point or another, a position was taken
in maybe about 10% of the stocks in the watchlist, which I gather were
the ones that had an entry signal and the best score shortly
after some cash became available. The other tickers tested don't show up
at all in the results list, so apparently no position was ever taken in these
stocks. When I look at these results, I just don't know how to begin to
interpret them.
So I guess my real question is "What can I
learn from looking at the results of a portfolio backtest?"
I get the feeling that the
correct approach to using the portfolio backtester should
be totally different than the approach for using the individual
backtester, but I don't know what that approach should be. Should I
test with a smaller list of stocks - a predefined portfolio? Should
I infer that those stocks that were actually traded are the best stocks to
trade with that system? - that sounds like a lot to infer to me, but
maybe I am missing something. Could you
possibly explain briefly how you might approach a
portfolio backtest (i.e. - what stocks might you test together and why?)
and then how you might interpret the resulting report? Any further
enlightenment you can provide would be greatly
appreciated!! 8 - ) Thanks again!
Steve
----- Original Message -----
Sent: Thursday, April 27, 2006 8:52
PM
Subject: Re: [amibroker] Portfolio
Backtester
Steve
The idea behind Portfolio backtest is to
simulate trading closer to reality.
Original Backtester would allocate ALL
available funds to each trade. Not a real situation since no one has
infinite $$$.
Portfolio backtest will work with your account
size and buy only as many stocks as you can afford. You can specify max
number of stocks you want, and it will allocate funds evenly ... etc. so it
works with your account parameters, while still testing your stock selection
system. It will buy additional stocks only fter you sell some and free up
some money.
----- Original Message -----
Sent: Thursday, April 27, 2006 1:26
PM
Subject: [amibroker] Portfolio
Backtester
Hi All,
I started looking into the portfolio
backtester today for the first time, and I am a bit embarresed to admit it
but I have absolutely no idea what to do with it. Functionality is
explained OK but there is very little to explain the theory behind
portfolio testing or trading. I did a little hunting on the internet but
am not exactly sure what I should be searching for. Is this for
people that do basket-trading or something similar? I would greatly
appreciate it if someone could explain how and why I would want to
use this, or if possible point me to some helpful web pages. As I have
said, I know nothing about it, so even the very basics would be great. Any
help appreciated - Thanks very much!
Steve
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
YAHOO! GROUPS LINKS
|