|
PureBytes Links
Trading Reference Links
|
> I could hold my end up in the *stats can't be relied on* argument
but I
> don't think I have the time right now.
Good comments. As for the "stats can't be relied on" I think a solid
argument could be made for this on the general consensus. But I also
believe every variable has its place in trading. Of course, this is
assuming you don't just take those statistics at face value.
Depending on how you test your systems, you are able to see which
variables are showing you what you want to see as opposed to how they
will actually hold up in real time trading. I think most traders
initially get fooled by fantastic numbers that they don't
sufficiently run stress tests on their systems. Even then the
statistics gathered can only provide a guide. Different things work
for different traders.
Cheers!
David
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z321" <brian_z321@xxx> wrote:
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Michael.S.G." <OzFalconAB@>
wrote:
>
> > I'm looking for the most common statistics used by people on
their
> backtests
> > for the inclusion in the backtest framework.
>
> Could you explain a little more?
> What is the backtest framework?
> Has this been around before or is it entirely your own project?
>
> > I was planning to upload the Backtest framework as some sort of
> > AmiBroker Community Open Source Project.
>
> From what I have seen proactive projects don't have a good track
record
> in the forum but that might change.
> I will help if I can.
>
> My evaluation methodology is off the wall compared to others so it
> probably won't be of any use to you.
>
> No offence to Ami, as it provides all industry standard evaluation
> measures, but I don't use them.
> I only want the closed trade series and I export to Xcel for
evaluation.
> I have a custom built model in Xcel and I run it through that.
> I evaluate everything differently to anyone I have seen, at least
> anyone who is prepared to comment about the subject in public.
> The model is relatively new, and a work in progress, so it is
partly
> manual at the moment.
> Later I might pay a programmer to write it up as an Xcel plugin
with
> some automation of the tasks.
> I doubt if it is that unique as I believe the same evaluation can
be
> done using MCS.
> I prefer to use *my method* because I understand it from every
which
> way and it *explains* evaluation to me in one single image.
> Unlike MCS it is not processor hungry.
>
> All trades are standardised to %.
> The only recogniseable stat from Ami I use is win/loss ratio.
> From there I use the frequency distribution of the trades; but I'm
not
> concerned about the distribution type.
> I simulate the probable range of equity outcomes for different time
> periods and evaluate based on that.
>
> I also consider significance, once again using my own method.
>
> From the above I arrive at a trade profile:
>
> the probability of system ruin at time (t);
> the probability that the system metrics obtained were due to chance;
> and the probability of portfolio ruin at time (t).
>
> If I don't like the profile I go back to the system and change the
> rules, which changes the key drivers and onto the profile.
> MoneyManagement is inbuilt and the key drivers/profile feedback
loop
> shows me if my MM is on the money.
>
> Ruin is defined as 50% loss of capital, in which case I would walk
away
> from the table with half of my capital intact.
>
> The fun part is that I don't disagree with Hermans approach.
> My image would be not unlike his rainbow curves.
> I am also interested in the number of trades and that they come
from a
> wide range of stocks.
> Using intraday bars to up the trade count is another technique I
have
> considered using.
> It appeals, especially if the signal proves to be generic and
stands up
> across time frames.
>
> I have noticed before, that in trading, I can agree with two
apparently
> contradictory methods or philosophies.
> The trick is in understanding them enough to make them work and
knowing
> which one you are actually using at the time.
>
> I could hold my end up in the *stats can't be relied on* argument
but I
> don't think I have the time right now.
>
> I might have to have a go at carlacashes question if no one else
does )
> (god help us).
>
>
> Brian_z
>
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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|