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Hi Brian,
>Has this been around before?
Not realy. And yes I have started the project, But I hope others
will extend it.
It also seems to be something that is missing from the AmiBroker platform.
>What is the backtest framework?
It is a very simple framework for backtesting trading systems. I like
to think of it as a "Set of standards" for backtesting.
It's not going to be of use for everyone. Especially if you have very
complicated trading styles.
But it's simplicity should also enable flexibility enough to support
reasonably complicated systems/styles.
>Could you explain a little more?
It was originally "Building a Trading system in AB" but that got put
on the shelf. It has been revived as "Backtest framework".
It now has a somewhat different purpose than what the original system
concept was.
>From what I have seen proactive projects don't have a good track record...
Agreed. And I'm still at pains to make it easy for the average Joe
to participate in.
At the very least, It needs some sort of upload system similar to AFL
library, But
with the ability to cleanly upload Zip files. Basic performance stats
can be copied
to the library description for people to see if system is worth evaluating.
ATB
Michael.
brian_z321 wrote:
>
> --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>,
> "Michael.S.G." <OzFalconAB@xxx> 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
>
>
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