|
PureBytes Links
Trading Reference Links
|
Thanks.
Good luck.
I'm sure I will learn from it.
Brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Michael.S.G." <OzFalconAB@xxx>
wrote:
>
> 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@> 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/
|