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Thanks for the reply Howard.
I've just ordered the book. I'll wait until it arrives before asking
more questions.
Paul
--- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@xxx> wrote:
>
> Hi Paul --
>
> I am a firm believer in performing statistical validation of trading
> systems. That means searching / optimizing over one set of data (the
> in-sample data), then testing over a set of data that has not been
used to
> develop the system (the out-of-sample data). Trading systems that
show good
> results over the out-of-sample data are more likely to trade well
with real
> money. One of the things I have found is that trading systems that are
> selected on maximum CAR often do not trade well out-of-sample -- but
you may
> have found systems that do.
>
> Provided that your systems pass your validation tests, then you
should be
> very glad that you have a lot of candidates. One way to handle this
is to
> group the stocks you are willing to trade into watch lists containing
> perhaps ten stocks each. Run your system as a portfolio test once
for each
> watch list and use the PositionScore feature of AmiBroker to
determine the
> best individual stock to trade.
>
> There is a much more detailed explanation of testing and validation,
> including setting up portfolios and using PositionScore in my book,
> Quantitative Trading Systems. You can learn more about the book at
its web
> site:
>
> http://www.quantitativetradingsystems.com/
>
> Thanks,
> Howard
>
>
>
> On 8/4/07, polomorabe <paul.moore@xxx> wrote:
> >
> > Hello,
> >
> > I've been following the postings on this forum since I first began
> > using AB about two years ago, and thanks to the knowledge and sharing
> > mentality of the posters here, my knowledge of AFL has increased
> > greatly. I now have a question about trading system development.
> >
> > I've been getting experience with using the backtester, and I've
> > identified some promising trading systems, one with a CAR of over
> > 100%! During the backtest, I have limited the number of positions in
> > the portfolio to 7, to reduce overtrading. However, when I take the
> > same system from backtesting, and use it as an exploration, I get a
> > huge number (>200) of trading candidates at the start of each trading
> > day.
> >
> > My question is: without asking for details of specific trading
> > systems, how do other users of AB reduce the number of stock
> > candidates during the Exploration? During backtesting, I've found that
> > when I try to constrain the backtester to attempt to reduce the number
> > of candidates, it reduces the number of backtested trades but also the
> > percentage of winning trades.
> >
> > Maybe this is wishful thinking, but for me a winning system is one
> > that has a winning trades percentage > 50%, with a max system drawdown
> > > 15%, and generating about 10 stock candidates per day.
> >
> > I'd be interested to hear of other's experiences and views.
> >
> > Many thanks,
> > Paul
> >
> >
> >
>
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