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Howard, does your book teach any profitable trading systems, if not,
where would you suggest one go to find one? --- In
amibroker@xxxxxxxxxxxxxxx, "polomorabe" <paul.moore@xxx> wrote:
>
> 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@> 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@> 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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