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RE: [amibroker] Re: Trading system development question



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How much are you willing to pay for one?

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> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx 
> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of kirscolb
> Sent: Monday, August 06, 2007 12:26 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Trading system development question
> 
> 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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> 
> To get support from AmiBroker please send an e-mail directly to 
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> 
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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>  
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> 
> 
> 
> 



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