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> I like PF (a derivation of it) and expectancy is really PF
translated
> in return over time (PA%).
FTR - to explain further what I meant about PF (my take on it).
PF is the trades profile (a kind of quality measure) comprising two
components (W/L ratio and ave%W/ave%L ratio).
The W/L ratio tells us something about the buy signal whereas the %
W/L ratio tells us something about the exits (profit and loss stops)
although they are interdependent.
The W/L ratio is binomial and indicates the tendency towards runs
(losing/winning streaks) and the %W/%L quantifies that e.g. as an
equity curve.
PF is the theoretical edge (as ratio).
Looking at the two components of PF can tell us more about the trade
than looking at PF alone.
Expectancy standardises the edge (PF) to a per trade basis and
quantifies it (as %).
Expectancy * trade frequency (trades per periods e.g. year)
quantifies the edge as return per period e.g. year.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Chris,
>
> > This won't help you much but I thought I would chip in here,
anyway.
>
> On the contrary - I think it is very apt and insightful.
>
> > I used to spend *hours* every week manually updating data etc
> > . What an agonising waste of time!.
>
> I agree with you.
> Efficient use of time (a.k.a what works?) and leaving risk behind
are
> two major drivers behind the development of my style e.g.
fundamental
> analysis requires a constant renewal of information whereas with
> technical analysis the acquisition phase diminishes with time.
>
> > Support and resistance are
> > still at the same level, and is never tick precise.
>
> I agree S&R is not tick precise.
> In fact I am inclined to the view that it is generally a little
> imprecise.
>
> Take a classical (theortical) example of support - one buyer with
> enough clout to make a difference is buying at a target - say it is
a
> whole number $20.00. In real life he or she is a person with
emotion
> so 20 becomes 19.95. Also in real life the order has to be
physically
> filled so spreads and market movement around 20.00 means 'buy at
20'
> becomes +- 0.20.
>
> I am not a long term intraday trader but my observations so far at
> that S&R are easily identified on intraday charts than EOD charts.
>
> > The issue is: is the expectancy positive and can I continue to
> >trade
> > this. All three maintained a positive expectancy and when this
fell
> >away
> > this was the "stop trading this system" signal.
>
> I agree that expectancy is a significant metric.
> I like PF (a derivation of it) and expectancy is really PF
translated
> in return over time (PA%).
>
> PF is like the HP of an engine.
> The more grunt you have the less you are affected by the little
bumps
> (data errors, slippage, variance etc).
>
> Even a coin with a strong bias will produce its run of outs.
>
>
> Thanks for your post,
>
> Good stuff.
>
> brian_z
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, ChrisB <kris45mar@> wrote:
> >
> > Brian
> >
> > This won't help you much but I thought I would chip in here,
anyway.
> >
> > I used to spend *hours* every week manually updating data,
checking
> > splits consolidations rights issues etc every week with data from
> > Justdata comparing with ASX published data in the back of the old
> Shares
> > magazine. What an agonising waste of time!.
> >
> > Now I only look at Fx. With this being retail broker based the
data
> is
> > never clean.
> >
> > Toward the end of last year I ran a simple once a day system on
> three
> > different (demo: yes I know) platforms, entering Limit entries
for
> the
> > day in the morning and off to work for the day, as a kind of real
> time
> > walk forward test. Surprising how much time this took to do.
> >
> > In the evening most times all three platforms had either filled
my
> > orders or not, but it was surprising to see how many times
> Platform1 and
> > Platform2 would have filled my limit entry, and one of them had
got
> > stopped out, whereas the other had got to the Take Profit. On
other
> days
> > Platform1 and Platform2 would have filled my entry order but
> Platform3
> > ran without me: a missed trading opportunity.
> > At the end of the month all three platforms were in profit, just
by
> > different amounts.
> >
> > Because I get my Fx data through MT3 plugin these are not exactly
> the
> > same prices as my live trading account.
> > To be honest I don't think this matters. Support and resistance
are
> > still at the same level, and is never tick precise.
> > Others may choose to disagree.
> >
> > Just following three Fx data providers will show you by how much
> each
> > can differ, notwithstanding the different time zones and
therefore
> > differing candles we get. And that is not even talking about
> economic
> > news times!
> >
> > The lesson for me was clear : the individual trade result is
> irrelevant.
> > The issue is: is the expectancy positive and can I continue to
> trade
> > this. All three maintained a positive expectancy and when this
fell
> >away
> > this was the "stop trading this system" signal.
> >
> > That to me is one of the advantages of Fx : no database hassles.
No
> > company reports, no shareholder statements, no Chess holder
> statements
> > and the inevitable shareholder bits of paper coming through the
> mail
> > after I have long closed the trades.
> >
> > The other way to think about it would be: well if Provider1 has
> > different Ticks to Provider2, just backtest and optimize for each
> > respectively over the same time frame and the same tickers. If
your
> > parameters and results differ widely this may be a message that
> your
> > system is marginal. On the other hand, if all is well and the
> results
> > are very similar, you have just done your own "should I care how
> clean
> > my data is?" test.
> >
> > Regards
> > ChrisB
> >
> > brian_z111 wrote:
> > >
> > > Steve,
> > >
> > > I would like to know how I can decide if EOD data is clean or if
> > > intraday data is up to the demands.
> > >
> > > It is a subject that I don't see much quality discussion on.
> > >
> > > For EOD data my best ideas so far are:
> > >
> > > 1) Data includes raw data - I can compare raw data to other
> providers
> > > raw data - I can't compare it to an absolute benchmark because
> there
> > > isn't one.
> > >
> > > 2) Data inlcudes a record of all split events and the
> corresponding
> > > split factor I can check the event records independently and
check
> > > the math.
> > >
> > > 3) I can apply the split factor or see the results of it's
> > > application so I can check the math.
> > >
> > > 4) The event calendar should inlcude non-trading days for the
> market
> > > and stand down trading days for companies.
> > >
> > > 5) Data can be padded or unpadded (optional).
> > >
> > > I can't think of any other way to measure data quality.
> > >
> > > I don't think any data provider meets the criteria - maybe a
few.
> > >
> > > For intraday:
> > >
> > > What could I possibly do?
> > >
> > > Buy raw tick data from several providers, compare them for a
> > > consensus and filter it myself ?
> > >
> > > I am at a loss on that one.
> > >
> > > Of course another option is to trade in such a way that bad
ticks
> and
> > > unclean EOD data don't affect the outcomes very much (that
could
> be a
> > > lot easier than the above).
> > >
> > > brian_z
> > >
> > > --- In amibroker@xxxxxxxxx ps.com
> > > <mailto:amibroker%40yahoogroups.com>, "scourt2000"
> <stevehite@ ..> wrote:
> > > >
> > > >
> > > > Mark,
> > > >
> > > > No successful intraday real-time trader who does this full-
time
> > > would
> > > > ever drop eSignal for Gary's new real-time service.
> > > >
> > > > It's a pennywise and pound-foolish decision.
> > > >
> > > > He's fine for clean end-of-day data. But he's way out of his
> > > league
> > > > for the demands of intraday real-time trading.
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxx ps.com
> > > <mailto:amibroker%40yahoogroups.com>, "MarkK" <MailYahoo@>
wrote:
> > > > >
> > > > > Brian,
> > > > >
> > > > >
> > > > >
> > > > > So far I am very happy with the QP RT beta testing
> > > > >
> > > > > I believe that when it goes live they will be taking a lot
of
> > > > customers away
> > > > > from the other services
> > > > >
> > > > >
> > > > >
> > > > > It is a much better value than other things out there, and
so
> far
> > > > the data
> > > > > has been accurate
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > MarkK
> > > > >
> > > > >
> > > > >
> > > > > _____
> > > > >
> > > > > From: amibroker@xxxxxxxxx ps.com <mailto:amibroker%
> 40yahoogroups.com>
> > > [mailto:amibroker@xxxxxxxxx ps.com <mailto:amibroker%
> 40yahoogroups.com>]
> > > > On Behalf
> > > > > Of brian_z111
> > > > > Sent: Friday, February 15, 2008 7:47 AM
> > > > > To: amibroker@xxxxxxxxx ps.com <mailto:amibroker%
> 40yahoogroups.com>
> > > > > Subject: [amibroker] Re: AP's RT data feed - for MarkK
> > > > >
> > > > >
> > > > >
> > > > > > I am looking for an RT data provider. I used eSignal for a
> > > couple
> > > > > >of years, then quit and am ready to resart, but don't likr
> their
> > > > > >fees.
> > > > >
> > > > > QuoteTracker and LiveCharts have the $60 and $20 version of
> > > eSignal
> > > > > if you don't mind less backfill and fewer symbols.
> > > > >
> > > > > I have read of a few issues with LiveCharts but surely we
can
> > > make
> > > > it
> > > > > work (a lot of the problems also came about because people
> still
> > > > > wanted it free after it changed to pay for play a year ago -
> of
> > > > > course it doesn't work if ou don't pay).
> > > > >
> > > > > A couple of users said it was slow - I don't know - I
haven't
> > > tried
> > > > > it yet but I will.
> > > > >
> > > > > brian_z
> > > > >
> > > > > --- In amibroker@xxxxxxxxx <mailto:amibroker%
40yahoogroups.
> com>
> > > > ps.com, "Ara
> > > > > Kaloustian" <ara1@> wrote:
> > > > > >
> > > > > > Mark,
> > > > > >
> > > > > > I am looking for an RT data provider. I used eSignal for a
> > > couple
> > > > > of years, then quit and am ready to resart, but don't likr
> their
> > > > fees.
> > > > > >
> > > > > > Would you elaborate a bit on AP. Never heard of them
> > > > > >
> > > > > > Tx
> > > > > >
> > > > > > Ara
> > > > > > ----- Original Message -----
> > > > > > From: MarkK
> > > > > > To: amibroker@xxxxxxxxx <mailto:amibroker% 40yahoogroups.
> com>
> > > > ps.com
> > > > > > Sent: Friday, February 15, 2008 3:36 AM
> > > > > > Subject: RE: [amibroker] New EOD data feed other than
Quotes
> > > Plus
> > > > > >
> > > > > >
> > > > > > Dan,
> > > > > >
> > > > > >
> > > > > >
> > > > > > I use QP for EOD data, and am happy with the fundamental
> data
> > > > > that they provide. Not sure there is another service that
> offers
> > > as
> > > > > much in that area
> > > > > >
> > > > > > I also use Fast Track for EOD data. Some market internal
> data,
> > > > > no fundamental data to speak of, however the data has been
> > > cleaner
> > > > > than QP EOD day data. For Mutual fund data not sure there
is a
> > > > > better service out there.
> > > > > >
> > > > > >
> > > > > >
> > > > > > Have been an e-signal subscriber for RT data now for 4
> years. I
> > > > > cancelled my subscription since they kept raising their
> prices,
> > > and
> > > > > went to IQ feed. Used them for a month then they raised
their
> > > > > prices. Luckily I was abe to beta test AP's RT data feed.
So
> far
> > > > > they have been very responsive on the changed needed to
make
> it
> > > an
> > > > > excellent RT service, and at a reasonable price.
> > > > > >
> > > > > >
> > > > > >
> > > > > > I would suggest you get hold of Gary at QP and let him
know
> > > about
> > > > > your issue. I would think you will become a satisfied
customer
> > > once
> > > > > again
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > MarkK
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > ------------ --------- --------- --------- --------- -----
--
> -- -
> > > > > ----------
> > > > > >
> > > > > > From: amibroker@xxxxxxxxx <mailto:amibroker%
40yahoogroups.
> com>
> > > > ps.com
> > > > > [mailto:amibroker@ yahoogrou <mailto:amibroker%
> 40yahoogroups. com>
> > > > ps.com] On
> > > > > Behalf Of Dan Clark
> > > > > > Sent: Thursday, February 14, 2008 11:56 PM
> > > > > > To: amibroker@xxxxxxxxx <mailto:amibroker% 40yahoogroups.
> com>
> > > > ps.com
> > > > > > Subject: [amibroker] New EOD data feed other than Quotes
> Plus
> > > > > >
> > > > > >
> > > > > >
> > > > > > I've been using Quotes Plus data for the last 2-1/2 years.
> > > > > Overall, I've been very happy with Quotes Plus data and Gary
> > > > Lyben's
> > > > > (owner/president) responsiveness. That said.
> > > > > >
> > > > > >
> > > > > >
> > > > > > In the last few days, I've swapped several e-mails about a
> > > minor
> > > > > billing issue (credit card renewed with different number)
> with a
> > > > > woman in his billing department. What should have been a
very
> > > minor
> > > > > clerical issue left me feeling EXTREMELY angry and offended.
> > > > > >
> > > > > >
> > > > > >
> > > > > > I vowed to switch my data feed from Quotes Plus to
another
> data
> > > > > feed as soon as possible. This is a major issue for me
> because of
> > > > > the amount of AFL recoding involved, but I can no longer do
> > > > business
> > > > > with Quotes Plus.
> > > > > >
> > > > > >
> > > > > >
> > > > > > I need some options for other EOD data feeds. What EOD
> service
> > > > > are you using? What has your experience been? What are the
> > > > > alternatives now?
> > > > > >
> > > > > >
> > > > > >
> > > > > > Thanks and regards,
> > > > > >
> > > > > >
> > > > > >
> > > > > > Dan.
> > > > > >
> > > > >
> > > >
> > >
> > >
> >
> >
> > --
> > Regards
> >
> > ChrisB
> >
>
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