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Hi Brian
Thanks for this extra comment.
Your immediate prior post had me confused because by PF I assumed you
meant Profit Factor and
the nearest I can understand this, is that
Profit Factor = Gross Profit / Gross Loss
or as in the AB reports:
Profit Factor = Total Profit / Total Loss.
I didn't understand how this related to a time series or per annum gain.
However reading between the lines of this last post, I think you may be
referring to van Tharp's (was it he who coined this phrase? )
Profitunity factor?
Where ....
Profitunity = Expectancy per trade * number of trades per time period.
In which case it makes a little more sense to me.
If not, I am happy to stand corrected.
Regards
ChrisB
brian_z111 wrote:
>
> > 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@xxxxxxxxx ps.com
> <mailto:amibroker%40yahoogroups.com>, "brian_z111" <brian_z111@ ...>
> 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@xxxxxxxxx ps.com
> <mailto:amibroker%40yahoogroups.com>, 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@ yahoogrou 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
> > >
> >
>
>
--
Regards
ChrisB
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