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Re Bandy versus Aronson.
They are doing different things.
Howard is an AmiBroker teacher - everything is transcribed into the
AFL idiom. AB is huge - the unofficial training manual is thousands
of pages already and still growing. Howard couldn't fit it all in one
book. He probably can't even fit it all into three books.
Aronson is 100% pure system design and evaluation, but not in AFL.
I rate him very highly.
A fine mind, simplified explanations and entertaining to boot.
No single book does it for me.
I am always left wanting more.
I get bits and pieces from different sources.
I will be adding some more to that list and including reviews later
on.
There are some more good authors around.
Ralph Vince is another one who should be there.
Don't underestimate our resident specialists, who can also take years
off the learning curve. (Graham - code, Herman - AutoTrading, Fred -
Optimization).
There is also Thomas - pattern recognition, Bill Barack - training
and Bill Seward - trading mentor.
I haven't sampled their work yet but I would like to one day when I
get a chance.
FWIW I will also be giving away a lot of my original work at the UKB.
The only thing is I am a very slow writer - it takes me quite a while
to write some of those posts - so it is only coming out a little bit
at a time (it is just the way I work, with the early drafts being
thrown out followed by successive research, checking references,
cutting and pruning etc).
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
<rockprog80@xxx> wrote:
>
> Hi Brian,
>
> Ok thanks. I ordered his book today... I hope it will help me and
if I
> like it I will order his next book as well.
>
> Louis
>
> p.s. Is the Aronson's book as good?
>
>
> 2008/2/25, brian_z111 <brian_z111@xxx>:
> >
> > Howard's book has a chapter on issue selection (filtering by
> > liquidity). The concepts are the same so it should help in that
> > regard.
> >
> > The main function of this forum is to help learn and apply
AmiBroker
> > so most of the time you will get an answer if you have a
> > specific "how to do such and such in AB".
> >
> > I can't show you how to do volatility bands at the moment.
> > Maybe another day or I will post on it at the UKB (I found it
useful
> > for benchmarking signals - Howard also gives a method for
> > benchmarking signals in his book).
> >
> > He is writing another AB training book that will be out soon.
> >
> > He has talked about a third book.
> > Those of us who have been around awhile are waiting for that one.
> >
> > brian_z
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>, "Louis
> > Préfontaine"
> > <rockprog80@> wrote:
> > >
> > > Hi again Brian,
> > >
> > > I think I understand what you mean. Do you think that reading
> > Howard's book
> > > will help me splitting the stocks betweeen high volatility and
low
> > > volatility and then be able to work with that? I sure would like
> > to get a
> > > different stop-loss % for each of those groups.
> > >
> > > I tried to make groups but ran into some problems. I
experimented
> > with
> > > "setoption" to build a custom backtesting procedure but I just
> > can't filter
> > > groups/industry/index so I don't have every stocks in the
> > backtesting (it
> > > isn't useful to get NYSE trin as a buy/sell signal...).
> > >
> > > I tried
> > >
> > > Filter=0;
> > > Filter = IndustryID(0) == 254;
> > >
> > >
> > > (I want to exclude the Industry number 254 (that is, the one
before
> > the last
> > > one in the group) from the scan... I think I really get this
> > wrong... Will
> > > Howard's book help me with this kind of issues?)
> > >
> > > I had a look to the UKB to the books you recommanded. I might
buy
> > the first
> > > one on the list as well. I really need to catch up very fast! ;-
)
> > >
> > > Louis
> > >
> > >
> > >
> > >
> > >
> > > 2008/2/25, brian_z111 <brian_z111@>:
> > > >
> > > > I won't look at your code too closely.
> > > >
> > > > > I get only results of ATR > 3-4. Only Indu.x is under 2;
all the
> > > > >other one
> > > > > are over 3-4, and sometimes 6-7 and more.
> > > >
> > > > 2% was an off the cuff example.
> > > > Move that wherever you want to achieve whatever it is you
want to
> > do
> > > > (if you can).
> > > >
> > > > > However, are you sure about the idea of entering/exiting a
stock
> > > > >when
> > > > > volatility gets too high?
> > > >
> > > > No, I didn't say that (that is another story).
> > > >
> > > > I gave one example of using volatility in trading i.e.
volatility
> > > > stops (Tomasz uses an ATR example as his trailing stop in the
help
> > > > manual so it synched with that).
> > > >
> > > > > Wouldn't it be better simply to scan and >avoid
> > > > > high volatily stocks to reduce the drawdown possibility?
> > > >
> > > > You might have one strategy for low vol stocks and another for
> > high
> > > > or you might find volatility too hard to handle and avoid it.
> > > >
> > > > The key factor, in theory, is Reward/Risk.
> > > > With volatility stops in place a higher volatility stock might
> > have,
> > > > say twice the risk. If it has three times the Reward then it
can
> > > > absorb the extra Risk (there is more to it than that but that
is
> > the
> > > > basic starting point).
> > > >
> > > > brian_z
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com><amibroker%
> > 40yahoogroups.com>, "Louis
> > > > Préfontaine"
> > > > <rockprog80@> wrote:
> > > > >
> > > > > Hi,
> > > > >
> > > > > Thanks for the suggestion. I must do something wrong however
> > > > because from
> > > > > the code I wrote
> > > > >
> > > > > _SECTION_BEGIN("ATR");
> > > > > periods = Param( "Periods", 15, 1, 200, 1 );
> > > > > Plot( ATR(periods)/Ref(C,-1)*100
> > > > > , _DEFAULT_NAME(), ParamColor( "Color", colorCycle ),
ParamStyle
> > > > ("Style") );
> > > > >
> > > > > LongPer = Param("Long Period", 50, 10, 100, 5 ); /* select
> > periods
> > > > with
> > > > > parameter window */
> > > > >
> > > > > MidPer = Param("Mid Period", 20, 0, 50, 1);
> > > > > ShortPer = Param("Short Period", 10, 3, 10, 1 );
> > > > >
> > > > > LongEMA = EMA( ATR(periods)/Ref(C,-1)*100, LongPer );
> > > > > MidEMA = EMA (ATR(periods)/Ref(C,-1)*100, MidPer);
> > > > > ShortEMA = EMA( ATR(periods)/Ref(C,-1)*100, ShortPer );
> > > > >
> > > > > _SECTION_END();
> > > > >
> > > > > _SECTION_BEGIN("ema-ATR");
> > > > > Plot( LongEMA, "EMA(ATR(periods)/Ref(C,-1)*100, "+WriteVal
> > > > (LongPer,1)+")",
> > > > > colorBlue,
> > > > > styleLine|styleNoRescale );
> > > > > Plot( MidEMA, " EMA(ATR(periods)/Ref(C,-1)*100, "+WriteVal
> > (MidPer,1)
> > > > +")",
> > > > > colorBrown,
> > > > > styleLine|styleNoRescale );
> > > > > Plot( ShortEMA, " EMA(ATR(periods)/Ref(C,-1)*100,
> > > > > "+WriteVal(ShortPer,1)+")", colorGreen,
> > > > > styleLine|styleNoRescale );
> > > > >
> > > > >
> > > > > _SECTION_END();
> > > > >
> > > > > I get only results of ATR > 3-4. Only Indu.x is under 2;
all the
> > > > other one
> > > > > are over 3-4, and sometimes 6-7 and more.
> > > > >
> > > > > However, are you sure about the idea of entering/exiting a
stock
> > > > when
> > > > > volatility gets too high? Wouldn't it be better simply to
scan
> > and
> > > > avoid
> > > > > high volatily stocks to reduce the drawdown possibility?
> > > > >
> > > > > Thanks,
> > > > >
> > > > > Louis
> > > > >
> > > > > 2008/2/24, brian_z111 <brian_z111@>:
> > > > > >
> > > > > > If you want a relative measure of range then you could use
> > > > ATR%, as
> > > > > > suggested by Graham.
> > > > > >
> > > > > > High volatility stocks would be filtered by e.g. ATR% > 2
etc.
> > > > > >
> > > > > > In that case your stops would be something like:
> > > > > >
> > > > > > ProfitStop = Ref(C,-1) * (1 + ATR%/100);
> > > > > > StopLoss = Ref(C,-1) * (1 - ATR%/100);
> > > > > >
> > > > > > If you want to standardise range then you could use:
> > > > > >
> > > > > > StandardATR = StDev(ATR(1),Periods);
> > > > > >
> > > > > > An example of a stop would then be:
> > > > > >
> > > > > > ProfitStop = Ref(C,-1) + StDev(ATR(1),20);
> > > > > >
> > > > > > Or maybe (for live work):
> > > > > >
> > > > > > ProfitStop = Ref(C,-1) + Ref(StDev(ATR(1),20),-1);
> > > > > >
> > > > > > Or something like that.
> > > > > >
> > > > > > That is only one way of doing it.
> > > > > >
> > > > > > You can try whatever you like, within the boundaries of
your
> > > > > > knowledge (plus a little bit more).
> > > > > >
> > > > > > brian_z *;-)
> > > > > >
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com><amibroker%
> > 40yahoogroups.com><amibroker%40yahoogroups.com>,
> > > > > > "brian_z111" <brian_z111@> wrote:
> > > > > > >
> > > > > > > Louis,
> > > > > > >
> > > > > > > > only thing I need to know is simply to set the STdev
at 2
> > or 3
> > > > > > (if
> > > > > > > it's what
> > > > > > > > I want to do) and then automatically ATR will be use
that
> > new
> > > > > > StDev?
> > > > > > > >
> > > > > > >
> > > > > > > No.
> > > > > > >
> > > > > > > ATR and StDev are both measures of volatility but they
> > measure
> > > > it
> > > > > > in
> > > > > > > different ways. Generally you would use one or the
other.
> > > > > > >
> > > > > > > StDev has special uses.
> > > > > > >
> > > > > > > If you want to use them it would pay off to study them
> > closely
> > > > > > first.
> > > > > > >
> > > > > > >
> > > > > > > > I like your idea to make two groups; one with high
> > volatility
> > > > and
> > > > > > > one with
> > > > > > > > low volatility. Would you consider it would be
possible to
> > > > > > adjust
> > > > > > > the
> > > > > > > > stop-loss differently for each group?
> > > > > > >
> > > > > > > You could try it e.g. the stop loss can be the close -
StDev
> > > > (C,20).
> > > > > > > You can vary the stop loss for one group by using a
> > multiplier
> > > > so
> > > > > > the
> > > > > > > stop loss could be close - StDev(C,20) * 1.5 for one
group
> > and
> > > > > > close -
> > > > > > > StDev(C,20) for the other.
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > > And how do you filter the top
> > > > > > > > performers?
> > > > > > >
> > > > > > > It depends on what you have chosen as your favourite
metric
> > for
> > > > > > > evaluating systems. As I said in an earlier post I like
> > Power
> > > > > > Factor
> > > > > > > (I will be explaining this at the UKB soon) but you
would be
> > > > better
> > > > > > > served choosing your own.
> > > > > > >
> > > > > > > If you are not sure on evaluation, and use of the
metrics,
> > then
> > > > > > > Howard Bandy's book is a good place to start.
> > > > > > >
> > > > > > > Sorry, I can't help you any further with this.
> > > > > > > I have a couple of posts for the UKB I want to get
finished.
> > > > > > >
> > > > > > > BTW did you see the answer I gave you yesterday
on "Trying
> > to
> > > > > > compare
> > > > > > > market and industry" ?. see message # 120270
> > > > > > >
> > > > > > > I hopoe that helps you a little and good luck with your
> > trading.
> > > > > > >
> > > > > > > brian_z
> > > > > > >
> > > > > > >
> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com><amibroker%
> > 40yahoogroups.com><amibroker%
> > > > 40yahoogroups.com>, "Louis
> > > > > > Préfontaine"
> > > > > > > <rockprog80@> wrote:
> > > > > > > >
> > > > > > > > Hi Brian,
> > > > > > > >
> > > > > > > > Thanks for those explanation. I will experiment with
this
> > > > > > tonight
> > > > > > > and
> > > > > > > > tomorrow. However, I am not sure about something: are
you
> > > > saying
> > > > > > > that the
> > > > > > > > only thing I need to know is simply to set the STdev
at 2
> > or 3
> > > > > > (if
> > > > > > > it's what
> > > > > > > > I want to do) and then automatically ATR will be use
that
> > new
> > > > > > StDev?
> > > > > > > >
> > > > > > > > I like your idea to make two groups; one with high
> > volatility
> > > > and
> > > > > > > one with
> > > > > > > > low volatility. Would you consider it would be
possible to
> > > > > > adjust
> > > > > > > the
> > > > > > > > stop-loss differently for each group? And how do you
> > filter
> > > > the
> > > > > > top
> > > > > > > > performers?
> > > > > > > >
> > > > > > > > As always, thanks for your help!
> > > > > > > >
> > > > > > > > Louis
> > > > > > > >
> > > > > > > > 2008/2/24, brian_z111 <brian_z111@>:
> > > > > > > > >
> > > > > > > > > Sorry Louis, a mistake there.
> > > > > > > > >
> > > > > > > > > I am getting my standard deviations mixed up between
> > > > programs.
> > > > > > > > >
> > > > > > > > > In AB StDev is 1 by default and is in $values.
> > > > > > > > > To use AB's StDev at 2,3 deviations etc just
multiply
> > StDev
> > > > > > (C,10)
> > > > > > > * 2
> > > > > > > > > etc
> > > > > > > > > To use it as StDev%
> > > > > > > > > StDevPercent = StDev(C,Periods)/MA(C,Periods) * 100;
> > > > > > > > >
> > > > > > > > > For STANDARD measures of deviation use StDev.
> > > > > > > > > For relative measures of deviation use ATR as % or
> > StDev as
> > > > %
> > > > > > > > >
> > > > > > > > > One example:
> > > > > > > > >
> > > > > > > > > Say you want to compare the performance of a fast
horse
> > and
> > > > a
> > > > > > slow
> > > > > > > > > horse. If they both travel 1 StDev in the same time
> > (number
> > > > of
> > > > > > > > > periods) their performance is equal but the VALUE
> > (QUALITY)
> > > > of
> > > > > > the
> > > > > > > > > fast horses performance is higher - it's a grade one
> > horse
> > > > > > > compared
> > > > > > > > > to the other horse, which is a grade 2 (using speed
as
> > the
> > > > > > > criteria).
> > > > > > > > >
> > > > > > > > > In practice - profit/loss stops might be set at +- 1
> > > > standard
> > > > > > > > > devation and then filtered for the top performers.
The
> > top
> > > > > > > performers
> > > > > > > > > could then be segregated into two watchlists - those
> > with 1
> > > > > > stdev
> > > > > > > >
> > > > > > > > > 2% (high volatility stocks) and those with stdev
<=2%
> > (low
> > > > > > > volatility
> > > > > > > > > stocks) - this would allow a comparison of the
> > performance
> > > > of
> > > > > > that
> > > > > > > > > trading signal/stop loss combination on high and low
> > > > volatility
> > > > > > > > > stocks.
> > > > > > > > >
> > > > > > > > > brian_z
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx<amibroker%
40yahoogroups.com><amibroker%
> > 40yahoogroups.com><amibroker%
> > > > 40yahoogroups.com><amibroker%40yahoogroups.com>,
> > > > > > > > > "brian_z111" <brian_z111@> wrote:
> > > > > > > > > >
> > > > > > > > > > Louis,
> > > > > > > > > >
> > > > > > > > > > >Does anyone know if it is possible to get an
absolute
> > > > value
> > > > > > > ATR?
> > > > > > > > > >
> > > > > > > > > > The Abs() function serves that purpose but I
think you
> > > > mean
> > > > > > > > > something
> > > > > > > > > > else.
> > > > > > > > > >
> > > > > > > > > > ATR is a measure of volatility and it is specific
for
> > each
> > > > > > > stock (or
> > > > > > > > > > instrument). The whole idea of it (AFAIK) is to
use
> > it on
> > > > an
> > > > > > > > > > individual
> > > > > > > > > > stock basis.
> > > > > > > > > >
> > > > > > > > > > It can be useful to compare volatility:
> > > > > > > > > >
> > > > > > > > > > 1) internally e.g. against an average of the last
(x)
> > > > days OR
> > > > > > > > > against
> > > > > > > > > > the StDev (standard deviation) of the volatility
> > measure
> > > > OR
> > > > > > > just use
> > > > > > > > > > StDev of the Close etc on its own.
> > > > > > > > > >
> > > > > > > > > > StDev() function does allow to change the setting
> > between
> > > > 1
> > > > > > or
> > > > > > > 2 etc
> > > > > > > > > >
> > > > > > > > > > 2) externally to the volatility of the market OR a
> > sector
> > > > > > that
> > > > > > > the
> > > > > > > > > > stock is a member of OR compared to another stock
in
> > the
> > > > same
> > > > > > > sector
> > > > > > > > > > etc.
> > > > > > > > > >
> > > > > > > > > > brian_z
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx<amibroker%
40yahoogroups.com><amibroker%
> > 40yahoogroups.com><amibroker%
> > > > 40yahoogroups.com><amibroker%
> > > > > > 40yahoogroups.com>,
> > > > > > > Graham
> > > > > > > > > <kavemanperth@> wrote:
> > > > > > > > > > >
> > > > > > > > > > > you could try a percentage type
> > > > > > > > > > >
> > > > > > > > > > > ATR(10)/ref(c,-1)*100
> > > > > > > > > > >
> > > > > > > > > > > --
> > > > > > > > > > > Cheers
> > > > > > > > > > > Graham Kav
> > > > > > > > > > > AFL Writing Service
> > > > > > > > > > > http://www.aflwriting.com
> > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > > > On 24/02/2008, louisprefontaine <rockprog80@>
wrote:
> > > > > > > > > > > > Does anyone know if it is possible to get an
> > absolute
> > > > > > value
> > > > > > > > > ATR?
> > > > > > > > > > I
> > > > > > > > > > > > already use the ATR, but it changes from
stock to
> > > > stock,
> > > > > > > > > > depending on
> > > > > > > > > > > > the value of the stock. Would it be possible
to
> > get an
> > > > > > > > > absolute
> > > > > > > > > > value
> > > > > > > > > > > > indicator, like CMF, RSI, etc.? Thanks!
> > > > > > > > > > > >
> > > > > > > > > > > >
> > > > > > > > > > > >
> > > > > > > > > > > > Please note that this group is for discussion
> > between
> > > > > > users
> > > > > > > > > only.
> > > > > > > > > > > >
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> > mail
> > > > > > > directly to
> > > > > > > > > > > > SUPPORT {at} amibroker.com
> > > > > > > > > > > >
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> > > > check
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