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[amibroker] Re: Aronson Detrending Market {Was Detrending... log}



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I don't receive these posts in the mail, and Yahoo strips out the 
images, so I can't see your image.

However, it doesn't matter. The bias is not the number of long vs. 
short trades, but rather the number of days long vs the number of 
days short. Even then, you don't care. Since the second script 
applies your strategy to detrended data, all bias is removed from the 
results.

The only answer you want to know is whether your strategy performance 
is better than zero, with statistical significance, once the 
position/trend bias has been stripped out.

You get that answer by comparing the mean of the second script 
results (i.e. your strategy) to the mean of the first script results 
(i.e. the market).

The scripts have already stripped all position bias/trending. The 
mean of the first results will always be approximately zero. The mean 
of the second results will reflect your strategy's predictive ability.

A t-test will tell you if the difference is more than just chance.

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine" 
<rockprog80@xxx> wrote:
>
> Hi Mike,
> 
> I attached an image of what I got.  I suspect that the green/red 
arrows may
> be the buying/selling signals.  So if there are more red than green 
then the
> system has a negative bias, or if it stays with a red longer than 
with a
> green it is negative, right? Could you please confirm this?
> 
> I tried one of my own formula which has a strong positive bias 
(like making
> zillions of money in the techno-bubble and losing from 2000 to 
2003) but I
> got more red arrows then green.  Maybe there is something that is 
not right?
> 
> Please tell me if you can't see the image.
> 
> Thanks,
> 
> Louis
> 
> 2008/3/3, Louis Préfontaine <rockprog80@xxx>:
> >
> > Hi Mike,
> >
> > I am not sure I understand.  If the first script did it all, why 
did you
> > recommand me to add all the close and then divide by the number 
of close to
> > get the average?  What was the use of this operation?  And why 
the second
> > script, which creates yet another quote with the ELR alone...  I 
think I'd
> > need to subtract the ELR from the actual quote, but how to do 
that...  I am
> > not sure I understand how I can have a detrended data that can be 
useful
> > with my rules to get a ratio of buying/selling (short/cover) 
signals that
> > would allow me to know if a have a positive/negative bias.
> >
> > Could you please explain to me how you actually use this/those 
script(s)
> > to see if your rules has a bias?
> >
> > Thanks!
> >
> > Louis
> >
> >
> >
> > 2008/3/3, Mike <sfclimbers@xxx>:
> > >
> > >   I believe that SetBacktestMode, or at least some of its 
argument
> > > values, were introduced in more recent versions of the product. 
Since
> > > I'm setting it to the default, you can just leave it out.
> > >
> > > As for the ALR, my first script (Detrend.afl) does everything 
for
> > > you. The values held in the Close field of the composite symbol 
(e.g.
> > > ~SP-500) will *already* have the complete, detrended and 
adjusted
> > > value. Nothing more for you to do.
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>, "Louis
> > > Préfontaine"
> > > <rockprog80@> wrote:
> > > >
> > > > Hi Mike,
> > > >
> > > > Thank you so much for your reply. I really appreciate your 
step-by-
> > > step
> > > > advices. This is really amazing to see the work you've done 
with
> > > Aronson's
> > > > ideas!
> > > >
> > > > I tried to follow your step-by-step guide but unfortunately it
> > > seems there
> > > > may be a mistake in the following code:
> > > >
> > > > SetTradeDelays(1, 1, 1, 1); // All trades on next Open 
afterEOD
> > > Signal
> > > > SetBacktestMode(backtestRegular); // One symbol, no redundant
> > > signals
> > > > SetOption("InitialEquity", 100000);
> > > > SetOption("AccountMargin", 100);
> > > >
> > > > For some reason I get an error Line 2, Col.: 16 Error 30. 
Syntax
> > > error.
> > > >
> > > > Did I do something wrong? Is it possible to do the same thing 
in
> > > another
> > > > way?
> > > >
> > > > Anyway I now fully understand what we're trying to do here. 
After
> > > I got the
> > > > ALR for each day, all that will be needed will be to subtract 
it
> > > from day1
> > > > to day 2 log. Then we will need to set rules with +1 and -1
> > > value... Well,
> > > > I am not 100% sure I fully understand, but it's getting 
close. If
> > > I can
> > > > only get past this error...
> > > >
> > > > Thanks a lot!
> > > >
> > > > Louis
> > >
> > >  
> > >
> >
> >
>




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