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Read my other replies to get an understanding of what the purpose of
the composite arrays are.
P.S.
The colored lines are only when using the Results.afl script (i.e.
~YHOOResults), not the Detrend.afl
These are just there to show the foreign symbol action that triggers
the trade. If you're not using a foreign symbol, you can strip out
the plotting. You can also set to use own scale in the line style if
the foreign symbol pricing is too far from the symbol being plotted.
The trade arrows are for the visible portion of the chart, not only
the range selected for trading.
--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
<rockprog80@xxx> wrote:
>
> Hi Mike,
>
> That's sad you can't see the images. I am sure you would
understand my
> questions. Ok, here is what I did step-by-step:
>
> 1) I used the "detrend' script with YHOO for 1998 to 2000. The
~YHOO file
> was created.
>
> 2) I opened the ~YHOO file and in the small formula window at the
botton of
> the screen I see a bunch of pink, yellow and green lines around
1.30+ and
> at the down of that same window I see a bar "zero" with green
arrows below
> and red arrows over. (I don't understand this; what are the lines
for? and
> why the red/green arrows if no buy/sell signals have been issued
yet).
> Those lines are all AFTER then end of the period that is in the
data (after
> 2000), and between 1998 and 2000 I see a blue oscillator but no
> pink/yellow/green lines at all.
>
> 3) Then, I use the second script (but I don't know what to set as a
foreign
> because I don't know what is the utility of this; I set COMP
because I
> didn't know what else); And then after clicking backtest there was
one (1)
> transactions only, beginning on the first day of the data and
exiting on the
> next day. Many other raw signals, but no actual order issued. An
another
> problem, as I said in my last message, is that if the rule is based
on the
> log itself, I can't issue commands like (buy>2) as an example. I
must stay
> with "general" rules.
>
> This is complicated. I like it! ;-)
>
> Thanks,
>
> Louis
>
>
>
> 2008/3/3, Mike <sfclimbers@xxx>:
> >
> > 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 <amibroker%
40yahoogroups.com>, "Louis
> > Préfontaine"
> > <rockprog80@> 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@>:
> > > >
> > > > 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@>:
> > > > >
> > > > > 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><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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