|
PureBytes Links
Trading Reference Links
|
It is a huge subject - it takes years to learn all of the nuances -
some traders say that evaluation/moneymanagement is 90% of trading
but others disagree.
Certainly it is important to all traders.
> Thanks for the reply - I have ordered Howards book, hopefully it
> will arrive sometime this week.
Howard is an AmiBroker mentor so his work is tightly integrated.
System design and evaluation is at the core of his book, although
there is a lot more in there as well.
Walk forward OOS testing is one of his significant contributions and
you can now blend theory, with practice, by running tests in AB -
that will go a long way towards helping you find your feet.
> gain a deeper understanding of WHY we want to look for certain
> values on certain indicators.
To pinch from Howard's book - it is the "search for the best system".
The best system is one that makes a lot of money and never loses any.
Evaluation (system performance) metrics attempt to quantify that
search.
There are a lot of evaluation metrics floating around (I made one up
today!).
It isn't a matter of which is right or wrong.
It comes down to what they are measuring, what are the strengths and
weaknesses of each and how do we interpret them (I think the last one
is what you are asking?) - it is important that you understand them
and that they do the job you are expecting them to do.
Generally they fall into two categories (Reward versus Risk).
Reward is measured in % or $ and has to be standardised at some point
(usually to % per year - more is better).
Risk is measured in a lot of different ways - as a rule of thumb,
while you might be winning in the long run, you can't win all the
time - we have our losing trades - basically risk is a measure of
loss OR potential loss (the worst case scenario) - less is better.
Usually there is a trade off so that if you have less risk the reward
also tends to drop off.
As as starting point - most traders would accept 'expectancy' as an
important measure of potential reward and similarly most traders
would consider drawdown a risk not to be ignored.
All of the metrics have their own units - you have to learn them one
at a time (a lot are similar so when you have seen one you have seen
them all - give or take the minor variations).
Since Howard is comfortable with RRR, Ulcer Index, CAR/MDD etc why
not start there - try them out and try to critique them, + and -, and
go from there.
It also pays off to read widely (you need to be influenced by people
with different styles).
I sometimes go to Google books and read sections of the books that
are there before deciding to buy:
http://books.google.com/books
any introductory trading book that has a section on system design is
a good starting point:
Kaufman
Van Tharp
Tushar Chande etc,
Search amazon for trading OR system design - stuff like that - then
see if you can find them at google books and you can read a chapter
or two to get the flavour.
Don't worry about RalphVince too much, to start with, he is right up
near the pinnacle.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "jamesfarrow2003"
<jamesfarrow2003@xxx> wrote:
>
> Thanks for the reply - I have ordered Howards book, hopefully it
> will arrive sometime this week.
>
> I also had read some of the links you provided, like the user
guide,
> and some of the commentary on this site. However, I was hoping to
> gain a deeped understanding of WHY we want to look for certain
> values on certain indicators.
>
> I will take your advice and try to piecemeal some reference matrial
> from the web.
>
> James
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@>
> wrote:
> >
> > Hello James,
> >
> >
> > You can view the contents page of Howard's book and two chapters
> at:
> >
> > http://www.quantitativetradingsystems.com/book.html
> >
> > His homepage gives a good summary of what it is about.
> >
> > It does include a list of AB's built in metrics plus some
> additional
> > ones with a little bit of comment. More importantly Howard does
> give
> > an example of how to add a custom metric in the final
> > chapter "Extending AmiBroker".
> >
> > However defining the metrics isn't the books primary objective -
> that
> > would take a couple of hundred pages alone.
> >
> > The AB User's Guide lists the basic definitions:
> >
> > http://www.amibroker.com/guide/w_report.html
> >
> > Beyond that there is so much material available by googling that
> most
> > authors probably feel detailed explanations would be redundant.
> >
> > They are sometimes discussed in this forum (we have covered
Profit
> > Factor, Expectancy, Ulcer Index etc in the last few weeks).
> >
> > Sometimes I get good answers from keyword specific searches on
> this
> > forum, EliteTraders or the TradingBlox forums.
> >
> > If there was a book, just on the defintion of evaluation metrics
> > alone out there, then I wouldn't buy it anyway.
> >
> > Most of the time I pick up definitions when they are included in
> > books on system design and testing.
> >
> > Howard has a links page that references some of the better
> > books/sites and there is also a few links to stats books at:
> >
> > http://www.amibroker.org/userkb/2007/10/18/statistics-resources-
> for-
> > traders/
> >
> > brian_z
> >
> > http://www.amibroker.org/userkb/
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "jamesfarrow2003"
> > <jamesfarrow2003@> wrote:
> > >
> > > WOuld this be a good book to learn about the measures of
> > performance
> > > that Amibroker automatically calculates?
> > >
> > > If not, does anyone have a good reference for those measures?
> > >
> > > Thanks,
> > >
> > > James
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, ohneclue <ohneclue@> wrote:
> > > >
> > > > Dennis,
> > > >
> > > > Good Job!!!!
> > > >
> > > > Judith
> > > >
> > > >
> > > > ----- Original Message ----
> > > > From: Dennis Brown <see3d@>
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Sent: Friday, April 4, 2008 3:08:28 PM
> > > > Subject: Re: [amibroker] Howard B. Bandy BOOK
> > > >
> > > > I just wrote a review for that page that says to buy it from
> the
> > > Author at half that price. I don't want someone to feel ripped
> off
> > > if they buy the book then visit the website. :)
> > > >
> > > >
> > > > Dennis
> > > >
> > > >
> > > > On Apr 4, 2008, at 3:55 PM, ohneclue wrote:
> > > >
> > > > Howards,
> > > >
> > > > I assume, then, you have also seen the link on the left to "I
> Own
> > > the rights . . ." and that takes you to a book seller that
might
> be
> > > more interested in your offer providing you own the rights
which
> > you
> > > do.
> > > >
> > > > Don't know if that is of any interest to you but thought I'd
> > > mention it anyway.
> > > >
> > > > Judith
> > > >
> > > > ----- Original Message ----
> > > > From: Howard B <howardbandy@ gmail.com>
> > > > To: amibroker@xxxxxxxxx ps.com
> > > > Sent: Friday, April 4, 2008 2:37:29 PM
> > > > Subject: Re: [amibroker] Howard B. Bandy BOOK
> > > >
> > > >
> > > > Hi Dave --
> > > >
> > > > Yes, I have seen it. I emailed the seller a couple of weeks
> ago
> > > and offered them as many copies at $49.95 as they wanted. They
> > must
> > > have all they need, because they have not responded. If they
> can
> > > sell the book at $104, more power to them.
> > > >
> > > > Thanks,
> > > > Howard
> > > >
> > > >
> > > >
> > > > On Thu, Apr 3, 2008 at 5:36 PM, dave_88_1961 <dave_88_1961@
> > > yahoo.com> wrote:
> > > >
> > > >
> > > >
> > > > Howard,
> > > > Have you seen this on Amazon?
> > > > http://www.amazon. com/Quantitative -Trading- Systems-
Practica
> l-
> > > Validation/ dp/0979183804/ ref=pd_bbs_ sr_1?
> > > ie=UTF8&s=books&qid=1207269124&sr=8-1
> > > >
> > > >
> > > > Dave
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > You rock. That's why Blockbuster' s offering you one month of
> > > Blockbuster Total Access, No Cost.
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > >
> >
>
_____________________________________________________________________
> _
> > > ______________
> > > > You rock. That's why Blockbuster's offering you one month of
> > > Blockbuster Total Access, No Cost.
> > > > http://tc.deals.yahoo.com/tc/blockbuster/text5.com
> > > >
> > >
> >
>
------------------------------------
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|