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Brian_z - Thanks for the great reply. That seriously may best the
best reply I have ever gotten on an online request for information!
Up until this point, I have spent my time researching various trading
strategies (diviend investing, technical, fundemental, etc). Looking
through all of the books I have on different strategies made the task
of selecting one a bit daunting.
Technial seems to be where my intrest lies( probably because of my
engineering background), so I will take your suggestion and begin to
increase my library with books that have more emphasis on the
technical:)
Thanks again,
James
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> 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@> 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
> > > > >
> > > >
> > >
> >
>
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