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TASC has some publications on Trading the Equity that may interest you.
herman
For tips on developing Real-Time Auto-Trading systems visit:
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Monday, April 28, 2008, 3:33:37 PM, you wrote:
> Hi,
> I just started also to investigate "Equity-Curve Trading" (ECT). I
> would like to bring the discussion in a different direction: How can
> ECT be implemented in AmiBroker AFL?
> The initial thing is clear, I calculate the RAW buy/sell signals from
> my portfolio. But now comes the tricky point: True ECT this requires
> the sequential calculation of two equity curves.
> 1st, the "System Equity Curve" (SEQ). The system is always in the
> market with the same algorithm and all buy/sell signals
> are traded. The resulting SEQ will show how good the system behaves at
> different market conditions, e.g. a falling SEQ is caused by drawdown.
> 2nd, the "Real Equity Curve" (REQ). The decision if a trade is done is
> based on the SEQ, for instance the trading might be paused if the
> moving average of the SEQ indicates a weak period (system has drawdown
> because it cannot handle the current market situation well). Finally,
> the REQ will show the real performance of my system.
> My question to the AFL gurus here: How can I maintain two equity
> curves? How can this be implemented with the Custom Backtester Interface?
> Thanks for your hints and best regards,
> Markus
> --- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@xxx> wrote:
>> I was wondering if anyone has any experience with trading the equity
>> curve itself as part of a system. In particular, I was looking for
>> feedback on approaches to being above or below the curve - did you
>> reduce/increase position sizes or the number of positions? What have
>> you found to be affective?
>> Any feedback greatly appreciated - obviously I don't want or expect
>> anyone to give away a great system, but I thought it might be an
>> interesting topic for a general discussion.
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