|
PureBytes Links
Trading Reference Links
|
Dennis,
Do you see any point of distinction between benchmarking against the
(idealized) cycles and benchmarking as I described it?
Do you see any evidence that cycles (frequency and amplitude) are
consistent and/or persistent within time periods e.g. minute to
minute etc up to year to year, or between symbols, instruments or
markets?
Just interested to add some colour to Howard's ZigZag teaser.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> Thomas,
>
> I am in the middle of rewriting this code at the moment. This
stuff
> is embedded in about 5000 lines of AFL. I am working with intraday
> range bars, I use (H+L)/2 for my zigzag input. I wrote my own
zigzag
> AFL to add the point when a signal becomes valid without look
ahead
> (though that is irrelevant to this use). I don't use the back
tester
> at all or CBT for my system. I wrote my own simple custom back
tester
> that better suits my single issue futures trading.
>
> You get a perfect looking equity curve with a lookahead zigzag.
Only
> the absolute gain will change with the settings and will peak at a
> certain setting if the trading overhead is included. looking at
the
> trading arrows on the chart will yield insights about the maximum
> profit potential trade size and frequency. There is no magic to
it.
> It has been done and written about many times before. It is the
most
> basic way to determine maximum profit potential of a market.
>
> BR,
> Dennis
>
>
> On May 17, 2008, at 6:14 AM, Thomas Ludwig wrote:
>
> > Dennis,
> >
> > thanks for your reply!
> >> Thomas,
> >>
> >> That is what I do. Though I also add all the trading overhead
as if
> >> it were real trades,
> >
> > Yes, I think that's what gp_sydney is also doing in his "Looping
in
> > Amibroker AFL.pdf" (see files section) in the "Gain Calculation"
> > example on p. 18.
> >
> >> then adjust the % change to the maximum total
> >> profit which gives you a lot more insights.
> >
> > Hm - I'm not sure that I understand ...
> >
> > Dennis, are you possibly willing to share your code?
> >
> > Regards,
> >
> > Thomas
> >>
> >> BR,
> >> Dennis
> >>
> >> On May 16, 2008, at 1:35 PM, Thomas Ludwig wrote:
> >>> Hi all,
> >>>
> >>> Rober Pardo suggests in his book "The Evaluation and
Optimization
> >>> of Trading Strategies" the calculation of "Perfect Profit" (PP)
> >>> which "is the sum total of all of the potential profit that
could
> >>> be realized by buying every bottom and selling every top". By
> >>> comparing Net Profit of your trading system with PP you can
> >>> calculate the "Model Efficiency" (ME).
> >>>
> >>> I think PP can be easily calculated as a stand-alone code by
> >>> applying a,
> >>> say, 1% Zigzag. But how can it be done if I want to add ME as an
> >>> additional metric in the Custom Backtester? The Equity()
function
> >>> is used for your trading system and cannot be used for the
Zigzag
> >>> system at the same time in order to compare both, IMHO. So the
only
> >>> solution I
> >>> can think of is to loop through all Zigzag signals and calculate
> >>> the profit programmatically. Or am I overlooking something?
> >>>
> >>> Pardo also suggests to calculate the Remaining Percentage of
> >>> Degrees of
> >>> Freedom (through Used Dgrees of Freedom and Original Degrees of
> >>> Freedom). Any idea if and how they can be counted in AFL?
> >>>
> >>> Regards,
> >>>
> >>> Thomas
> >>>
> >>> ------------------------------------
> >>>
> >>> 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
> >>
> >> ------------------------------------
> >>
> >> 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
> >>
> >>
> >>
> >
> >
> > ------------------------------------
> >
> > 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
> >
> >
> >
>
------------------------------------
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/
|