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Brian,
By using range bars that are the same value as my trading settings, I
filter out smaller zigs and zags that are essentially "noise" to my
trading system of choice. Time is also filtered out as irrelevant. I
am only left with price movement --which is relevant to zigzags and
range bar systems. I end up with apples to apples comparison. Yes, I
think it is better to match the essential characteristics of the
"model" for maximum potential to the trading system of choice.
However, starting with the model first, can give insights into the
nature of the chosen trading vehicle that may influence the approach
to trading it.
I only see a tighter range of frequencies at the lowest timeframe
settings, which is why I trade there.
BR,
Dennis
On May 17, 2008, at 9:10 AM, brian_z111 wrote:
> 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
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>>>>>
>>>>> For other support material please check also:
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>>>>
>>>> ------------------------------------
>>>>
>>>> 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:
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>>>>
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>>>>
>>>>
>>>>
>>>
>>>
>>> ------------------------------------
>>>
>>> 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:
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>>> 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
>
>
>
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