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No disrespect but when guys like you and Dennis, who are working in
specialist areas, post you can't expect us to pick up your train of
thought with only partial explanations (if you had given me a
screenshot of a spreadsheet mockup and mini-tutorial I could have
bought in to your search a lot easier).
By the same token I think you misunderstood the value of what I was
talking about (maybe for the same reasons although I have talked
about it before).
First I am talking about something more generic that has added value
if pursued (I only gave the starting point).
It leads on to inline MoneyManagement and plotting trade series
frequencies etc.
Second, from my point of view, I don't understand why you would want
to have indicators as backtesters BUT if you do want that then you
can have it without new functions (if I understand you correctly but
I am saying that under the assumption that you agree with Dennis's
defintion of an inline BT).
By my proposition if you know the trade% and you know the time in
trade you can calculate any equtiy metric OR moneymanagement outcome
you want. Since, for individual stocks, you do have that then it
should be do-able without megacode.
(Keep in mind that I might not fully understand your needs and that
we are live i.e. speculating - if it looks like I am making a mistake
I will throw in my hand).
Also, I appreciate Fred's/Tomnasz's answers because, while I think
that another approch offers far more long term value, they taught me
something and it is something I can use right now (I have a policy to
get on with it with what I have OR do it myself i.e. code or plugins
which for me is all about pragmatism. I am only sidetracking a little
bit here and there to give Tomasz my two cents as I have too much to
do to make a career of it).
As I said, no disrespect.
I think the topic is worth my honest input.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> Herman,
>
> Actually, your needs and my needs are closely aligned in this
regard:
> The need for a high speed BT on a single ticker in an indicator
that
> refreshes on each new tick (more than 1 per second).
>
> If I had these functions as built-in, I might not have needed to
write
> my own AFL version.
>
> However, since it can be done in AFL, we should not rule out the
> #include option as a first viable choice.
>
> I doubt that what I have written so far qualifies as a useful
general
> purpose solution for others, but it is more like 100 lines than
1000
> lines of AFL.
> However, if I had a good #include to start with, I would likely
have
> used it as a base to work from, only adding my unique needs to it.
>
> I am still debugging my last rewrite of my equity function, but I
am
> willing to share what I have privately with a good AFL coder who
can
> make something more general purpose to share with all.
>
> Best regards,
> Dennis
>
> On May 19, 2008, at 11:23 AM, Herman wrote:
>
> > Hello Paul,
> >
> > you are absolutely correct, it ought to be as simple as running
this
> > code in an Indicator:
> >
> > ....systems code...
> >
> > E = Equity(1); // This function would be
called
> > once only
> > NP = NetProfit(E); // New AFL functions that
return
> > ARRAYs based on the equity Array
> > NPP = NetPercentProfit(E)
> > CA = CAR(E)
> > RA = RAR(E)
> > MaxTradeDD = ... and so on for all performance metrics.
> >
> > ... second level of systems code using the above metrics for
system
> > analysis, signal generation, position scoring, position sizing,
> > etc. ...
> >
> > The so called solutions discussed in this thread either do not
> > provide the above arrays for use in auto-refreshing indicators,
or
> > require a thousand lines of code written by a professional
programmer.
> >
> > best regards,
> > herman
> >
> >
> >
> > For tips on developing Real-Time Auto-Trading systems visit:
> > http://www.amibroker.org/userkb/
> >
> > Sunday, May 18, 2008, 10:50:31 PM, you wrote:
> >
> > > Herman,
> > > I think I know where you are coming from. The difference between
> > > using indicators vs scripts is that indicators continue to
> > > recalculate ( or in this case backtest) as new data arrives.
> >
> > > One way to broker the impass with Tomasz is consider simple
profolio
> > > backtesting as an AFL function. Rather than using OLE, This
option
> > is
> > > write a function similar to Equity() in which the symbols in a
> > > watchlist is read and backtested.
> > >
> > > I think this function could be done in AFL today using the
various
> > > functions already available. ie CategoryGetSymbol to get the
> > symbols,
> > > foreign to set foreign symbol, the equity() function to get rid
of
> > > excess signals etc. Of course, you have to do your own
> > ositionscoring
> > > and position sizing. Since Fred has done this before, may be he
can
> > > comment further or if he is generous enough, dig out his code
and
> > > post it again.
> >
> > > Essentially, this function can be called in your indicator afl.
In
> > > that way, you can have your pie and eat it as well. I'm sure if
> > > Tomasz sees a use in it, he will incorporate in his list of
> > functions
> > > to do in the future.
> >
> > > What do you think?
> > > Regards
> > > Paul.
> >
> >
> >
> > > ------------------------------------
> >
> > > 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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