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Brian,
As frustrating as threads like this can turn out for most involved, I
really like to see this type of discussion online. We can all learn a
lot through thrashing out our conceptions and misconceptions --though
it might be better on a smaller forum with a narrow set of interests.
I am keenly aware that this list has thousands of readers, most of
which are still working towards a basic understanding of AB/AFL.
I have gotten into "trouble" in the past by posting to make a general
point, and obliquely mentioning some thing or principle that I am
working on. I mentioned them without details, because I didn't want
to encourage a discussion about them. They were only meant as an
example of why I was motivated to post.
Laughably, sometimes I find that the thing I was not trying to make an
issue becomes a target instead of the real issue I was trying to
address. Sometimes I learn something valuable in the exchange anyway,
and sometimes it is just a distraction.
There were a lot of apples being thrown and oranges being thrown
back. I am glad you found one of the fruits to your liking.
I am happy with my BT approach and my reasons for it. The discussions
here, though valuable for general understanding, will not change my
approach to indicator mode single equity backtesting which is the
backbone of my day-trading platform. I would not expect someone to
understand what I am doing without a lot of screenshots and
explanations, which would take too much time for a casual post on
someone's else's thread.
BR,
Dennis
On May 19, 2008, at 4:02 AM, brian_z111 wrote:
> 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
>>>
>>>
>>>
>>>
>>
>
>
>
> ------------------------------------
>
> 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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