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Sheeesh, Fred and Brian - now I'm disappointed too.. Sigh...
d
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Fred Tonetti
> Sent: Monday, May 19, 2008 6:25 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: System Performance Indicators
> [was: Can someone fix this OLE code?]
>
> I was disappointed that Herman was disappointed
>
>
>
> Me too as I can't say what the disappointment is . I wish Herman were
> more forthcoming .
>
>
>
> ________________________________
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
> Behalf Of brian_z111
> Sent: Monday, May 19, 2008 5:43 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: System Performance Indicators [was:
> Can someone
> fix this OLE code?]
>
>
>
> There wasn't any frustration in it for me.
>
> I was disappointed that Herman was disappointed.
>
> My general point is that it is quite hard to communicate via boards
> like this, especially if the subject is complex or has nuances to it.
> An undertone of miscommunication is the norm and we should allow for
> that.
>
> Half the time I haven't got a clue what you are talking about but put
> me down for a copy of the book.
>
> Before AB I used Metastock.
> I couldn't get the backtester to do what I wanted it to do so I ended
> up using their explorer as a pseudo backtester.
> The fact is that in many respects it worked quite well.
> That is how I know that it would be relatively easy to use the AB
> indicator panes as a 'visual' backtester without the need for
> complicated code.
>
> The actual sticking point, which is why I left MS, is that the
> metrics were cumulative metrics (at least the way I did it anyway) so
> I couldn't get individual trades, as a series, to do distributions or
> account for wild outliers etc.
>
> The other challenge in MS was actually modelling the trades because
> their program didn't have the levels of customisation I needed for my
> entries and exists.
>
> Other than that it worked fine and if I could have done those things
> I would probably still be there now, not knowing any better.
>
> Of course now that I am at AB I am happy that the program is bigger
> than me. It was rather scary, to me, that a person with my background
> and experience outgrew MS in under a year.
>
> I don't see how anyone can complain because Tomasz has given us the
> CBT, OLE methods etc but at the same time I have my own preferences
> for and I don't mind sticking up for them.
>
> brian_z
>
> --- In amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker%40yahoogroups.com> ,
> Dennis Brown <see3d@xxx> wrote:
> >
> > 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
> <mailto:amibroker%40yahoogroups.com> , Dennis Brown <see3d@> 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/
> <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/
> <http://www.amibroker.com/devlog/>
> > >>>
> > >>>> For other support material please check also:
> > >>>> http://www.amibroker.com/support.html
> <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/
> <http://www.amibroker.com/devlog/>
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> <http://www.amibroker.com/support.html>
> > > Yahoo! Groups Links
> > >
> > >
> > >
> >
>
>
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