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Extending my comments on the BT:
The BT does two things that would be very hard for me to replicate on
my own.
a) it stores individual trade records.
b) it makes the portfolio allocations (based on MoneyManagement).
As I said, it would be a lot simpler if the BT records were
accessible, as arrays, via AFL (that is not to say it is feasible or
worth the effort to Tomasz).
However the portfolio approach is, IMO, highly over-rated.
I believe it is there because that is what people expect to see.
It is actually just a distraction and a smokescreen that obscures
the 'true' profile of the system under test.
Root cause evaluation is one way around that.
Once we understand that we can do evaluation in an indicator.
point a) would be the hard part to emulate in an indicator
environment.
The other thing I found, in my Metastock pseudoBT was that I ended up
with a 'mess' of plots in my indicator panes - it got a bit hard to
follow it all in the end.
Also, I understand what you want to do i.e. use the equity curve as a
visual clue for 'chart trading', which I am fine with.
I think you have a soul mate there in Dennis!
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Pass around that peace pipe!
>
> In a situation where we don't want to give away all of our trading
> secrets, we are all flat out and we are exchanging quick bites via
a
> public messageboard then it isn't going to lead to
extensive 'joint'
> development of new methods.
>
> Also, all advanced traders are so specialised that they don't have
> anyone left to talk to.
>
> Even if we went into a huddle I doubt if we could gain a lot from
it
> because all the AB survivors are very single minded people.
>
>
> Re SPI's:
>
> I am calling it something else but yes, that is exactly what I am
on
> about with root cause evaluation.
> It does exactly what you are calling for very efficiently.
> That is why I want the trade series as persistent arrays but I will
> take what is on offer, via Script and the CBT, and use that.
>
>
> Re inline SPI's:
>
>
> IMO you are over emphasising the locality where you want to apply
> SPI's.
>
> In general we are obsessed with tbe BackTester/EquityCurves/Metrics
> and seeing them in that environment in the traditional format.
> To me they are all math calcs that start with the trade, and the
> entry/exit date/time.
> The only thing the BT does is the background bean counting, that I
> don't want to do myself, and the calculation, which I am happy to
do
> for myself (it is more transparent and I have more confidence by
> having control over it).
>
> Indicators can be a perfectly fine BT for those who want that.
>
>
> Re Tomasz's example:
>
> It is a new example, and, like all of his training templates, it
> opens the door to more possibilities for us i.e. those of us who
are
> not up to speed with the CBT.
> IMO more people could take advantage of the trade records, and
create
> some brand new applications, if they were accessible as persistent
> arrays but I will take the CBT method which, while a bit harder, is
> way ahead of anything I could do elsewhere.
>
> So Fred and Tomasz did their bit for the cause, it just wasn't the
> answer you wanted.
>
> Re BT inline with indicators:
>
> I am not sure what you mean by calling it in a ticker loop but I
> assume that if it can be done with plain old arrays then it would
do
> the job for you.
>
> FWIW I am not "Mr Code" but I will try to make a start later (I
have
> to go and paint the picket fence first).
> Probably by the time I get back someone else will have done ii for
> you.
>
> Cheers,
>
> brian_z
>
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