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If we define the FrontEnd as where we trade (AB as trading platform,
AT or as a cue for manual entry of trades) and the BackEnd as
SystemDesign&Evaluation then, so far I haven't found a use for
PerformanceMetrics at the FrontEnd.
To me the BackEnd is where we analyse a sample of trades (the trade
series) as part of the design process (just as you have described it).
I have also plotted performance metrics, as visual learning aids (I
scroll from stock to stock comparing how my system ideas look in
different symbols/instruments/assests).
I also create metric reports, via explorations, for a W/L of stocks
etc for similar reasons.
(The methods that have come out of this thread give me more efficient
ways to do that).
In that regard I consider them to be tools that are part of the SD&E
process.
If SD&E is the production line then the trades I take are the product.
I don't see any benefit in adjusting the production line based on
what I observe from a short production run.
I think we should be careful as to what we call portfolio trading.
I don't see taking a few trades, from the total number available in a
W/L of stocks, as portfolio trading.
To me Portfolio Trading is where we use MoneyManagement, the profile
of the trade and correlation to make our decisions in a synthetic way.
In simple terms our ObjectiveFunction/FitnessMeasure should include
MM, correlation and the trade profile, as parameters, and be chosen
by backtesting and then adjusted after a reasonable number trades (if
ongoing adjustment is the users policy).
Once again, IMO, that adjustment should be made in the backend and
not at the front.
Having said that, I understand the arguments for equity curve trading.
I personally reject them but if others succeed with that method good
luck to them.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxx> wrote:
>
> Personally I only use performance metrics in the following ways .
>
>
>
> - As feedback to know how my in sample performs i.e. an
initial
> milestone
>
> - As additional feedback to compare out of sample results
with in
> sample and/or to constant yardsticks to get a feel for whether or
not a
> system is tradable
>
> - As ongoing feedback to determine whether or not it is
time to
> reoptimize and/or redevelop
>
>
>
> I've been down the road you are on but for me it was in essence a
dead end.
> I hope you have better success with it.
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Herman
> Sent: Thursday, May 22, 2008 6:40 AM
> To: Fred Tonetti
> Cc: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Re: System Performance Indicators [was:
Can someone
> fix this OLE code?]
>
>
>
> Thank you very much Fred,
>
>
>
> When using performance metrics in system design they have (imo)
more meaning
> if they should be based on single price/equity arrays. I think that
> portfolio metrics should not be used for anything else then to tell
you how
> your portfolio system performs.
>
>
>
> herman
>
>
>
> For tips on developing Real-Time Auto-Trading systems visit:
>
> http://www.amibroke <http://www.amibroker.org/userkb/> r.org/userkb/
>
>
>
> Wednesday, May 21, 2008, 5:50:54 PM, you wrote:
>
>
>
>
> >
>
> Herman,
>
>
>
> I modified the script to allow running Explore's as well as the
variety of
> different types of Backtests and Optimizes all based on the command
line
> arguments you supply
>
>
>
> See the notes at the top of the Script as to how to use and the
default
> values.
>
>
>
> I also renamed the Script to RunAA since that is now more
appropriate.
>
>
>
> Individual Backtests appear to run significantly faster than
Portfolio
> oriented ones.
>
>
>
> Fred
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Herman
>
> Sent: Thursday, May 22, 2008 5:09 AM
>
> To: Fred
>
> Subject: Re: [amibroker] Re: System Performance Indicators [was:
Can someone
> fix this OLE code?]
>
>
>
>
> Yes, sorry should have been more explicit. The code works nice and
there are
> possibilities to running the code from the tools menu. But this
would
> require Explores and Backtests. Not enough time to try all the new
ideas
> :-) This is the code you posted:
>
>
>
> RunType = "BACKTEST"
>
> Times = 1
>
> Refresh = 0.25
>
> ShowAA = 1
>
>
>
> Set oArgs = WScript.Arguments
>
>
>
> For i = 0 to oArgs.Count - 1
>
> Arg = Split(oArgs(i), "=")
>
> Arg(0) = UCase(Trim(Arg(0)))
>
> If Arg(0) = "RUNTYPE" Then
>
> RunType = UCase(Arg(1))
>
> ElseIf Arg(0) = "TIMES" Then
>
> Times = CCur(Arg(1))
>
> ElseIf Arg(0) = "REFRESH" Then
>
> Refresh = CCur(Arg(1))
>
> ElseIf Arg(0) = "SHOWAA" Then
>
> ShowAA = CCur(Arg(1))
>
> End If
>
> Next
>
>
>
> Set oAB = CreateObject("Broker.Application")
>
> Set oAA = oAB.Analysis
>
> oAA.ShowWindow(ShowAA)
>
>
>
> BegTime = Now()
>
>
>
> While Times >= 0
>
> If RunType = "OPTIMIZE" Then
>
> oAA.Optimize(0)
>
> Else
>
> oAA.Backtest(0)
>
> End If
>
> If Refresh > 0 Then
>
> WScript.Sleep Refresh * 1000
>
> End If
>
> Times = Times - 1
>
> Wend
>
>
>
> EndTime = Now()
>
>
>
> MsgBox CStr(BegTime) + vbCrLf + CStr(EndTime), 0, "BackTest"
>
>
>
> ////////////
>
>
>
> For tips on developing Real-Time Auto-Trading systems visit:
>
> http://www.amibroke <http://www.amibroker.org/userkb/> r.org/userkb/
> <http://www.amibroker.org/userkb/>
>
>
>
> Wednesday, May 21, 2008, 12:27:50 PM, you wrote:
>
>
>
> > Herman,
>
>
>
> > Are you referring to the script I wrote ?
>
>
>
> > = = = = = = = = = = = = = = =
>
>
>
> > Hello Fred, can you tell me:
>
>
>
> > 1) How do i make your code run individual backtests on a
watchlist? It
>
> > default to portfolio BTs.
>
>
>
> > 2) How do I modify the code to run an explore?
>
>
>
> > Many thanks!!!
>
>
>
> > herman
>
>
>
>
>
>
>
> > ------------------------------------
>
>
>
> > 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
>
>
>
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>
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>
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