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My current interest in performance metrics is to find a better way to find stocks that respond to my system, and to do so on the fly. Its a bit like portfolio trading with position scoring, however applied on a much larger number of stocks.
herman
For tips on developing Real-Time Auto-Trading systems visit:
http://www.amibroker.org/userkb/
Wednesday, May 21, 2008, 7:55:20 PM, you wrote:
> 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
>>
>>
>>
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To get support from AmiBroker please send an e-mail directly to
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