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RE: [amibroker] Re: System Performance Indicators [was: Can someone fix this OLE code?]



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If you don’t see any value in adjusting the “production line” based on the performance metrics then that would suggest you’ve not yet traded with dollar 1 … To use your “production line” example, Quality Assurance is about seeing what comes off the production line and adjusting the line when tolerances are out of whack … This due diligence is used in virtually every manufacturing process and should be used in trading as well.

 

Money Management is a function of the SYSTEM it is not a PERFORMANCE METRIC nor is it an OBJECTIVE FUNCTION which would typically be used on OOS data to evaluate the systems performance whether that be in test or with real money.  If you don’t believe in adjusting the “production line” based on performance metrics then you also don’t believe in objective functions … How could you ?

 

Why is it when I read your posts I feel like I’m talking to a 12 year old who’s stuffing nickels and dimes in a piggy back waiting for the day when he can crack it open to finance his first “adult experience” …

 


From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of brian_z111
Sent: Wednesday, May 21, 2008 7:55 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: System Performance Indicators [was: Can someone fix this OLE code?]

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@xxxxxxxxxps.com, Fred Tonetti <ftonetti@xx.> 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@xxxxxxxxxps.com [mailto:amibroker@xxxxxxxxxps.com]
On Behalf
> Of Herman
> Sent: Thursday, May 22, 2008 6:40 AM
> To: Fred Tonetti
> Cc: amibroker@xxxxxxxxxps.com
> 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@xxxxxxxxxps.com [mailto:amibroker@xxxxxxxxxps.com]
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
>
>
>
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>
> <http://www.amibroker.com/devlog/> >
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