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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.
Yes, that is what I said.
You are mis-reading me.
> 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 ?
>
I am talking about a Portfolio Metric.
I can't be bothered explaining that any further.
> 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" .
I can't account for your reading list, your comprehension or your
feelings Fred.
You will have to do that for yourself.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxx> wrote:
>
> 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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com, Fred
> Tonetti <ftonetti@> 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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> [mailto:amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com]
> On Behalf
> > Of Herman
> > Sent: Thursday, May 22, 2008 6:40 AM
> > To: Fred Tonetti
> > Cc: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.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.amibroke
> <http://www.amibroker.org/userkb/> r.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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> [mailto:amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.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.amibroke
> <http://www.amibroker.org/userkb/> r.org/userkb/> r.org/userkb/
> > <http://www.amibroke <http://www.amibroker.org/userkb/>
r.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
> >
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> >
> >
> >
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> >
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> > _____
> >
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