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> I'd love a big section on programming using the custom backtester -
> that's the one area of AB is still a struggle for me.
I'd love to have that, too. In the meantime, are you aware of
gp_sydney's excellent "AmiBroker Custom Backtester Interface.pdf"
available in the files section of this list?
Regards,
Thomas
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ton Sieverding"
>
> <ton.sieverding@xxx> wrote:
> > Even more kind words for you next book Howard. When ?
> >
> > Regards, Ton.
> >
> > ----- Original Message -----
> > From: Howard B
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Friday, June 06, 2008 3:16 PM
> > Subject: Re: [amibroker] Question for Howard Bandy
> >
> >
> > Hi Rich --
> >
> > Thanks for the kind words about my book.
> >
> > There is an errata file that lists all of the mistakes and typos.
>
> It can be found on this web page:
> > http://www.quantitativetradingsystems.com/book.html
> >
> > This system uses a Watchlist that has the tickers of the stocks
>
> (or, better, sector funds) that you want to rotate among. I like to
> use the nine S&P Sector ETFs. XLB, XLE, XLF, XLI, XLK, XLP, XLU,
> XLV, and XLY. First create a watchlist containing these. Then tell
> AmiBroker to use it when you are running: Automatic Analysis > Use
> Filter > Define.
>
> > As the system is written in the book and in the download of the
>
> code, the Optimize statements are commented out. They need to be
> enabled. Since you got optimization results, it sounds like you did
> that.
>
> > The date range tested should be long enough so that there is some
>
> rotation. Since this system holds about 5 trading days, anything
> more than a month or so should show rotation.
>
> > Whenever an afl program has the statement
>
> "EnableRotationalTrading", it will not have Buy or Sell statements.
> Rotational trading is a subset of AmiBroker's much more general (and
> much more powerful) portfolio trading. You are correct -- the system
> is evaluated at the close of every bar and positions changed as
> necessary. In AmiBroker, Help > AFL Language Reference. Enter
> "enablerotationaltrading" and read the description.
>
> > And to answer a question that you have not asked, the automatic
>
> walk forward tools within AmiBroker do work as you would hope they do
> with rotational trading models.
>
> > The results you get will depend on several things --
> > 1. The tickers in the watchlist.
> > 2. The date range.
> > 3. The Automatic Analysis > Settings > Trades. Usually the
>
> choice is between Close with a delay of 0, or Open with a delay of 1.
>
> > 4. The specific price data which will be different from
> > different
>
> vendors -- Yahoo versus Quotes Plus, for example.
>
> > Here is what the code looks like when it is ready to start an
>
> optimization run. Note that I have left some of the Optimize
> statements commented out, some enabled.
>
> > // SectorRotation.afl
> > //
> > // Compute a score based on the recent Rate Of Change
> > // of the closing price.
> > //
> > // Rotate among the nine S&P sector ETFs
> > //
> > // Program options include allowing short positions or not
> > // and interpreting the ROC as a mean reverting indicator
> > // by turning it "upside down".
> >
> > EnableRotationalTrading();
> >
> > // The number of issues to hold at a time
> > NumberHeld = 2; //Optimize("NumberHeld",1,1,4,1);
> >
> > // Allocate funds equally among all issues
> > PositionSize = -100/NumberHeld;
> >
> > // Set WorstRankHeld to be some number greater
> > // than the number of positions held.
> > NumberExtras = 3; //Optimize("NumberExtras",0,0,4,1);
> > WorstRank = NumberHeld + NumberExtras;
> > SetOption("WorstRankHeld", WorstRank);
> >
> > // The LookBack period for the Rate of Change indicator
> > LookBack = Optimize("LookBack",6,2,20,1);
> >
> > // UpDown allows the ROC to be inverted
> > // to treat a rising ROC as a "sell" signal
> > UpDown = Optimize("UpDown",2,1,2,1);
> >
> > // Value of 1 allows short positions
> > // Value of 2 blocks short positions
> > AllowShort = Optimize("AllowShort",1,1,2,1);
> >
> > Multiplier = IIf(UpDown==1,1,-1);
> > Score = Multiplier*ROC(C,LookBack);
> > Score = IIf(AllowShort==1,Score,Max(Score,0));
> > PositionScore = Score;
> > //Figure 15.1 Sector Rotation
> >
> > Thanks, and I hope this helps,
> > Howard
> > www.quantitativetradingsystems.com
> >
> >
> >
> >
> >
> > On Thu, Jun 5, 2008 at 2:36 PM, foxblade2000invest <foxblade@xxx>
>
> wrote:
> > Howard,
> >
> > If you read this - first can I say thanks for the book (QTS)
> > which I'm glued to and really enjoying.
> >
> > I'm an inexperienced AB user so pardon any silliness.
> >
> > I'm trying to optimise / backtest your rotational trading model
> > (listed at fig 17.1 but actually 15.1) and in doing so, I get
> > the same result for every optimisation step - a RAR of about 10.5%.
> >
> > Clearly something's wrong - can you make any suiggestions?
> >
> > Also, with this type of model - there are no buy and sell
> > signals (are there?) - If so, does the system rebase itself on a
> > daily basis - ie buy / sell the highest / lowest ranking issues
> > each day (and keep them if there's no change in the order)?
> >
> > Thanks for any help.
> >
> > Rich
>
> ------------------------------------
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> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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>
>
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