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Re: [amibroker] Re: Question for Howard Bandy



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Excellent document. 
----- Original Message -----
Sent: Sunday, June 08, 2008 7:01 AM
Subject: Re: [amibroker] Re: Question for Howard Bandy

> 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
>
> ------------------------------------
>
> 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/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
> Yahoo! Groups Links
>
>
>


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Please note that this group is for discussion between users only.

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SUPPORT {at} amibroker.com

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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For other support material please check also:
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