PureBytes Links
Trading Reference Links
|
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 > > >
------------------------------------
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
<*> To visit your group on the web, go
to: http://groups.yahoo.com/group/amibroker/
<*>
Your email settings: Individual Email |
Traditional
<*> To change settings online go
to: http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via
email: mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*>
To unsubscribe from this group, send an email to: amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*>
Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
No virus found in this incoming message. Checked by AVG.
Version: 8.0.100 / Virus Database: 270.0.0/1489 - Release Date: 6/7/2008
11:17 AM
__._,_.___
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
__,_._,___
|
|