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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
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>
> To get support
from AmiBroker please send an e-mail directly to
> SUPPORT {at}
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>
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>
>
For other support material please check also:
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>
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>
>
>
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__._,_.___
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:
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For other support material please check also:
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