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Fred,
GF == GrowthFactor == 3% == 1.03
It might be one of the names I made up.
For multiple symbols the Portfolio GF, and hence Portfolio EqCurve is
the same as the product of the individual GF's.
There is nothing complex there.
The complexity is in the logic/code you need to produce individual
GF's if you want/need sophisticated trade management (scaling etc as
you say).
I take your other points and appreciate your viewpoint that comes
from a position of experience (trust me, it all gets factored in).
The crux of what we are talking about is that InLineMetrics have a
higher code overhead (AFL versus C)) but a lower logic overhead (some
of the bells and whistles of the BT are superfluous, for my needs,
AND RootCauseEvalution has a different logic to EqCurveEvaluation).
> I have better
>things to
> do then write and support stuff that better belongs where it is now
Your capacity to throw out the unnecessary mental furniture from the
past just reinforces my view of your overall qualities (you already
made that sale.
Cheers,
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxx> wrote:
>
> I don't know what a "GF" is but portfolio trading is NOT the
product or sum
> of trading individual securities as there are a number of other
complexities
> involved.
>
>
>
> It's not a matter of what can or can not be done .
>
> I never suggested it could not be done .
>
>
>
> What I asked was . Why reinvent the wheel . The piece you aren't
seeing is
> that in order to do the same sort of "accounting" that AB does
internally in
> order to come up with an equity curve and / or trade list so that
you can
> calculate whatever performance metrics you want you'll in essence
have to
> write the same routines in AFL and while AFL is nice and fast it is
not C.
> So . In regards to how many lines of code we might be running when
we click
> the backtest button I think the proper response is . why should we
care ? .
> Whether it's 2 or 2 million the real question is how long does it
take and
> could we perform the same functions in AFL as quickly AND as
accurately. To
> this I'm sure the answer is that we can't and so . If you are
looking for
> solutions that are not particularly "elegant" then whatever you do
to keep
> from hitting the backtest button manually or logically in AFL will
put you
> well on the way there .
>
>
>
> I went way down this road with "Portfolio Trader" which was a very
large (
> 20k+ lines ) AFL designed to do portfolio trading prior to those
features
> being available directly from AB . It was great at the time and may
have
> provided some direction as to what was ultimately implemented in AB
even
> though some features never made it . But as soon as AB had most of
the
> capabilities I tossed it in the circular bin even though there were
some who
> wanted me to continue to support it because frankly I have better
things to
> do then write and support stuff that better belongs where it is now
and
> there's no way I could write it to be as fast as it will be as a
feature /
> function of AB.
>
>
>
> The bulk of the code surrounded the necessary bean counting
functions to get
> the equity curve and trade list correct and was a royal PITA to do
from AFL
> . and this was prior to having the ability to scale in/out etc.
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of brian_z111
> Sent: Friday, August 01, 2008 10:24 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Inline Backtester Metrics
>
>
>
> Fred,
>
> A couple more.
>
> For multiple securities the Portfolio GF is the product of the
> individual symbol GF's - it is like a matrix that adds up in both
the
> vertical and horizontal directions, so I am good for Portfolio Eq
> (that was the missing piece from our first round of discussions).
>
> I haven't worked through all of the implications of that,
especially
> for the other metrics.
>
> Don't you like that idea for Portfolio Eq?
>
> Re complexity of code:
>
> Not having a go at you, or Tomasz, but when I push the backtester
> button how many lines of code do you think 'we' are running then?
>
> So, it is OK for Tomasz to do it where we can't see it but you
don't
> like it if I expose the innards?
>
> Also this idea that it can't be done!
>
> How did Tomasz do it?
>
> Does he ship Tinkerbell dust with his copies of AB?
>
> AB can't do more than start with the buy/sell price and bars
in/bars
> out can it? I am trying to think of some other possible required
raw
> inputs for a BT but I can't (outside of MM which I am not doing
yet).
>
> brian_z
>
> --- In amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com,
> "brian_z111" <brian_z111@> wrote:
> >
> > > Approaches like this might be sufficient for extremely simple
> > systems
> > > trading single securities in or out . no scaling . no position
> > sizing . no
> > > multiple securities . no position scoring .
> >
> > I am not sure what Herman & Al are up to (don't expect them to
tell
> > me all OR that they even have fixed needs).
> >
> > It might do a job for them.
> >
> > I am using a modular approach, and keeping it basic, because user
> > needs could take it in a lot of directions so anyone interested
> will
> > probably have to add their own bells and whistles, unless we
touch
> > somewhere.
> >
> > I am really doing it for myself though and I wanted to start with
> the
> > most basic scenario, then build on it from there, so I have a
> stepped
> > degree of difficulty.
> >
> > I am not interested in scaling (at least I wasn't until Jan said
he
> > uses it), Psize or Pscore (or open position equity which you
didn't
> > mention) at the moment.
> >
> > I wasn't out to solve for multiple securities but I think I have
> that
> > covered anyway (Herman wants that though).
> >
> > I am interested in all signals so I am starting to play with
that -
> > not sure what I am letting myself in for there.
> >
> > > The problem is as you add any of these complexities the AFL to
> > >support them
> > > becomes needlessly complex .
> >
> > Yes, I might not go much further.
> >
> > A little bit of experience of the complexities of programming
won't
> > hurt me.
> >
> > I am actually comfortable with the metrics like W/L, PayOff Ratio
> and
> > I can get them pretty easy for the trade series I have already.
> >
> > Plus I said before that we couldn't get the SD of an inline trade
> > series but now that I am into it I think I see a way that I can.
> >
> > > Again . Why reinvent the wheel . This is why there is a
> backtester .
> >
> > Core reasons:
> >
> > I have it in my head that there will be a time penalty if I run
the
> > BT.
> >
> > It doesn't seem such an elegant solution to me.
> >
> > I just like it more (not really a reason since we can't explain
our
> > likes and dislikes.
> >
> >
> > Indirect reasons (not in order):
> >
> > - it might help Herman and he does a lot for others and also has
> been
> > good with me
> > - I have a stubborn side and once I get my teeth into something?
> > - I am not so motivated to write code at the moment but I seem to
> be
> > enjoying this one
> > - my RCE 'theorom' aren't going to be a lot more useful to me if
> > I 'write them up' but it has a certan elegance so it is worthy of
> > completion
> > - my RCE theories aren't complete so this helps me sort it in my
> head
> > (I have to take it apart and consider each step logically - if I
> can
> > code it I must understand it)
> > - we have different personal styles/trading styles. I like to get
a
> > lot of chart time and trade in the charts without props
(sometimes
> I
> > can't use the optimum broker available, which is IB for US
> > foreigners, for various reasons, so it is good for me to be able
to
> > trade in a Java platform without props. For that reason I need to
> > comfortable at working in line (a Java platform with no
> customisation
> > is the real trading world for me).
> > - it is helping me understand the backtester more
> > - I am playing around with the idea of an inline MM indicator and
I
> > might try to throw one in at the end of the code
> >
> > No guarantee I will go beyond trying concurrent multiple trades
> > anyway.
> >
> > > for (i = 1; i < BarCount; i++)
> > > {
> > > EF[i] = EF[i-1] * TradeSeries[i];
> > > }
> > >
> > > This can be done without a loop using logs, addition and
> antilogs .
> >
> > That's great.
> > Thanks.
> > I really wanted not to have to use a loop.
> > I wish I had thought of that.
> >
> > I have used log before - funny how sometimes you can't connect
the
> > dots until someone shows you how (experience).
> >
> > brian_z
> >
> > --- In amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com,
> Fred Tonetti <ftonetti@> wrote:
> > >
> > > Approaches like this might be sufficient for extremely simple
> > systems
> > > trading single securities in or out . no scaling . no position
> > sizing . no
> > > multiple securities . no position scoring .
> > >
> > >
> > >
> > > The problem is as you add any of these complexities the AFL to
> > support them
> > > becomes needlessly complex .
> > >
> > >
> > >
> > > Again . Why reinvent the wheel . This is why there is a
> backtester .
> > >
> > >
> > >
> > > . And as far as .
> > >
> > >
> > >
> > > for (i = 1; i < BarCount; i++)
> > > {
> > > EF[i] = EF[i-1] * TradeSeries[i];
> > > }
> > >
> > >
> > >
> > > This can be done without a loop using logs, addition and
> antilogs .
> > >
> > >
> > >
> > > _____
> > >
> > > From: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> [mailto:amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com]
> > On Behalf
> > > Of brian_z111
> > > Sent: Friday, August 01, 2008 6:49 AM
> > > To: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> > > Subject: [amibroker] Re: Inline Backtester Metrics
> > >
> > >
> > >
> > > Herman and Al,
> > >
> > > I took the scissors to my first effort.
> > >
> > > It isn't an inline backtester, rather an inline
RootCauseMetrics
> > > indicator (possibly it could be used for calculating the common
> > > Performance Metrics 'on the fly', including with lookback
> periods).
> > >
> > > This is the basic starting module.
> > >
> > > It should be possible to modify it to allow for concurrent
> signals,
> > > open trade interest, although it gets a bit harder from here
for
> me
> > > (maybe not for others).
> > >
> > > I have checked it over a few charts and so far it stands up O.K
> > > I haven't used in the line of fire though.
> > >
> > > Any potential in it for you guys?
> > >
> > > FTR
> > >
> > > This is a continuation of discussion at topic:
> > >
> > > "How To Save Metrics In Composite For Indidual BT's"
> > >
> > > A little background discussion about the idea behind the code
is
> at
> > >
> > > message # 127383 and # 127420 in the above thread.
> > >
> > > //P_InLineMetrics
> > >
> > > //Monday is used as the example because it is an unambiguous Buy
> > > //Typically most markets have Mon or Fri public holidays so it
> > allows
> > > for checking code response to duplicate buys and sells (signal
> > errors)
> > > //BarIndex() is added as a buy condition to workaround the
> > > propogating of {empty} values that can arise in the first few
bars
> > > //A latch is used so that only one trade can be entered at a
time
> > and
> > > every Sell must have a corresponding Buy
> > > //Plots the trade series, as GrowthFactor, which is equivalent
to
> %
> > > //No trades are accounted for and recorded as GF 1
> > > //The code doesn't identify break even trades i.e. GF == 1 but
it
> > can
> > > be modified to do so
> > > //since commissions aren't considered the Eq outcome for break
> even
> > > trades is correct
> > > //the progressive product of the GF is equivalent to the Equity
> > Curve
> > > for a fixed capital investment
> > > //if the intitial Equity is 1 the EQ is the standardised Equity
> > Factor
> > > //Equity == Initial Equity * EF
> > > //the product of individual GF's, sumbol by symbol, is the
> > Portfolio
> > > Growth Factor the progessive product of which produces the
> > Portfolio
> > > Equity Factor
> > > //same bar entry/exits are not allowed but the code can be
> modified
> > > for that if required
> > >
> > > //PART IA TRADE SERIES MODULE (CLOSED TRADES - ONLY ONE TRADE
PER
> > > SYMBOL OPEN AT A TIME)
> > >
> > > M = DayOfWeek() == 1;
> > > F = DayOfWeek() == 5;
> > > BI = BarIndex()== 0;
> > >
> > > B = M;//Buy on Monday
> > > S = F OR BI;//first bar set to sell and then sell on Friday's
> > > thereafter
> > >
> > > B = Flip(B,S);//latches the Buy signal to prevent concurrent
buys
> > >
> > > BP = SP = C;//BuyPrice, SellPrice
> > >
> > > //Plot(B,"Buy",5,1);//FFP - fault finding plot used when
writing
> > the
> > > code
> > > //Plot(S,"Sell",2,1);//FFP
> > >
> > > //Plot(BP,"BuyPrice",5,1);//FFP
> > > //Plot(SP,"SellPrice",2,1);//FFP
> > >
> > > TradeSeries = IIf(S ==1 AND Ref(B,-1) == 1,SP/ValueWhen(B == 1
> AND
> > Ref
> > > (B,-1) == 0, BP,1),1);//
> > >
> > > Plot(TradeSeries,"TradeSeries",1,1);//as GrowthFactor
> > >
> > > EF = 1;//initialises EquityFactor to 1
> > >
> > > for (i = 1; i < BarCount; i++)
> > > {
> > > EF[i] = EF[i-1] * TradeSeries[i];
> > > }
> > >
> > > Plot(EF,"EquityFactor",5,1);
> > >
> > > --- In amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> > ps.com,
> > > "brian_z111" <brian_z111@> wrote:
> > > >
> > > > Herman,
> > > >
> > > > IBM PartI
> > > >
> > > > I am not sure if this is along the lines that you are
> > investigating.
> > > > It might be a starting point.
> > > > Sophisticated functions can be built from the concept.
> > > >
> > > > Example of using single symbol equity function to back
> calculate
> > > the
> > > > trade series.
> > > >
> > > > I used buy Tues(C) and sell Thurs(C) with one month of data
to
> > test
> > > > the code as I went along (this gave me unambiguous signals
with
> > > only
> > > > one signal at a time - I believe you can use an eq flag to
dump
> > > dual
> > > > signals for real life use).
> > > >
> > > > Note: some weeks don't have Mons or Fris so I wanted to avoid
> no
> > > > signals, caused by short weeks, during testing
> > > >
> > > > I used barindex() > 4 to cut out the first week in the month
so
> > > that
> > > > I started with no signals for a few bars before the first buy.
> > > >
> > > > I left the plot code in there but commented out (I plotted
each
> > > line
> > > > to test the veracity of the code).
> > > >
> > > > Note that when the trade series is used to recreate the eq
> curve
> > > (as
> > > > a cross check) it only matches on the exit bars for each
trade.
> > > > I tried it on 10 years of Yahoo data and the final eqs
matched
> to
> > 2
> > > > decimal places (rounded off).
> > > >
> > > > //P_InLineEquity
> > > > //code to reverse engineer the trade series from the equity
> curve
> > > > //it is reversed at the end to check the accuracy of the
method
> > > >
> > > > InitialEq = 10000;//input required
> > > >
> > > > SetOption("InitialEquity", InitialEq );
> > > >
> > > > Buy = BarIndex() > 4 AND DayOfWeek() == 2;//use your own
> > > > Sell = BarIndex() > 4 AND DayOfWeek() == 4;//use your own
> > > >
> > > > BuyPrice = C;//use your own
> > > > SellPrice = C;//use your own
> > > >
> > > > Plot(Equity(),"Equity",5,1);
> > > >
> > > > Entry = IIf(Equity() == Ref(Equity(),-1) AND Equity() != Ref
> > (Equity
> > > > (),1),1,0);
> > > >
> > > > //Plot(Entry,"Entry",1,1);
> > > >
> > > > Exit = IIf(Equity() != Ref(Equity(),-1) AND Equity() == Ref
> (Equity
> > > > (),1),1,0);
> > > >
> > > > //Plot(Exit,"Exit",2,1);
> > > >
> > > > TradeSeries = IIf(Exit ==1,ValueWhen(Exit == 1,
> > > SellPrice,1)/ValueWhen
> > > > (Entry == 1, BuyPrice,1),1);
> > > >
> > > > //Plot(TradeSeries,"TradeSeries",1,1);
> > > >
> > > > GF = 1;//GrowthFactor
> > > >
> > > > for (i = 1; i < BarCount; i++)
> > > > {
> > > > GF[i] = GF[i-1] * TradeSeries[i];
> > > > }
> > > >
> > > > //codesters might be able to make the above loop
> better/prettier?
> > > > //Plot(GF,"GrowthFactor",5,1);
> > > >
> > > >
> > > > Plot(InitialEq * GF,"CalculatedEquity",1,1);
> > > >
> > >
> > >
> > >
> > >
> > > _____
> > >
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> > > Paying users do not have this message in their emails.
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> >
>
>
>
>
> _____
>
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