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Hi Dennis,
> Best case we all benefit. Worst case Brian
> learns a lot.
For sure I don't want the pressure of doing it for the forum.
I do it for myself and then throw the bone out there when I am
finished chewing on it.
Yes, I am definitely only using AB as a training tool.
It is great for getting rid of my 'bad ideas' as you said.
People like Herman and Fred are using AB as a core trading tool
(docked to their brokers) so we are miles apart in that regard.
The only chance that I will ever use AB in the heat of battle will be
if I do open an account at IB and I haven't made that decision yet.
> BTW, I wrote my own back tester in AFL
> I understand every bit of how it works
> and can play with different ideas in its guts to test various
>ideas.
Yes, I realize I can phone a friend for some code help but I want to
do it myself so that I get some strength in my legs and understand
what is going on in the guts (no offence to Tomasz but I don't
actually feel I own the AB BT and it does a few things that I don't
really want it to).
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> Fred,
>
> Why reinvent the wheel indeed...
>
> I am a case in point. I have reinvented many wheels. I usually do
it
> out of ignorance. I see a need and start inventing solutions. If
I
> had known and understood the solutions already available before I
> started, I would not likely have worked on my own solutions which
took
> a lot of time and energy (and sometimes money). The interesting
thing
> is that I have some patents to my name --and also unfortunately
some
> inventions buried by corporations for business reasons to keep
them
> off the market.
>
> I reinvented the wheel and in the process found another way of
doing
> it better by approaching the problems from a different angle --
> unprejudiced by prior solutions. This is how breakthrough are
made --
> not by just using or slowly making incremental improvements to
> existing solutions.
>
> I should not have to tell you this, because you are obviously an
> inventive sort yourself.
>
> I say if Brian wants to look at things from another angle,
encourage
> him and help him out. Best case we all benefit. Worst case Brian
> learns a lot.
>
> BTW, I wrote my own back tester in AFL that is quite simple for my
> simple minded one symbol day trading setup. It does not do any
more
> than I need for this task, but I understand every bit of how it
works
> and can play with different ideas in its guts to test various
ideas.
> One advantage I have with it is since it is always running in
> indicator mode, I get a continuous read of the last n days
results.
> If I accidentally change or forget to put a parameter back after
an
> experiment, I know it right away before I make a bad trade because
the
> RT BT results will not look right.
>
> I also took a modular approach and can have 4 independent BT
systems
> running at the same time, with the statistics module combining the
> results of all 4 at the end and generating the trade calls. I
don't
> think I would have thought of that if I had not made my own back
> tester module.
>
> Best regards,
> Dennis
>
>
> On Aug 1, 2008, at 10:51 AM, Fred Tonetti 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@xxxxxxxxxxxxxxx, "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@xxxxxxxxxxxxxxx, 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@xxxxxxxxxxxxxxx
> > [mailto:amibroker@xxxxxxxxxxxxxxx]
> > > On Behalf
> > > > Of brian_z111
> > > > Sent: Friday, August 01, 2008 6:49 AM
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > 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);
> > > > >
> > > >
> > > >
> > > >
> > > >
> > > > _____
> > > >
> > > > I am using the free version of SPAMfighter for private users.
> > > > It has removed 516 spam emails to date.
> > > > Paying users do not have this message in their emails.
> > > > Try SPAMfighter <http://www.spamfighter.com/len> for free now!
> > > >
> > >
> >
> >
> > I am using the free version of SPAMfighter for private users.
> > It has removed 516 spam emails to date.
> > Paying users do not have this message in their emails.
> > Try SPAMfighter for free now!
> >
>
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