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Quite!
That is a very logical approach to discretionary trading :-)
Sometime down the track, when the sky is blue and the sea breeze is
gentle, we should swap some private notes (very short ones).
In the meantime - if you ever come up for air - a readers digest
tutorial on your parameter thing would be nice.
I just can't get a handle on what you are about in that area (I don't
need much - just the sniff of the concept will do and I can run on
from there alone).
Cheers,
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> Brian,
>
> I hear you. I understand the approach. It is the approach I
use.
> The details may be different though because my goals are perhaps
> different. I do things in stages and combine at the last possible
> moment. Signal generation, signal combinations, system
generation,
> system combinations, metric generation. All in real time with
each
> bar. Each step is accessible to any other step if desired.
>
> My Flexible Parameters system is critical to my being able to do
this
> successfully. That is why I have devoted so much of my
programming
> efforts to this seemingly side path to my trading systems.
>
> Sometimes people think that if they can make a system that is so
> complicated that they can no longer understand it, it will work
> better. I find just the opposite. The simpler the system
> (conceptually) the better I can make it work. It must be based on
> modeling something about human behavior though to have an enduring
> edge. The day that only computers are trading the numbers, only
> fundamental analysis will have any value, because the
overreactions
> will get damped out.
>
> Stare at the charts first and decide what trait to exploit. Then
work
> on what it takes to express that in logic. Some things took me
years
> to finally figure out how to do in AFL logic --simple things I can
see
> and do with studies. The trick is to have a vision, and never give
up
> before you realize it.
>
> Best regards,
> Dennis
>
> On Aug 18, 2008, at 9:04 PM, brian_z111 wrote:
>
> > After all of that I still didn't make the distinction clear:
> >
> > We can have individual symbol trade series OR multiple symbol
trade
> > series OR multiple system trade series OR AND evaluate them at the
> > portfolio level WITHOUT MONEY MANAGEMENT.
> >
> > MM can sometimes cause a lot of confusion when it is combined with
> > the trade series in a BackTester (to much going on at the same
time
> > and behind closed doors at that).
> >
> > Once again I am not pointing the finger at the BT - only the
logic of
> > the traders 'collective wisdom' that lead us down that path.
> >
> > Also, BT's will all the bells and whistles have their function - I
> > won't complain if Tomasz wants to beef it up or whatever - I am
> > rather pleased that AB will (hopefully) let me do my own thing in
> > other ways though.
> >
> >
> > brian_z
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@>
wrote:
> >>
> >> All,
> >>
> >> I am aligned to Hermans approach - what you guys are talking
about
> >> seems rather complex to me - the end result doesn't allow for a
> > KISS
> >> approach, which is what I like - I agree with H on the time
> >> limitation and how "inline metrics" offer us RT system feedback
> > plus
> >> we are free to do some extra things there that we can't do under
> > the
> >> constraints of the BT (no offence to AB - the constraints are
there
> >> for a good reason and we all want to use the BT at some time or
> >> another).
> >>
> >> I am optimistic about the path I am going down with RT portfolio
> >> emulation (as I discussed a little bit before under "Inline
> >> Backtester" etc.
> >>
> >> I have been playing with it a little (weekends only) and I
believe
> > I
> >> can get code to:
> >>
> >> - emulate a balanced portfolio
> >> - integrate multiple systems into that portfolio (including
> >> long/short)
> >>
> >> So far my approach is very basic but I have to start somewhere.
> >> (I will post some basic code examples if I get them to work OK)
> >> Theoretically I have the base code for multiple systems working
> > but
> >> the practical limitation might be scaling up to many symbols (so
> > far
> >> I am looping from a watchlist of 3 tickers and the Help manual
says
> >> this is very slow in RT - still it is better to get it working in
> >> theory first and worry about large scale application later).
> >>
> >>
> >>
> >> I guess I didn't sell any of you on the idea so far:
> >>
> >> - our rule based systems are like number generators (not random
but
> >> slightly biased - hopefully)
> >> - trade series are generated when we present data to our systems
> >> - over sufficient samples the trade series has a distinctive
> > profile
> >> (frequency distribution)
> >> - the distribution is tight if our rules are tight
> >> - the order of the trades is 'random' OR at the least not under
our
> >> control ???
> >>
> >> So what we have is a series of trades, whose range is limited (by
> >> rule) but whose order varies (according to the whim of the
market).
> >>
> >> THE TRADE SERIES PROFILE DOES NOT VARY (IF WE HAVE DESIGNED OUR
> >> SYSTEMS WELL)
> >>
> >> Nominally, the system can produce many different eq curves -
based
> > on
> >> the order of the series (note that the above is a nominal model -
> >> perhaps not an exact model - of the real world of trading but it
is
> >> close enough to enable us to make trading predictions).
> >>
> >>
> >> HOWEVER, ONCE WE START TO ALLOCATE CAPITAL TO THE SYSTEM, IN
> > VARYING
> >> AMOUNTS AND AT DIFFERENT TIME INTERVALS, THE NUMBER OF POSSIBLE
EQ
> >> CURVE OUTCOMES ESCALATES.
> >>
> >> This allocation of capital, is done by the BT in ways that take
> > quite
> >> a bit of effort to follow (I am not saying that the BT has any
> > faults
> >> only that Portfolio Backtesting can obscure the real UNDERLYING
> >> performance of the system).
> >>
> >> Further to that, the BT doesn't allow multiple system analysis,
at
> > a
> >> Portfolio level.
> >>
> >> THE FACT IS THAT THE TRADE SERIES CARRYS (MATHEMATICALLY) ALL OF
> > THE
> >> INFORMATION ABOUT THE SYSTEM THAT WE NEED - WITHOUT HAVING TO
> > SUBMIT
> >> IT TO THE BT.
> >>
> >> In short:
> >>
> >> the trade series, expressed as growth factor, can be used to
> > emulate
> >> different portfolio outcomes, after the fact i.e.
> >>
> >> IT IS EASIER TO UNDERSTAND THE PORTFOLIO RAMIFICATIONS IF YOU GET
> > THE
> >> TRADE SERIES FIRST AND THEN TRIAL VARIOUS PORTFOLIO APPROACHES
> >> INDEPENDENTLY.
> >>
> >> Inline metrics (indicators) is one place in AB that lends itself
to
> >> this - no COM/OLE/CBT?.
> >>
> >> Portfolio emulation example (for a balanced portfolio):
> >>
> >> - take the trades as Gf e.g. 3% == 1.03 (in an array)
> >> - repeat for several symbols
> >> - average the GF, for all symbols, bar by bar, as an array to
> > produce
> >> the Portfolio GF
> >> - start with any initial eq and multiply by the Portfolio GF
> >>
> >> From there we can change capital allocation at any bar if we want
> > to,
> >> provided we have the programming skills.
> >>
> >> So far I have got close to doing the above:
> >>
> >> - I am not sure if AB limitations OR my limitations will stump me
> >> eventually
> >> - I am optimistic it can be done
> >> - initially, the method is very limited (no scaling in out etc,
> >> closed trades only, no multiple trades per symbol) but that might
> >> change later
> >>
> >> Note: I understand it is not a BT, I am not trying to build a
BT -
> > I
> >> am trying to get the same understanding of my systems that the BT
> >> offers but do it in RT and with a lot less code and hand waving.
> >>
> >> (less sophistication == less code but not necessarily less
> >> understanding and usefulness).
> >>
> >> The only problem I have encountered so far is that what I need to
> >> share it with others is more difficult than what I need for
myself -
> >
> >> so I have to work a bit harder there.
> >>
> >> The reason behind that is that I have jumped the over the fence
to
> >> RootCauseEvaluation, which is a mindset, and hence I don't see a
> > need
> >> for all of the bells and whistles that BT's provide (all the
noise
> > of
> >> the whistle blowing jsut distracts my concentration on what
really
> >> counts).
> >>
> >> I will share some base code as soon as I can (it is rather
> > simplistic
> >> code but it helps to argue my case).
> >>
> >> RCE - it's not the holy grail of system design and evaluation but
> > it
> >> is a different approach that can expand our knowledge somewhat.
> >>
> >> brian_z
> >>
> >>
> >>
> >>
> >>
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx, "Barry Scarborough"
<razzbarry@>
> >> wrote:
> >>>
> >>> I'm not sure what you mean but I often put multiple systems on
> > one
> >>> page. I watch how they perform compared to the one I am actually
> >> auto
> >>> trading. I also add other indicators at times to see if they
will
> >> add
> >>> anything to the logic.
> >>>
> >>> Barry
> >>>
> >>> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@> wrote:
> >>>>
> >>>> Would it work to use multiple virtualized systems on the same
> >>> physical
> >>>> machine?
> >>>>
> >>>> Dennis
> >>>>
> >>>> On Aug 18, 2008, at 10:47 AM, Barry Scarborough wrote:
> >>>>
> >>>>> I think it is safer to run multiple instances of AB on
> > separate
> >>>>> systems. I keep getting mixed or confusing results when I try
> >> to
> >>> use
> >>>>> two instances on one system. I was trying to capture 5 second
> >> data
> >>>>> and run auto trading on the same system. I opened the auto
> >> trading
> >>>>> first and then the 5 second. The data in the 5 second
> > instance
> >>> gets
> >>>>> lost and I can't figure out why. I even tried to save it a
> > few
> >>> times
> >>>>> during the day. I run it all day and when I looked at it
> > later
> >> it
> >>>>> isn't there. Well some of it is which is even more confusing,
> >> the
> >>>>> most recent part. I have the database set to 100,000 bars so
> > I
> >>> should
> >>>>> be able to capture about a month of data. Ain't working. So I
> >>> started
> >>>>> collecting the 5 second data on another system. I will see
> > how
> >>> that
> >>>>> works. If using multiple instances on one system is supposed
> > to
> >>> work
> >>>>> then someone needs to define the parameters for doing so.
> >>>>>
> >>>>> Barry
> >>>>>
> >>>>> --- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paul.tsho@>
> > wrote:
> >>>>>>
> >>>>>> I think the easiest is to run multiple instances of AB, one
> > per
> >>>>> system. am i
> >>>>>> missing something?
> >>>>>>
> >>>>>>
> >>>>>> _____
> >>>>>>
> >>>>>> From: amibroker@xxxxxxxxxxxxxxx
> >>> [mailto:amibroker@xxxxxxxxxxxxxxx]
> >>>>> On Behalf
> >>>>>> Of Barry Scarborough
> >>>>>> Sent: Monday, 18 August 2008 9:46 PM
> >>>>>> To: amibroker@xxxxxxxxxxxxxxx
> >>>>>> Subject: [amibroker] Re: About Automatic Analysis
> >>>>>>
> >>>>>>
> >>>>>>
> >>>>>> Herman he is talking about automatic analysis. How can you
> > run
> >>> more
> >>>>>> than one formula at a time? AA defines the formula that is
> >> being
> >>>>>> tested.
> >>>>>>
> >>>>>> You can test more than one system at a time by "forward
> >>> testing". I
> >>>>>> put my formula in a specially designed bar replay indicator
> >> that
> >>>>> will
> >>>>>> keep track of the number of positions/shares and the price
> >> when
> >>> the
> >>>>>> trade is made. I run BarReplay and feed 5 second data into
> > the
> >>>>>> formula. It tells where the trade is made, the conditions of
> >> all
> >>>>> the
> >>>>>> indicators at the trade, whatever the designer wants to
> > track,
> >>> and
> >>>>>> the price at the trade. I calculate the gain as each trade is
> >>>>> closed.
> >>>>>> I post all of that in the interpretation window. Then you
> > can
> >>> click
> >>>>>> on each formula and see what the stats are. I also dump this
> >> data
> >>>>>> into _Trace so that I can go back later and focus in on a
> >>> specific
> >>>>>> area using DebugView when it doesn't trade as expected.
> > Tracing
> >>>>> more
> >>>>>> than one formula is a pain and I typically use this for
> > debug
> >>> only.
> >>>>>>
> >>>>>> If you want to check longer periods you can capture hour or
> > 15
> >>>>> minute
> >>>>>> data and feed that into a EOD chart or weekly chart to see
> >> what
> >>> is
> >>>>>> going on in them. The shorter the period you feed into your
> >>> formula
> >>>>>> the more accurate the results. Let your imagination run away
> >> and
> >>>>> you
> >>>>>> can test/tweak almost anything this way.
> >>>>>>
> >>>>>> IMO that is more accurate than back testing since you are
> >>> tracking
> >>>>>> the almost true performance of the system. Anyway, that is
> > how
> >> I
> >>>>>> handle multiple formula analysis at a time.
> >>>>>>
> >>>>>> Barry
> >>>>>>
> >>>>>
> >>>>>
> >>>>>
> >>>>> ------------------------------------
> >>>>>
> >>>>> 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
> >
> >
> >
>
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