|
PureBytes Links
Trading Reference Links
|
Available (2006):
http://www.amibroker.com/kb/2006/05/06/discretionary-equity/
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "brian_z111" <brian_z111@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, August 26, 2008 10:34 AM
Subject: [amibroker] Re: 'Rule Based' versus 'Discretionary' trading...
> Only speaking for myself.
>
>> I can certainly see the value in calculating a full suite of
>>metrics
>> based on the discretionary trades made via clicking on a chart over
>>a
>> given time period. These would be the equivalent of a mechanical
>> trader's backtest results and would be the benchmark by which
>> approaches were measured.
>
> Yes, that is what I would like to be able to do..... it is the
> Discretionary Traders backtester.
>
>> But, how exactly would a discretionary trader perform a WFA given
>> that WFA is the application of optimized parameters upon untested
>> data?
>
> If I used that term I used it rather loosely ... if Alan used it I
> know what he meant..... fair enough, reserve the term for Walk
> Forward as we know it now ... yes, they are different processes.....
> let's use something else, for what Alan wants, to avoid confusion.
>
> Yes, I am only talking about a live simulation with the
> trades 'recorded' for later analysis AND/OR live metrics/money
> management (part A would be a good start) .... I still like the idea
> of being able to store the trades in static arrays that can be
> accessed via AFL.... don't know if that would fit in there or not.
>
> brian_z
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>>
>> I can certainly see the value in calculating a full suite of
> metrics
>> based on the discretionary trades made via clicking on a chart over
> a
>> given time period. These would be the equivalent of a mechanical
>> trader's backtest results and would be the benchmark by which
>> approaches were measured.
>>
>> But, how exactly would a discretionary trader perform a WFA given
>> that WFA is the application of optimized parameters upon untested
>> data?
>>
>> I doubt that you are suggesting that the discretionary trader would
>> manually iterate over the same chart trying different approaches,
> and
>> that AB (or any other product) would then have to somehow figure
> out
>> what the methodology was in order to apply that logic into the next
>> out of sample period. Yet, that would be the only way to marry the
>> two concepts (i.e. discretionary and WFA).
>>
>> Even if the software did have some kind of artificial intelligence
>> that could capture logic based on the discretionary trades made
>> within a period, what would be the point? The discretionary trader
>> would not confine themself to the signals produced by the WFA. If
>> they did, they would no longer be discretionary, but instead be
>> mechanical traders :)
>>
>> It seems to me that WFA is the exact opposite of discretionary
>> trading.
>>
>> Mike
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, "matrix10014" <allansn@> wrote:
>> >
>> > Hi Sidhartha,
>> > No offense to anyone,but it is a bit of a messy solution and one
>> that
>> > is good enough to make one dangerous.
>> >
>> > It certainly appears that a skilled programmer could make the
>> > necessary changes to bring it to a professional level,but I am
>> > certainly not that person.
>> >
>> > IMHO,whether one is a discretionary trader or system trader,the
>> > ability to perform some sort on WFA is essential,and the very
> same
>> > analytics/statistics should be available to both styles.
>> >
>> > Does anyone think the discretionary traders at firms such as SAC
>> > capital simply wing it,while the stat arb boys have all the
>> > firepower??
>> >
>> >
>> >
>> >
>> > --- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@>
>> > wrote:
>> > >
>> > > I took a look at Herman's thread Mike and I personally think
> it's
>> a
>> > > bit of a messy solution to what Allan is requesting. Basically
> he
>> > > wants something of 'professional' quality rather than tacked on.
>> > >
>> > >
>> > > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
>> > > >
>> > > > Your comment on simulated discretionary trading was addressed
>> > earlier
>> > > > in the thread by Herman, though perhaps not to the degree of
>> > backtest
>> > > > metrics that you might be after.
>> > > >
>> > > > http://finance.groups.yahoo.com/group/amibroker/message/128437
>> > > >
>> > > > Mike
>> > > >
>> > > > --- In amibroker@xxxxxxxxxxxxxxx, "matrix10014" <allansn@>
>> wrote:
>> > > > >
>> > > > > Hi T,
>> > > > > As a discretionary trader,I find the charting package in
>> Ami
>> > to
>> > > > be
>> > > > > excellent.The only gripe I have is that one can not shift
> to
>> > higher
>> > > > > time frames(daily to weekly) without the chart and
> trendlines
>> > > > jumping
>> > > > > all over the place,i.e.,from one date to the next.Without
>> > having
>> > > > the
>> > > > > end dates locked(far right dates),multiple time frame
>> analysis
>> > > > > becomes a very difficult task,and analysis is rendered
>> > useless.Its
>> > > > > essential that the far right side of the chart have the
> same
>> > date
>> > > > on
>> > > > > any time frame.I discussed it in the past,but you had your
>> own
>> > > > > views.Sadly,I had to go to another program.
>> > > > >
>> > > > > On another note,and far more important, a discretionary
>> trader
>> > > > needs
>> > > > > the same risk management tools that a system trader
> does.The
>> > two
>> > > > > styles are not so disimilar that a system trader has the
>> > benefit of
>> > > > > full backtesting/optimisation/WFA while the discretionary
>> > trader
>> > > > > should be left to perform his analysis with a pencil,paper
>> and
>> > > > > abacus.Ami should offer the capability to SIMULATE
>> > discretionary
>> > > > > trading.That means the ability to point and click on the
>> chart
>> > and
>> > > > > record all Entrys(long and short),Exits,and stops with
>> > > > > pyramiding/scaling capabilities.In addition full reporting
>> > should
>> > > > be
>> > > > > available with a scaled down version of backtest results as
>> > well as
>> > > > > the capability to export the trades should one wish to do
>> > perform
>> > > > > further analysis,i.e position sizing,Money management.
>> > > > >
>> > > > > Unless one is performing algorithmic trading/mean reversion
>> > > > > strategies,I think there is a fine line between rule based
>> > trading
>> > > > vs
>> > > > > discretionary.Granted the approachs are different,but once
> a
>> > trade
>> > > > is
>> > > > > on,one still has to manage it with the very best tools
>> > > > > available.Hopefully,Ami can level the playing field between
>> the
>> > > > > system "tools" vs the "discretionary" tools avaiable.
>> > > > >
>> > > > > Allan
>> > > > >
>> > > > >
>> > > > >
>> > > > >
>> > > > >
>> > > > > Allan
>> > > > >
>> > > > >
>> > > > >
>> > > > >
>> > > > >
>> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
> <groups@>
>> > > > > wrote:
>> > > > > >
>> > > > > > I appreciate all suggestions and there is really no
> problem
>> > > > > > in adding new features provided that there is demand for
>> them.
>> > > > > > I specifically asked for charting suggestions, as this is
>> way
>> > > > > > more "subjective" thing than backtesting and other rule-
>> based
>> > > > tools.
>> > > > > > Discretionary traders seem to be very sensitive to all
> those
>> > > > > > little details and aesthetics. These are are sometimes
> easy
>> > to
>> > > > > develop
>> > > > > > sometimes not, but unless you hear the feedback it is not
>> > possible
>> > > > > > to know what every single person uses.
>> > > > > > So again, feedback is appreciated. If possible and not
> too
>> > time
>> > > > > consuming
>> > > > > > for you, I greatly appreciate filling the issue via
>> feedback
>> > > > > center. If not,
>> > > > > > I can keep track on my internal list.
>> > > > > >
>> > > > > > Best regards,
>> > > > > > Tomasz Janeczko
>> > > > > > amibroker.com
>> > > > > > ----- Original Message -----
>> > > > > > From: "sidhartha70" <sidhartha70@>
>> > > > > > To: <amibroker@xxxxxxxxxxxxxxx>
>> > > > > > Sent: Tuesday, August 19, 2008 5:30 PM
>> > > > > > Subject: [amibroker] Re: 'Rule Based'
>> versus 'Discretionary'
>> > > > > trading...
>> > > > > >
>> > > > > >
>> > > > > > > How97,
>> > > > > > >
>> > > > > > > I agree. You've stated nothing that I haven't already.
>> > > > > > >
>> > > > > > > I do use other software... MarketDelta & have been
>> looking
>> > at
>> > > > > Ninja
>> > > > > > > with a market profile plug in as an alternative.
>> > > > > > >
>> > > > > > > Like others, I'm not desperately keen on using multiple
>> > software
>> > > > > > > systems. I'd rather try and get it under one roof. And
>> the
>> > > > truth
>> > > > > is it
>> > > > > > > really wouldn't be hard for TJ to add some of that
>> > > > functionality.
>> > > > > > >
>> > > > > > > I'm adding my voice to a largely dominant rule based
>> > crowd... I
>> > > > > hope
>> > > > > > > you're ok with free expression of wishes and ideas...??
>> > > > > > >
>> > > > > > > I think others have also made it clear on this thread
>> that
>> > > > they'd
>> > > > > like
>> > > > > > > to see some more functionality on the charting side too.
>> > > > > > >
>> > > > > > >
>> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "how97" <101.158294@>
>> > wrote:
>> > > > > > >>
>> > > > > > >> I believe it is clear that the large majority of the
> AB
>> > users
>> > > > > want
>> > > > > > >> to have the possibility for rule-based trading,
>> > backtesting,
>> > > > > > >> automatic analysis, automatic trading etc. For that
>> group
>> > > > > Amibroker
>> > > > > > >> is just excellent and it is constantly enhanced in
> these
>> > > > > > >> possibilities. And that is what the large majority of
>> its
>> > > > users
>> > > > > > >> wants. And AB strongly supported by its users and
> driven
>> > by
>> > > > > their
>> > > > > > >> wishes.
>> > > > > > >>
>> > > > > > >> The large majority of users is clearly not the
>> > discretionary
>> > > > > > >> traders. These may need better or specialized
> charting.
>> > That
>> > > > may
>> > > > > > >> well be. If this better charting software exists
> already
>> > as
>> > > > you
>> > > > > are
>> > > > > > >> saying, why are you not using it, why did you come
> here
>> to
>> > AB?
>> > > > > What
>> > > > > > >> were you looking for?
>> > > > > > >>
>> > > > > > >> I think it is also a clear preference of Tomasz to
>> develop
>> > AB
>> > > > > into a
>> > > > > > >> direction where most of its users wants to ahve it.
> And
>> > that
>> > > > is
>> > > > > > >> good. A lot of the stuff in AB is much too complex if
>> you
>> > are
>> > > > > just
>> > > > > > >> looking for other kinds of charting. So why bother?
> You
>> > need
>> > > > to
>> > > > > use
>> > > > > > >> a different software.
>> > > > > > >>
>> > > > > > >> By the way: In my opinion AB allows excellent charting.
>> > > > > > >>
>> > > > > > >> Regards
>> > > > > > >> how97
>> > > > > > >>
>> > > > > > >> --- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70"
>> > <sidhartha70@>
>> > > > > > >> wrote:
>> > > > > > >> >
>> > > > > > >> > From my perspective, and this is really why I
>> connected
>> > > > > charting to
>> > > > > > >> > the ideas of 'rule based' vs 'discretionary'
>> trading...
>> > if
>> > > > you
>> > > > > are
>> > > > > > >> a
>> > > > > > >> > discretionary trader, from a software perspective it
>> is
>> > ALL
>> > > > > about
>> > > > > > >> > visibility. If the software you are using doesn't or
>> > can't
>> > > > > give you
>> > > > > > >> > the best visibility available then you are at a
>> > > > disadvanatge.
>> > > > > You
>> > > > > > >> > can't make sensible discretionary trading decisions
>> > without
>> > > > > being
>> > > > > > >> able
>> > > > > > >> > to see how current market structure has evolved,
> what
>> > market
>> > > > > > >> dynamics
>> > > > > > >> > are at play, how the auction process is evolving at
>> > > > different
>> > > > > time
>> > > > > > >> > frames etc..etc.. You simply don't get that from bar
> &
>> > > > candle
>> > > > > > >> charts.
>> > > > > > >> >
>> > > > > > >> > Hence my obsession with Market Profile & Equivolume
>> and
>> > > > > generally
>> > > > > > >> more
>> > > > > > >> > accessability and adaptability to AmiBroker's
> charting
>> > > > > facilicites.
>> > > > > > >> >
>> > > > > > >> > Currently it's a fabulous piece of software,
>> > particualrly
>> > > > > for 'rule
>> > > > > > >> > based' traders.... But probably a less fabulous
> piece
>> of
>> > > > > software
>> > > > > > >> for
>> > > > > > >> > discretionary day traders for example. But of
> course,
>> I
>> > > > > appreciate,
>> > > > > > >> > it's hard to be all things to all men...
>> > > > > > >> >
>> > > > > > >> > --- In amibroker@xxxxxxxxxxxxxxx, Ken Close
>> <ken45140@>
>> > > > wrote:
>> > > > > > >> > >
>> > > > > > >> > > One simple suggestion for charting improvement:
>> > > > > > >> > >
>> > > > > > >> > > Put in the ability to insert a "Tab" character in
> a
>> > Title
>> > > > > > >> statement
>> > > > > > >> > in order
>> > > > > > >> > > to make it easier to produce multi-line tables
>> > > > > with "columns"
>> > > > > > >> left
>> > > > > > >> > justified
>> > > > > > >> > > no matter how many decimal places in previous
> values
>> > in
>> > > > the
>> > > > > same
>> > > > > > >> row. I
>> > > > > > >> > > have done it via complex IIF statements but how
> nice
>> > it
>> > > > > would be
>> > > > > > >> to
>> > > > > > >> > insert
>> > > > > > >> > > the code for a tab character to create columns.
> No,
>> I
>> > do
>> > > > > not
>> > > > > > >> want to do
>> > > > > > >> > > this with the gfx commands (too complex for this
>> > > > > application).
>> > > > > > >> > >
>> > > > > > >> > > Ken
>> > > > > > >> > >
>> > > > > > >> > > -----Original Message-----
>> > > > > > >> > > From: amibroker@xxxxxxxxxxxxxxx
>> > > > > > >> [mailto:amibroker@xxxxxxxxxxxxxxx]
>> > > > > > >> > On Behalf
>> > > > > > >> > > Of Tomasz Janeczko
>> > > > > > >> > > Sent: Monday, August 18, 2008 4:33 PM
>> > > > > > >> > > To: amibroker@xxxxxxxxxxxxxxx
>> > > > > > >> > > Subject: Re: [amibroker] 'Rule Based'
>> > > > versus 'Discretionary'
>> > > > > > >> trading...
>> > > > > > >> > >
>> > > > > > >> > > Hello,
>> > > > > > >> > >
>> > > > > > >> > > Not wanting to hijack this thread but whenever I
> ask
>> > about
>> > > > > some
>> > > > > > >> itemized
>> > > > > > >> > > list of what is exactly "weak" in AB charting, I
>> don't
>> > > > > receive
>> > > > > > >> any
>> > > > > > >> > > meaningful reply. I would really want to know some
>> > > > objective
>> > > > > list
>> > > > > > >> > instead of
>> > > > > > >> > > statements I heard on ET that "charts are ugly"
>> which
>> > for
>> > > > me
>> > > > > > >> > unfortunatelly
>> > > > > > >> > > means nothing, considering the hunderds of ways
>> charts
>> > can
>> > > > > be
>> > > > > > >> customized
>> > > > > > >> > > according to user taste in AB.
>> > > > > > >> > >
>> > > > > > >> >
>> > > > > > >>
>> > > > > > >
>> > > > > > >
>> > > > > > >
>> > > > > > > ------------------------------------
>> > > > > > >
>> > > > > > > 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
>
>
>
------------------------------------
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/
|