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I take it you mean I can create a trade matrix, live, based on the
example code there.
I have had 3 or 4 looks at it this week, since it came up twice
already in this thread, and decided that it probably offered some
hints about one of the paths I could take to put together an 'inline
backtester'...... I was intending to try it out at the right moment.
I hadn't noticed it was there until Herman mentioned it though.
Once the trade series matrix is created I think that any of the
metrics, or any portfolio model can be emulated, without extremely
difficult code.
I also think that the all of the things we are talking about, re
chart trading, can be done progammatically already, using graphics
buttons etc.
My comment was in the overall context of a higher level solution for
the benefit of others.
I think the way to go, for live trading, might be to click a button,
or study, or AFL code to buy/sell ---> buy/sell as % and bars in
trade write to an array (referenced via function) ------> the trade
matrix arrays could be used, via AFL, to quite easily produce any
metrics required (live) ----> at the end of the live session an
election could be made to SaveLiveSession and the trade arrays go to
the AA for saving and/or processing as a 'LiveTest' report etc.
I was impressed that you had written some base Dis Eq code two years
ago.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> 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@xxx>
> 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@> 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
> >
> >
> >
>
------------------------------------
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