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The reason I am interested in a trade series matrix is that it allows
multiple systems and portfolio analysis, on the fly.
I am working on a very basic demo of multiple systems ----> balanced
portfolio emulation, based on a trade series matrix, that I will post
shortly.
It isn't so difficult, at the system metrics/portfolio end of the
code ... I'm not sure about a good robust method to 'write' the the
trades to a matrix though.... I think it might require a very long
journey without something like static arrays.
The only other fly in the ointment might be where I want to use
symbols from a watch list. The help manual says that string extract
is a slow method for RT, especially if a lot of symbols are used ...
perhaps there is a way around it... I am fantasising that perhaps a
trade matrix might help out there.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> 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@>
> 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@>
> > 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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