|
PureBytes Links
Trading Reference Links
|
Tomasz,thats a good start,but its like sending someone to fight in
the UFC with 5 Tae Kwon Do lessons under their belt.
Allan
p.s. I cant seem to decipher what the P&L is generated from,i.e
close-close,it seems to have a day lag,and almost every time I enter
a long trade a sell is randomly generated and cover doesnt seem to
function at all.
--- 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
> >
> >
> >
>
------------------------------------
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/
|