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> the concept of "storing the trade data in static
> arrays" and accessing it via AFL sounds pretty dam good...I assume
> that is at the core of "system" backtests.
No idea what others have done.
Logically/mathematically I believe we can calculate the whole box and
dice starting with only trade series% and bars in/bars out of trade,
so yes, that is 'my' core.
The little bit of scaled down modelling I have done so far confirms
that.
> At the same time this discussion came up,I was demoing a "position
> size" optimizer(pre-coded kelly,optimal f,martingale/anti
> martingale,MC etc).......
> .......variables such as position sizing/money management
> need to be adressed,not too mention the risk reward of the system.
You know people want personal solutions.....that is the way it is...
I am heading in that direction .... I know we can do it statically
via the CBT (after a backtest on historical data) but I got
interested in trying it live around the same time Herman started
talking about inline metrics so here I am.... if I can create a
trade series matrix on the fly I can definitely get my own stuff to
work ... yes I am interested in optimal F.
So far I haven't tried to create a robust trade series that suits all
(stops etc) so I can't cry wolf until I have tried to use everything
that I can.
Doing it is one thing ... doing it fast enough for live work is
another.
I also got interested in tuning the life trades, using a live metric
to guide the session, around the same time as Herman started talking
about it.
I think that is the cutting edge of it but my first target is
actually a live optimalF ... just to see what it looks like on the
fly.
I don't know about you but running multiple systems, intraday, and
trying to mentally calculate position size is definitely for the
young fellas.
The other thing I like about it is how much I learn about backtesting
by trying to emulate one.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "matrix10014" <allansn@xxx> wrote:
>
> Hello all,
>
> Sorry for the WFA confusion,and Brian you are correct.I am looking
> for the "Discretionary Traders Back Tester".I am far from being a
> programmer,but the concept of "storing the trade data in static
> arrays" and accessing it via AFL sounds pretty dam good...I assume
> that is at the core of "system" backtests.
>
> At the same time this discussion came up,I was demoing a "position
> size" optimizer(pre-coded kelly,optimal f,martingale/anti
> martingale,MC etc)where discretionary trades had to be manually
input
> as no software actually generates an "exportable discretionary
trade
> file" and it dawned on me that Amibroker has the full capability to
> do it all..with a little help from my friends.
>
>
> My hope is we can utilise the best of Amibroker whether one bases
> their approach on algorithmic trading,candlesticks or
> Gann/Elliot.Once a trade is on,it needs to be managed regardless of
> the approach,and variables such as position sizing/money management
> need to be adressed,not too mention the risk reward of the system.
>
> Thanks to all,
>
> Allan
>
>
>
>
>
>
>
>
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > 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.
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