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Hi Howard,
Thank you again for your comprehensive answer. I am not new to
trading but new to AmiBroker. My interest was sparked by Robert from
ATAA who gave us a presentation last month. He said that, out of 97
books he has in his library, QTS book is the best he's read. I
ordered both books but, because the "Intro .." book is still at the
printers I started from advanced level.
Could you please answer the second part of my previous question (AFL
code for Nelson Freeburg systems)?
Kind Regards
Richard
--- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@xxx> wrote:
>
> Hi Richard --
>
> I think I misunderstood your question.
>
> The idea behind the system is that there may be a trading bias in
favor of
> or against the end of one calendar month and the start of the
next. The
> system can tested for each trading day of the month or calendar day
of the
> month that you are interested in. That is where the 22 and / or 31
would
> come in.
>
> For the system described in the book, only the First trading day is
tested.
>
>
> To test the effect, set the reference point to be the first trading
day of
> the month -- the day where this day's month is not the same as
yesterday's
> month. Then test the effect of buying each of the days around the
first
> trading day of the month by adding or subtracting some number of
days. That
> is where the optimize from -8 to plus 8 comes in. Each of those 17
runs
> tests the profitability of buying on that day, relative to the
reference
> day, and holding for one day. If there is a bias, it will show up
as some
> day, relative to the first trading day of the month, being
particularly
> profitable or not profitable. For the in-sample period, 1/1/1995 to
> 1/1/2005, there is a strong seasonality effect -- buy on the third
day
> before the first trading day of the month and hold through the
second day
> after. See Figure 11.7. For the out-of-sample period, 1/1/2005
through
> 1/1/2007, that same seasonality holds fairly well, but the days
after the
> first trading day are not as strong. See Figure 11.9.
>
> If you want to test any other reference day, you can by setting the
> reference day to one of the 31 calendar days or one of the 22
trading days
> of the month.
>
> In this case, I did not wrap completely around because I was
testing the
> effect around the First trading day.
>
> Look at pages 155-158 and you will see a similar technique applied
to
> testing the profitability of trading around options expiration.
>
> Thanks,
> Howard
> www.quantitativetradingsystems.com
>
>
> On Sun, Oct 19, 2008 at 5:59 PM, richpach2 <richpach2@xxx> wrote:
>
> > Hello Howard,
> >
> > Thank you for your reply. I am still confused but, I am new to
> > AmiBroker and still learning. I understand that, AFL runs for
every
> > record of the history array so, in that sense it will run for all
the
> > bars in the array. Is this correct? Is this why you say that, it
> > runs 31 times?
> >
> > Also, I have read further into your book and noticed some
reference
> > to Nelson Freeburg systems in "Filters and Timing" chapter. I am a
> > big fun of Nelson's approach. The AFL code for this his system is
not
> > included in the book or AFL download. Do you know if this
available
> > for reasearch and educational purpose?
> >
> > Regards
> > Richard
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>, "Howard B"
> > <howardbandy@> wrote:
> > >
> > > Sorry -- the test is run 31 times, once for every day of the
> > month. 22 of
> > > those will show trading results.
> > >
> > > On Sat, Oct 18, 2008 at 8:41 AM, Howard B <howardbandy@> wrote:
> > >
> > > > Hi Richard --
> > > >
> > > > Thanks for the kind words about my book.
> > > >
> > > > I may not have sufficiently clear. The test is run 22 times.
> > Each time
> > > > the day of interest is one of the 22 trading days of the
month.
> > The test is
> > > > to see whether there is an effect near that day of interest,
so
> > there is no
> > > > need to gather results for all days.
> > > >
> > > > Thanks,
> > > > Howard
> > > >
> > > >
> > > > On Sat, Oct 18, 2008 at 12:14 AM, richpach2 <richpach2@>
wrote:
> > > >
> > > >> Hello Howard,
> > > >>
> > > >> I have been reading your book. So far I was able to digest
160
> > pages.
> > > >> It is all very clear and well written. I have one question in
> > regards
> > > >> to "Seasonality Systems" testing on page 152 and 153 (Trading
> > Day of
> > > >> the Month) AFL defines "Daynumber" as 8 bars before and after
> > DOI day.
> > > >> If we have 22 trading days on average in any given month,
why do
> > you
> > > >> only test for 16 or 17 if one includes DOI day?
> > > >> Is there a reason why you don't use Minus11 instead of
Minus8?
> > > >>
> > > >> Kind Regards
> > > >> Richard
> > > >>
> > > >>
> > > >>
> > > >
> > > >
> > >
> >
> >
> >
>
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