Re: [amibroker] Re: A question for Dr Howard Bandy, AmiBroker Email List Archive

On Wed, Oct 22, 2008 at 3:44 PM, richpach2 <richpach2@xxxxxxxxx> wrote:

Hello Howard,

I watched prerecorded Video, DVD and "on-line" seminars by Nelson, in
which he described number of systems. I can recall some of the names -
Value Line Index, Currency Systems BP SF & YEN, OMNI, PATHFINDER,
PAL and PANKIN to name some of them. Thank you for the offer for
doing "contract programming" - I may use this option in the future.
At this stage however, I was wondering if there is any AFL code
around which had been written to see if any of these systems still
work?
One statement from the beginning of your book has really sunk in my
head - "All systems stop working at some stage in the future".
I am only a beginner and hoping that, when your second book finally
arrives and I invest enough time, I will be able to program some of
Nelson's systems on my own. At this stage I was looking for any
examples of AFL code (for educational purposes) which uses Nelson's
systems. In essence, they all very similar in terms of AFL approach
so, by studying one example, one should be able to apply this to
other systems as well.

Kind Regards
Richard

--- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@xxx> wrote:
>
> Hi Richard --
>
> I keep in touch with Nelson Freeburg from time to time, and I was a
> subscriber of his for quite a long time, but I do not now subscribe
to his
> newsletter. So, I will need to know more about which of his
systems you are
> referring to -- he has described many. If I have the newsletter it
in which
> he describes the systems you are interested in, I will try to
answer you.
> His material is copyrighted, so it cannot be posted. But you can
ask a
> contract programmer (such as myself) to write a system you have
legal access
> to into AFL code for you. The resulting code can be used by you,
but cannot
> be posted or distributed without Nelson's permission.
>
> Thanks,
> Howard
>
> On Mon, Oct 20, 2008 at 6:17 PM, richpach2 <richpach2@xxx> wrote:
>
> > 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 <amibroker%
40yahoogroups.com>, "Howard B"
> > <howardbandy@> 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@> 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><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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