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I forgot to mention that another prime objective, of the overall
method, is to make efficient use of our precious data.
All trades are recording in Phase I, so that our elected N value (a
statistically valid sample)is approached using a minimum amount of
data...... for WF analysis N could be the cut off point for the
sample space used.
BTW this one is for the programmers, and serious dudes, who for the
most part, tolerate my biblings and scribblings (hope you like it
Fred).... Tomasz and this forum must have good Karma!
Also for K and T who stuck up for me when I was pelted with rotten
fruit all those years ago!
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Thinking a little further on this.
>
> Unless there is a need for advanced matrix operations 'psuedo
> matrices', using arrays with limited AFL matrix operations, would
be
> sufficient for AB needs (arrays are faster and maintain backward
> compatibility?).
>
> For advanced users the first phase would be the power version and
the
> method used would only store the core metrics with speed in mind
(2,
> 3 or maybe 4 datapoints, as persistent arrays, depending on the
> objectives) and only calculate one metric, on the fly, from them
i.e.
> the user defined objective function.
>
> All performance metrics would be derived from the core metrics and
> therefore able to be calculated in AFL so they would be fully
> transparent to users.
>
> Default metrics could be built-in and rendered as tables etc, at
> phase II, for the benefit of newcomers, but as their skill and
> interest develops they could then easily drill down to the code
> behind the metric.
>
> Obviously the trade matrices are a precursor to advanced Portfolio
> Management in Phase III (RalphVince, MSA Analyser, van Tharp,
> McDonnell, MonteCarlo Simulation or whatever takes the users fancy).
>
> For my own use I intend to go right past phase II and implement my
> own Portfolio Manager (based on a compilation of my own work and
the
> work of people like RalphVince .... I am still working in the
> background on BiNomial Simulation and if I am happy with it I will
> use it in Phase III).
>
> Part of the rational, behind the idea, is that the time value
> (processing) in the backtesting is saved, while the time value in
> producing performance metrics is disposable (because the latter has
a
> lesser timevalue, the metrics of interest are based on subjective
> choices and they change dynamically as new data arrives).
>
> I think it is a good idea but I am not 100% certain about it, not
> being a mathematician or programmer.
>
> I am becoming a little frustrated with AB (perhaps I am outgrowing
> it) and the Portfolio Backtester is a good example of one place
where
> that frustration is focussed.
>
> I have three ways I can go with it:
>
> - send it to AB as a suggestion (which is why I need feedback)
> - implement my own backtester within AB (use a DLL?) ... maybe keep
> it private or publish it with open source code (possibly I would do
> that via a team effort)
> - go to an existing open source charting project with my ideas
> - intitiate my own open source charting project
>
> Since I am biased to open source, and therefore my ideas/code would
> be in the public domain anyway, I have no reason not to share it
with
> AB and the AB community.
>
> If it is not a good idea then nothing is lost.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > There was some recent discussion about the need to learn more
than
> one
> > language to use AB.
> >
> > Just wondering if C++ Matrices could be used to store and
reference
> > trades, instead of Object Orientated Progamming, to make things
> easier.
> >
> > C++ includes containers that can be considered matrices (such as
> arrays
> > and, in the Standard Library, vectors, lists, and maps) OR open
> source
> > C++ Matrix libraries are available.
> >
> >
> > Would it be possible to:
> >
> > - nominate buy/sell/buyprice etc in the first phase of backtesting
> > - run backtest over the sample space (limit space as defined in
> setting)
> > - store trades P & L as % in binary files
> > - store time in trade (binary)
> > - store entry bar OR time (binary- only needed to display arrows
on
> > chart)
> >
> > Storing trades in binary form would be very fast (stored as a
trade
> > matrix).
> > All metrics can be calculated from % P & L plus time in trade as
> > required so Money Management only needs to be applied in the
second
> > phase, if required.
> > Only the trade matrices need to be saved, with the backtest
> settings
> > (also binary), for future reference, instead of the BT reports.
> >
> > In the second phase performance metrics could be calculated as
> required
> > by referencing the matrix entries, either in total or as sub
> matrices.
> >
> > Matrix functions could be included in AFL and the advanced
> backtester
> > would use them to reference the trades to create equity curves
and
> > custom or default reports on demand (no need to re-run backtests
> for
> > custom reports OR when adding/deleting columns from a report).
> >
> > It might also be possible that trade P & L, and time in trade,
> could be
> > stored in one 32 bit byte thereby save processing time (the
> separate
> > pieces of info could be unpacked into the trade matrix and the
time
> in
> > trade matrix when required).
> >
> > Happily, the trade matrices could be rendered as tables, with
rows
> and
> > columns for visual reference/charting etc, which is much more
> intuitive
> > than referencing the Trade Object as we do at the moment.
> >
> > The matrices could use a full range of Matrix operations or just
> some
> > of the basics for the AFL version e.g. referencing individual
> trades by
> > matrix M * N notataion (I don't know much about matrix maths so
it
> is
> > up to the maths people to comment on possible uses for advanced
> matrix
> > maths functions).
> >
> >
> > When data is added to the DB, or the sample range extended,
> backtesting
> > could commence from the time of the last closed trade and then
add
> new
> > trades to the matrix (this would save time by avoiding the need
to
> > repeat backtests).
> >
> > It is also a very nice format for exporting to Excel or advanced
> stats
> > packages like R or Matlab :-)
> >
> > Does anyone esle have any thoughts on the subject?
> >
>
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