|
PureBytes Links
Trading Reference Links
|
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> > In any case it could be traded if you organise your funds in such
a
> >way that all symbols in your list can be held simultaneously.
>
> That isn't really practical and we can calculate very accurate
> predictions, subject to variance and non-stationarity, before we
risk
> our money.
Why impractical? I have been doing exactly that, profitably, for just
under 2 years. There is much room for experimentation in exactly how
the funds get distributed among the signals. But, even a simple equal
division of equity between all signals (up to a fixed maximum
percentage of equity per trade in the event that there are few
signals) can prove profitable when applied to a strategy.
Mike
> >there are a lot of additional problems that arise like an
uncomplete
> >database during testing
>
> You can't get a good result out of a bad database.... just avoid
> trades were you can't get the data you need.
>
>
> >Not sure if a random selection on an extended list for testing
> >purposes is reliable. Who knows in the practice you will find that
> >the signals that come early during the trading session usually are
> >loosers. This could be tested however using intraday data,
>
>
> Yes it is reliable, in fact it is the only way that it can be done.
>
> Returning to the example in my previous post:
>
> a b c X d e f g h i
> a b c Y d e f g h i
> a b c Z d e f g h i
>
> The XY & Z samples were produced by the same system (same rules) as
> the a -> i samples, so they are part of the same series and share
the
> same profile (frequency distribution and probabilities).
>
> If you have a list of trades for an EOD system and then want to find
> out if the intraday time affects the result then you are ranking
your
> daily signals using an intraday factor and you have to add at least
> one more trading rule to do that.
>
> This is effectively a new system and it will produce its own trade
> series , with it's own characteristics.
>
> As always, if we do analyse the trade sample space, we have to make
> sure we are left with enought samples to provide a valid sample.
>
> NEW RULE == NEW SYSTEM == NEW AND UNIQUE TRADE SERIES
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch" <empottasch@>
> wrote:
> >
> > In any case it could be traded if you organise your funds in such
a
> way that all symbols in your list can be held simultaneously. EOD
> systems are tricky though since there are a lot of additional
> problems that arise like an uncomplete database during testing
(ENRN,
> WCOM etc missing), no shorts available during trading. Not sure if a
> random selection on an extended list for testing purposes is
> reliable. Who knows in the practice you will find that the signals
> that come early during the trading session usually are loosers. This
> could be tested however using intraday data,
> >
> > regards, Ed
> >
> >
> > ----- Original Message -----
> > From: Mike
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Thursday, January 29, 2009 10:32 PM
> > Subject: [amibroker] Re: Sell and Buy on different days
> >
> >
> > Ha ha.
> >
> > Just goes to show how people can get tunnel vision sometimes.
> Since I
> > do a lot of custom backtester code, I immediately suggested
> filtering
> > at that level.
> >
> > But, your suggestion of a random value for PositionScore
directly
> > would be far easier and less prone to coding error.
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch"
<empottasch@>
> > wrote:
> > >
> > > you are right on this Mike. Testing a system like this using a
> > random positionscore is a good indication if it can be made into
> a
> > system that can be used in the practice. Andy has an idea that
is
> > tough to execute but not impossible in my opinion,
> > >
> > > regards, Ed
> > >
> > >
> > >
> > >
> > >
> > > ----- Original Message -----
> > > From: Mike
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Thursday, January 29, 2009 8:37 PM
> > > Subject: [amibroker] Re: Sell and Buy on different days
> > >
> > >
> > > Andy,
> > >
> > > Use caution when backtesting EOD strategies where there are
> more
> > > signals than there are funds or positions to be filled;
> > >
> > > If your strategy is to buy OCA, what logic are you putting in
> > place to
> > > determine which symbol to buy when multiple symbols hit your
> limit
> > > order on the same bar?
> > >
> > > Since you are using EOD data, you have no idea which symbol
> would
> > have
> > > hit the limit order first. You only know that x of y symbols
> hit
> > the
> > > limit order on that day.
> > >
> > > AmiBroker will just select the first in the list
> (alphabetically?
> > ). As
> > > such, your backtest results will be heavily biased in favor of
> > that
> > > ordering and will not reflect live trading results.
> > >
> > > Generally, PositionScore can be used to influence ordering.
> But,
> > an
> > > OCA approach by definition does not follow PositionScore.
> > >
> > > So, you might want to modify your custom backtester code to
> > randomly
> > > select from the available signals and set the remaining ones
to
> > > PosSize 0 in order to override the default prioritization.
Then
> > run
> > > your backtest many times and take the average of the results
as
> a
> > best
> > > guess estimate (i.e. Monte Carlo Permutations)
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, Andrew Senft <senft@> wrote:
> > > >
> > > > Hey Ed,
> > > >
> > > > Thank you so much for the code on the Amibroker Yahoo group
> > board!
> > > It
> > > > seems to be working from what I've seen so far. I'm doing an
> > > > optimization on that particular code (your first code) right
> > now.
> > > >
> > > > The second code (the one from your email) didn't work. That
> is,
> > > there
> > > > were sales of one stock and buy of another stock on the same
> > day.
> > > Not
> > > > sure what your code was doing but it gave a lot bigger
> profits
> > using
> > > the
> > > > backtester. Could you comment on this please?
> > > >
> > > > Mind you that this is my first attempt to writing code for
> any
> > stock
> > > > type software. I'm still using the 30 day free trial of the
> > > Amibroker
> > > > software but I think that I'm getting closer as I'm chugging
> > along.
> > > >
> > > > My agenda is to use this on a basket of ETF's. Perhaps 10 to
> 20
> > > or
> > > > so. Not sure how many I need since the 30 day trail
backtests
> up
> > > to a
> > > > basket of 5 stocks. My idea is to place the possible stock
> > trades
> > > > using the whole basket of ETF stocks at night for the next
> > trading
> > > > session. I have an IB account so I figure I could use an OCA
> > limit
> > > > order. Basically whenever a trade gets hit first (meets the
> > limit
> > > price
> > > > level), it trades. The other possible trades all get
canceled
> > right
> > > > away. So one trade actually goes through for the day.
> > > >
> > > > BTW, I like ETF's because the drawdowns are not as scary....
> > okay,
> > > > usually not as scary. Ha! I've been backtesting with:
> > > >
> > > > QQQQ, DIA, SPY, MDY, IWM
> > > >
> > > > Thank you again!
> > > >
> > > > Andy
> > > >
> > > > Edward Pottasch wrote:
> > > > >
> > > > > Andy,
> > > > >
> > > > > I have sent an alternative solution to your private Email.
> Let
> > me
> > > know
> > > > > if you received it.
> > > > >
> > > > > Ed
> > > > >
> > > > >
> > > > >
> > > > > ----- Original Message -----
> > > > > *From:* Andy <mailto:senft@>
> > > > > *To:* amibroker@xxxxxxxxxxxxxxx
> > > <mailto:amibroker@xxxxxxxxxxxxxxx>
> > > > > *Sent:* Thursday, January 29, 2009 12:40 PM
> > > > > *Subject:* [amibroker] Re: Sell and Buy on different days
> > > > >
> > > > > This is got to be a very simple task but unfortunately
> > > AmiBroker told
> > > > > me that I would have to write Backtester Interface code
for
> > > this. I'm
> > > > > sure this has been done a million times. Anyone have
sample
> > > code?
> > > > > I'm using EOD data to trade one stock at a time from a
> basket
> > > of
> > > > > stocks. The problem is that a selling of a stock can occur
> on
> > > the
> > > > > same day as a buy of *another* stock. Of course the
problem
> is
> > > that
> > > > > the sell trade can occur after the buy trade.
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx
> > > > > <mailto:amibroker%40yahoogroups.com>, "Andy" <senft@>
wrote:
> > > > > >
> > > > > > How do I fix the below code so it doesn't buy a
different
> > > stock on a
> > > > > > sell day?
> > > > > >
> > > > > > --------------------------------------------------------
> > > > > > // Backtester Options
> > > > > > SetOption("MaxOpenPositions", 1 );
> > > > > > SetOption("AllowSameBarExit", False);
> > > > > >
> > > > > > // Optimization numbers
> > > > > > BuyPeriod = Optimize("BuyPeriod",16,10,20,2);
> > > > > > BuyFactor = Optimize("BuyFactor",1.2,0.5,1.5,.1);
> > > > > > SellPeriod = Optimize("SellPeriod",20,10,20,2);
> > > > > > SellFactor = Optimize("SellFactor",0.8,0.5,1.5,.1);
> > > > > >
> > > > > > // ATR formulas
> > > > > > TodaysBuyTarget = High - BuyFactor * ATR(BuyPeriod);
> > > > > > YesterdaysBuyTarget = Ref(High,-1) - BuyFactor *
> > > > > Ref(ATR(BuyPeriod),-1);
> > > > > > YesterdaysSellTarget = Ref(Low,-1) + SellFactor *
> > > > > Ref(ATR(SellPeriod),-1);
> > > > > >
> > > > > > // Buy/Sell signals and prices
> > > > > > Buy = YesterdaysBuyTarget > Low;
> > > > > > BuyPrice = IIf(YesterdaysBuyTarget > Open, Open,
> > > > > YesterdaysBuyTarget);
> > > > > > Sell = YesterdaysSellTarget < High;
> > > > > > SellPrice = IIf(YesterdaysSellTarget < Open, Open,
> > > > > YesterdaysSellTarget);
> > > > > > Buy = ExRem(Buy,Sell);
> > > > > > Sell = ExRem(Sell,Buy);
> > > > > >
> > > > >
> > > > >
> > > > > ----------------------------------------------------------
> > > ------
> > > > >
> > > > >
> > > > > No virus found in this incoming message.
> > > > > Checked by AVG - http://www.avg.com
> > > > > Version: 8.0.176 / Virus Database: 270.10.15/1921 -
Release
> > Date:
> > > 1/28/2009 6:37 AM
> > > > >
> > > > >
> > > >
> > >
> >
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL 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/
|