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Hi Howard,
You have been busy today.
Glad you posted because I left a lot of people off my
Christmas honour roll, who should have been there, and you were one
of them.
In fact I had your first book in my hand, and was reading teh MCS
chapter again, when Ed posted with a mention of MCS.
I didn't like to comment on MCS beacause you can't say anything
meaningful without a book .. I don't want to rev people up and then
leave them with no where to go.
Looking forward to your next book.
I felt you got a little trapped, in QTS, by having to put some AB
basics in the early chapters and they are a little out of place now
that you have written Intro To AB.
I didn't enjoy the basics as mucn as the latter, more advanced
chapters.
I will still probably buy your latest, since I am interested in your
work, just haven't got around to it.
Re a Matrix package:
I am a little unusual in that I have no math background or skills but
I sometimes start thinking about trading solutions, to problems that
I come across, and the solutions involve concepts that are well know
in math (usually I Google and find something or stumble on it in a
book).
So, I tend to cherry pick the math and have some reasonable knowledge
in one or two limited areas.
Matrices is a good example.
I don't know the first thing about them, or matrix maths.
I don't know what any of those things, that you mention, are.... I
might be inerested in finding out though.
My interest in the subject is that I don't have a need to analyze
open equity (open trades), when I backtest I want to get all matching
signals ASAP i.e. closed trades, I want to see them in a matrix
format and I want to do some basic analysis in a spreadsheet like
medium.
Specifically, I like the GEoMean as an ObjectiveFunction (as per
Vince) and I can use it do perform trade sample space analysis in a
flash, without the need for more BT runs e.g. compare sectors against
the market OR volatile stocks against non vol for the same system.
I believe that analysing all of the trades in that way, prior to MM
and PM, is the superior method.
I could just use work arounds in AB, to get the trade series as
matrices, but I decided to share my thoughts and a little about my
basic approach with the forum ... one always lives in hope that the
developer likes my ideas ;-)
So, I just want the BT to rip all trades, along with the time in and
out, and present that data to me in a nice array. indexed symbol by
symbol and I can send it to RMath and do my thing there (unless of
course there is interest within AB for some kind of stats page.
(my ideas for this were laid out, in a bits and pieces fashion, in my
recent comments across two topics but they are summarised in some
notes in the file section (if you are interested have a look at the
bottom table where I basically show what I want to do).
However, I have an open and enquiring mind and I will take an
interest in your DLL ... it appears it is for advanced matrix
analysis.
I haven't found a need for that yet but I am interested to learn a
bit more.
I do follow your work because there are precious few traders
interested in the subject, outside of the Quants who work in the
industry, who are prepared to talk about it (the Fund people don't
have much to say do they?).
I see you are a collector of all things written about trading,
especially stats stuff, so keep your eyes open because I have some
oddball stuff in my archives and it is likely to bob up somewhere
this year.
Keep in mind we have one fundamental difference .... you are very
logical and precise ... I am very intuitive and comfortable with
quick and dirty solutions ... in fact I prefer a quick and dirty
solution to anything else if I can get my hands on it.
Cheers and thanks for your thought provoking comments and your
efforts.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> Hi Brian --
>
> I am writing a third book -- Advanced AmiBroker. It will have
sections on
> portfolio management, risk assessment, position sizing, options
pricing, and
> so forth, including AFL code to implement some of the associated
> techniques. I am writing, in C++ to become a DLL, a matrix /
linear algebra
> package that will serve my needs -- the solution to multiple linear
> equations, matrix arithmetic, matrix normalization, and so forth.
What are
> your thoughts on the specifics of the package you are thinking
about?
>
> Thanks,
> Howard
>
>
> On Sat, Jan 31, 2009 at 5:42 PM, brian_z111 <brian_z111@xxx> wrote:
>
> > > If I am still frustrated with the current crop of BT's, in 6
> > >months,
> > > I might start as an R Project to develop it as an open source
> > > collaborative project.
> >
> > It sure would be a lot of fun breaking the current world speed
> > record, for backtesting, with an open source software package :-)
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,
> > "brian_z111" <brian_z111@> wrote:
> > >
> > > Hello,
> > >
> > > I have started thinking about the design for a MatrixBacktester
and
> > > uploaded my rough notes, as a word file, to the files section of
> > this
> > > board.
> > >
> > > I don't think anything like it is around.
> > >
> > > It would be great of someone (anyone) developed the program.
> > >
> > > Even better if Tomasz put it in AB.
> > >
> > > I don't have any intention to start writing it, at the moment.
> > > I would rather others did it (I don't have the plumbing for
world
> > > class maths/code).
> > >
> > > If I am still frustrated with the current crop of BT's, in 6
> > months,
> > > I might start as an R Project to develop it as an open source
> > > collaborative project.
> > >
> > >
> > >
> > >
> > > The babblers appendix:
> > >
> > > You can access SuperConsciousness, via the subconscious mind
(you
> > > have to go down into the basement and throw all the junk out to
> > find
> > > it).
> > >
> > > When you are working in the subjective mind (right brain?) you
> > can't
> > > pay 100% attention to the objective mind (left brain) e.g. you
> > don't
> > > see exactly what you are typing.
> > >
> > > In the subjective 'world' there is no past or future ;-)
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,
> > "brian_z111" <brian_z111@>
> > > wrote:
> > > >
> > > > I didn't want to bother the forum on this topic again, since
> > there
> > > is
> > > > no discussion forthcoming, but I have since found out that
> > > > multidimensional matrices are real and a standard programming
> > > > procedure.
> > > >
> > > >
> > > > As far as I can tell, they are mainly used for solving complex
> > > > problems .... I believe computational time raises
exponentially
> > as
> > > > more dimensions are added ... I think they would be overkill
for
> > > AFL
> > > > so I am now, more or less, satisfied that cutdown pseudo
matrices
> > > > would be fine for the job.
> > > >
> > > > This would amount to little more than a collection
of 'callable'
> > > > arrays, per system OR subsystem ... they would comprise a much
> > > > smaller sample space than the data itself, as in most cases
they
> > > > would be relatively short vectors .... since array processing
> > would
> > > > still apply I assume that processing could still be very fast
> > once
> > > > they have been created.... so while there is a time penalty
> > > involved
> > > > in their creation there is some time payback to justify the
> > effort
> > > > (the more often the users queries the matrices, to perform
sample
> > > > space analysis, the sooner the payback line is crossed).
> > > >
> > > >
> > > >
> > > > My only interest there now is to speed compare languages, and
> > > > programming methods, for managing the 'matrix' arrays.
> > > >
> > > > I believe that in C++ tensors is one method used ...
essentially
> > > this
> > > > indexes a single array (a N == 1 multi-dimensional matrix) to
> > > produce
> > > > the sub-matrices.
> > > >
> > > > Since this has a time penalty attached the way to go would be
to
> > > > allow users, who don't want to use signal ranking OR sample
space
> > > > analysis etc, to toggle off matrix indexing and simply collate
> > the
> > > > database trades as a single time series.
> > > >
> > > > If any laypeople are interested in getting their head around
the
> > > > subject here are some starter links (not great ones but they
do
> > > > provide some insight into what I am talking about and show how
> > > > simple, and intuitive, the required AFl functions could be):
> > > >
> > > >
> > > > http://en.wikipedia.org/wiki/Matrix_(mathematics)
> > > >
> > > > http://www.absoluteastronomy.com/topics/MATLAB
> > > >
> > > > In both the total trade series OR the subseries, the sequence
of
> > > > trades, as per the time of entry, would need to be preserved
or
> > > > restored (sort, within the matrices,by entry time) for those
who
> > > want
> > > > to replicate the 'real' trading environment.
> > > >
> > > > My questions now are mainly centred around fast ways to rip
the
> > > trade
> > > > series (either as a single array or referenced by symbol for
> > matrix
> > > > use).
> > > >
> > > > So far I have three areas to think about:
> > > >
> > > > a) programmatical - AB uses trade lists, which must have a
> > > > computational cost... I assume this is the current optimal
> > > method ...
> > > > looking around to see what other programmers and other
languages
> > > are
> > > > capable of ... gains here are likely to be relatively small
> > except
> > > > for the fact that I am getting prompted, by my subconscious,
that
> > > > something else is out there or waiting to be discovered.
> > > >
> > > > b) multicore processing - a quantum leap ... no self-
respecting
> > > > backtester would be without it
> > > >
> > > > c) follow DLoyers lead into GPU processing to do the ripping
> > (Very
> > > > neat DL ... you might be the one who finally turned me into a
> > > > programmer after Tomasz kickstarted the job).
> > > >
> > > > While on the subject of MCP ... I came across this article ...
> > > > doesn't have anything to do with the current topic but since I
> > have
> > > > previously posted my 'idea' of giving AB a software 'brain' to
> > > manage
> > > > processing load distribution, for MCP machines (particularly
> > > > considering that AB will ecounter a large variety of MC
configs)
> > I
> > > > thought I would post it as some sort of vindication ... I
always
> > > live
> > > > in hope that I am not nuts afterall ;_)
> > > >
> > > > If you are a mad philospher it always helps to hang out with a
> > > group
> > > > of crazies and then you won't be so conspicuous!
> > > >
> > > > http://www.mc.com/uploadedFiles/MCF-API-Conf-Paper.pdf
> > > >
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>,
> > "brian_z111" <brian_z111@>
> > wrote:
> > > > >
> > > > > > I have been experiencing repeated thougnts about 64 bit
> > > > > >programming,
> > > > > > using tricky methods to store trade data, with minimal
memory
> > > > use,
> > > > > > and 3,4, or more, dimensional matrices
> > > > >
> > > > > Does anyone know where I can find something about minimizing
> > > memory
> > > > > use with data handling and/or programming multidimensional
> > > matrices
> > > > > Or are we still waiting for someone to invent them?
> > > > >
> > > > > Where do the crazy programmers hang out and talk about this
> > stuff?
> > > > >
> > > > > Which language is the best for writing a backtester in?
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>,
> > "brian_z111" <brian_z111@>
> > > wrote:
> > > > > >
> > > > > > IMO backtesters that combine money management, scaling in
and
> > > > > signal
> > > > > > ranking in one step are not using the best, or most
efficient
> > > > > method.
> > > > > >
> > > > > > On the contrary, this approach can muddy the waters and
> > create
> > > > > > confusion for the user, especially new comers.
> > > > > >
> > > > > > It is well known that if piano students do not start by
> > > learning
> > > > > the
> > > > > > correct, albeit funNOT techniques, they will almost
certainly
> > > > never
> > > > > > learn to play at advanced levels.... the end justifies the
> > > means
> > > > > (and
> > > > > > the high attrition rate).
> > > > > >
> > > > > > Collecting all matched buy/sells first is the best
approach
> > (as
> > > > > used
> > > > > > by RalphVince and MSA Analyzer) .... sequential or random
> > > testing
> > > > > of
> > > > > > MM, scaling in, trade sample space analysis and ranking
etc
> > can
> > > > be
> > > > > > performed, as per user requirements, from the trade
matrix,
> > > which
> > > > > > afterall is a constant for any constant set of rules and
data.
> > > > > >
> > > > > > For anyone who is thinking of attempting it privately:
> > > > > >
> > > > > > - the system rules i.e. buy/sell/prices/stops etc (not MM
> > > rules)
> > > > > need
> > > > > > to be saved with the trade matrices
> > > > > >
> > > > > > - when a system is reopened from the historical archive
the
> > > rules
> > > > > > need to be auto restored to the backtester (exactly as per
> > the
> > > > > > original test)
> > > > > >
> > > > > > - versioning would need to be introduced ... if the user
adds
> > > > some
> > > > > > code to the the rules then they need to elect to run it
as a
> > > new
> > > > > sub-
> > > > > > version (save the matrix/rules separately) OR as a new
test
> > > that
> > > > > > overwrites the archived trade matrix.
> > > > > >
> > > > > > - for optimization a user election would save all matrices
> > and
> > > > > rules
> > > > > > as sub-versions
> > > > > >
> > > > > > - scaling in should be treated as a new and different sub-
> > > > > system ....
> > > > > >
> > > > > > system 1 = conditional on the set of rules A
> > > > > > scaling in = system 1.1 = conditional on A then apply
rule B
> > > > > >
> > > > > > .... different combinations of MM rules can then be
tested on
> > > > > system
> > > > > > 1 + system 1.1 versus system 1 OR system 1.1. to find
where
> > the
> > > > > > optimum returns are.
> > > > > >
> > > > > > - ranking signals is a challenge ... my first thoughts are
> > that
> > > > the
> > > > > > ranking indicator would need to be collected with the
trade
> > > > signals
> > > > > > and saved with them.
> > > > > >
> > > > > > The careful reader might have noted that this discussion
is
> > an
> > > > > > extension of the topic SYSTEM PERFORMANCE INDICATORS
where I
> > > came
> > > > > up
> > > > > > against the (wall) limits imposed by computation and
> > AFL .....
> > > > > > ripping the mimimum data (trades only) required for
> > performance
> > > > > > metrics i.e. core metrics, process only the essential
metric
> > > > > > (objective function) and doing it on the fly (cached) for
a
> > > > > reasonale
> > > > > > number of symbols is the challenge.
> > > > > >
> > > > > >
> > > > > > Currently obtaining all matched signals (trades) in AFL
isn't
> > > the
> > > > > > default and perhaps a little difficult to achieve.
> > > > > >
> > > > > > Finding a fast efficient way to do this is the key to the
> > > > challenge.
> > > > > >
> > > > > > From what I can find out from the docs the AB method is to
> > save
> > > > > > trades in a trade list .... I assume this has a time
penalty
> > > > > attached
> > > > > > but in programming alternatives seem few and far
between ???
> > > > > >
> > > > > > My interest now is the relative speed OR otherwise of
> > different
> > > > > > langauges/matrix/array processing when ripping the trade
> > series
> > > > > from
> > > > > > the data followed by the subsequent speed when calculating
> > the
> > > > > > metrics (the bias is on getting the trade matrix though).
> > > > > >
> > > > > > I have been experiencing repeated thougnts about 64 bit
> > > > > programming,
> > > > > > using tricky methods to store trade data, with minimal
memory
> > > > use,
> > > > > > and 3,4, or more, dimensional matrices ... how crazy is
> > > that ...
> > > > I
> > > > > > don't even own a 64 bit compputer and barely know the
first
> > > thing
> > > > > > about computers or programming?
> > > > > >
> > > > > > I don't find AFL a good language to learn programming from
> > (for
> > > > > first
> > > > > > timers like myself) possibly because it has been
simplified
> > and
> > > > > also
> > > > > > because it doesn't have an intimate relationship with the
> > > > computer,
> > > > > > being a sort of second order C++.
> > > > > >
> > > > > > For programming research and education I am looking at
other
> > > > > > languages and open source projects ... so far R Math is
#1 on
> > > my
> > > > > > short list. It only has a small amount of code written for
> > > > trading
> > > > > > but there might be some potential there.
> > > > > >
> > > > > > Plus there is a handful of AB people interested in R and
we
> > > have
> > > > > the
> > > > > > plugin (thanks to Patrick).
> > > > > > At least it gives me a chance to learn something about
wider
> > > > > > programming techniques, including lists and matrices,
(AFL is
> > > > > > reasonably transparent and documented but R language is
much
> > > > richer
> > > > > > and completely transparent and owned by the user which
makes
> > > for
> > > > a
> > > > > > better learning environment).
> > > > > >
> > > > > > What I find out there I could apply to AB via a plugin but
> > that
> > > > > would
> > > > > > mean I would end up only using AB as a data downloader and
> > > > charting
> > > > > > package (more craziness)!
> > > > > >
> > > > > > I am not likely to publish anything for a while, if at
all,
> > > > unless
> > > > > I
> > > > > > get real excited about it.... one can always rely on
> > the 'good
> > > ol
> > > > > > workaround'!
> > > > > >
> > > > > > Lucky for AB I don't pay a programmer to write the AB
plugin,
> > > > > > commercialise it and copyright the code ;-)
> > > > > >
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>,
> > "brian_z111" <brian_z111@>
> > > > wrote:
> > > > > > >
> > > > > > > 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 <amibroker%
40yahoogroups.com>,
> > "brian_z111"
> > <brian_z111@>
> > > > > 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 <amibroker%
40yahoogroups.com>,
> > "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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