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Howard,
FYI
If you do look at my notes you will notice that I started to 'talk'
about a quick and dirty MCS method.
Your MCS chapter in QTS is the place where I referenced detail re the
use of Random() in trading .... there isn't much to go on, in the
trading community, for 'traders' who want to use MSC ... comment is
either confined to academic circles, or discussed in academic terms,
OR it is little more than spin published by commercial interests
(Compuvision - TradeSim, MSA).
As per your comments in your book, there is a need to randomly sample
trade series to produce a psuedo distribution, when the trade series
doesn't have a defined distribution, let alone a normal one.
The basic approch, I am considering, is to scale random() ... if
there are 30 datapoints in my trade sample the scale applied per
random selection == random() range/30 == (0 to 0.9999999)/30 == 0.03
repeat per point.
So, I can pick one of those samples, out of the bin, by saying:
If random() >= 0 and < 0.03, [i] == 1; etc for the remaining 29
possible picks.
(excuse my pseuodcode .... I am not a programmer so I tend to speak
pidgin programming until the software forces me to get it right).
This is easier for me .... I don't have to worry about producing the
CFD and, in the privacy of my own home, I am not worried about the
small error introduced by scaling OR random generator performance
differences.
Lets face it .... in my trading barque I am continually getting
buffetted around by the storms of non-stationarity.
Why worry about the odd cup of water coming over the bow when I am
nearly drowning in variance and lost because of poor navigational
skills?
Different story if I published formally!
Questions?
What mechanism do you intend to use to get your trades from AB into
your DLL?
- are you going to use closed or open trades?
- are you going to use all trades i.e. without the BT filtering them
for available funds etc?
(I like to use all trades because it approaches my chosen N with the
minimal use of my precious data).
That is the part that I find interesting.
Possibly it can be done via the CBT but I just don't like it .. it
isn't intuitive to me..... it couldn't possibly be fast could it?
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Whoops.
>
> My notes are in the file MatrixBacktester.
>
> Basically I am 60-70% to use AB workarounds, to do what I want, and
> the balance is towards moving to RMath and writing my own BT (it's
> crazy I know because I have a string of important work, a mile
long,
> waiting for me already).
>
> The problem for me is that I need to replicate the front end of a
BT
> to get around AB's one size fits all approach and I don
> t need AB's back end at all.
>
> If I hack up the front end and write my own back end I might as
well
> just start from scratch myself.
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > 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@> 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@> 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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