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Howard,
Thanks for the confirmation. I was particularly hoping to see a Part II to your workshop, with an emphasis on validation and implementations of money management.
It seams to me that there is very little information available with respect to *portfolio* validation, as opposed to single symbol validation.
Pardo offers his portfolio walk forward efficiency measure. But, it does not differentiate between strategy results and prevailing market trend.
Aronson offers his de-trended market to separate strategy from trend. But, he offers no suggestion on how to apply it to a portfolio. Must we de-trend each symbol's history upon which to apply the respective signals? Or, do we construct a single aggregate history upon which to apply all signals?
Your own text suggests a runs test. But, how does a runs test work against a portfolio EOD strategy with multiple trades on the Open for a given bar? Sequence is everything when doing a runs test. Yet, 3 trades on a single bar might be listed as win, loss, win vs. win, win, loss vs. ... all of which have an impact on the runs analysis.
And yes, I too would be in favor of a dedicated AmiBroker conference.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> Greetings all --
>
> I have been a speaker at two of the most recent conferences. I spoke with
> Richard Boroff a few days ago. He has no plans for AmiBroker Conferences
> this year. He might be open to organizing a conference next year, but
> nothing definite is in the works.
>
> Some of the past conferences have had presentations for both AmiBroker and
> FastTrack. In discussing how the recent conferences went, some of the
> speakers felt that AmiBroker should have its own conference, and FastTrack
> its own. I am in agreement with that. Richard said that he would probably
> not organize any more FastTrack conferences.
>
>
>
> Thanks,
> Howard
>
> On Thu, Mar 5, 2009 at 11:50 AM, Mike <sfclimbers@xxx> wrote:
>
> > That's too bad. Last year was my first conference. I had been looking
> > forward to another this year. Perhaps Richard will find the time to put
> > togeather another later in the year, assuming there are any survivors left
> > to attend! One can always hope...
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>, "Tomasz
> > Janeczko" <groups@> wrote:
> > >
> > > Steve, You are welcome.
> > >
> > > As for the conference - in the past years it was organized by FT Monitor,
> > not me, so I am not authoritative source
> > > of information, but I don't think there will be FTMonitor/AB conference
> > this year.
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > > ----- Original Message -----
> > > From: Steve Dugas
> > > To: amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>
> > > Sent: Thursday, March 05, 2009 1:48 AM
> > > Subject: Re: [amibroker] AmiBroker 5.23.0 BETA released
> > >
> > >
> > > Hi TJ - Haven't had a chance to try the new column features yet but just
> > wanted to say "thank you", it looks like a great solution that you
> > implemented !!
> > >
> > > BTW ( for anyone who might know ), is there going to be an AB conference
> > this year? I thought it was usually in Feb but Feb is gone now and haven't
> > seen any mention of it. Thanks!
> > >
> > > Steve
> > > ----- Original Message -----
> > > From: Tomasz Janeczko
> > > To: amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>
> > > Sent: Wednesday, March 04, 2009 12:42 PM
> > > Subject: Re: [amibroker] AmiBroker 5.23.0 BETA released
> > >
> > >
> > > Hello,
> > >
> > > Yes it is intended. Optimization params are not built-in columns.
> > > They are USER-defined columns that vary from optimization to optimization
> > (because number
> > > of params does change).
> > >
> > > Read Me says:
> > >
> > > "Storing column state [ ... ] The widths, ordering and visibility of all
> > built-in columns in automatic-analysis is stored between runs."
> > >
> > >
> > > BUT THEN...
> > >
> > > "AFL: SetOption("ExtraColumnsLocation", col) - this new option allows the
> > user to change the location of custom columns added during
> > backtest/optimization
> > >
> > > "extra" columns mean:
> > > a) any custom metrics added using custom backtester
> > > b) any optimization parameters defined using Optimize() function
> > >
> > > If both custom metrics and optimization parameters are present then
> > > custom metrics appear first then optimization parameters
> > >
> > > This function is provided to allow the user to change the default "at the
> > end" location of custom columns/optimization parameters.
> > > For example
> > >
> > > SetOption("ExtraColumnsLocation", 1 );
> > >
> > > will cause that custom metrics and opt params will be subsequently added
> > starting from column 1 (as opposed to last column default)
> > >
> > > Note that this setting changes "visual" order of columns, not really
> > in-memory order or export order, so
> > > exported data files or copy/paste format do not change."
> > >
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > > ----- Original Message -----
> > > From: David Fitch
> > > To: amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>
> > > Sent: Wednesday, March 04, 2009 4:50 PM
> > > Subject: Re: [amibroker] AmiBroker 5.23.0 BETA released
> > >
> > >
> > > In AA Optimization Mode the parameters being optimized will not stay in
> > position set in Column Setup. For example, moving the parms to say the first
> > columns and then running the same optimization (full optimization) results
> > in the parms columns being repositioned to default position at end of
> > window.
> > > Is this as intended ?
> > > Thanks
> > > Dave
> > >
> > >
> > > ----- Original Message -----
> > > From: Tomasz Janeczko
> > > To: amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>
> > > Sent: Wednesday, March 04, 2009 4:34 AM
> > > Subject: [amibroker] AmiBroker 5.23.0 BETA released
> > >
> > >
> > >
> > > Hello,
> > >
> > > AmiBroker 5.23.0 BETA released
> > > http://www.amibroker.com/devlog/2009/03/04/amibroker-5230-beta-released/
> > >
> > > CHANGES AS compared to 5.22.0
> > > - Font used by progress window, string input, tip of the day, search file
> > is now "MS Shell Dlg" (the same as elsewhere in AB) that means that is
> > CoolType friendly (TTF)
> > > - AFL: SetOption("ExtraColumnsLocation", col) - this new option allows
> > the user to change the location of custom columns added during
> > backtest/optimization
> > > - Implemented hiding columns in all list views (right click over list
> > view HEADER to bring "Setup Columns" dialog)
> > > - Storing column state (widths/ordering/visibility) in automatic analysis
> > implemented
> > > - Data Window implemented (available from View->Data Window menu)
> > > - Home key was working incorrectly when more than one pane was used in
> > the chart. Fixed
> > > - Implemented simple performance monitor Tools->Performance Monitor
> > > - Time&Sales window now shows some "recent statistics" regarding trading
> > >
> > > Among other things you can now hide selected columns in all list-views,
> > > by clicking with right mouse button over list-view header and choosing
> > "Column Setup".
> > > In the setup dialog you can uncheck any column to hide it.
> > >
> > >
> > >
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > >
> >
> >
> >
>
------------------------------------
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