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[amibroker] Re: testing multiple systems simultaneously



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Howard,
I saw your post and thank you for participating in this discussion.  I am eagerly awaiting your new book. Please let me know when it is available for pre-sale!

All three of the systems I currently trade were developed as stand-alone systems (on a different platform) and I have been trading all three for a couple of years now (with constant tinkering).  2 of the 3 were profitable in '08 and the 3rd was down only about 6%.  The long/short index system had a record year last year at 77% although it is under-performing thus far this year.  

This approach has given me an average CAGR of slightly over 30% for the past 3 years since I gave up discretionary trading.  I am sure most people here pull down numbers way better than that but my only point is that this passed the point of being an academic exercise for me a couple of years ago.  

I am however an extremely conservative trader with very specific rules for how I position size.  I went into it a little bit here...

http://finance.groups.yahoo.com/group/amibroker/message/138123

but the goal of this thread was to find a way to exploit my real-time observations regarding lower account drawdowns when trading multiple strategies than what I would have experienced if traded them independently.  Most of my opinions on this are admittedly 100% anecdotal but they are at least based on my real-time observations with capital at-risk. 

I am sure there are probably better or more academically sound ways of doing this but my own personal preference is to develop the systems independently using whatever criteria I deem important and the only optimizations done at the multi-system level would be the tweaking of position size to allow me to trade each a bit more aggressively while staying below my pain threshold.

Thanks again for your participation and I am eager to follow the development of this topic and your new book.

regards.







 






--- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> Hi bh --
> 
> It was suggestions such as the one you made earlier in this thread that
> prompted me to write the posting on portfolio construction.
> 
> You wrote:
> "---------------------------
> Out of curiosity ... are you finding it easy to come up with noncorrelated
> systems?
> 
> Perhaps not "easy" but possible. Without going into too many details, the 3
> systems I currently trade do the following.
> 
> System A - a long/short mean-reversion system that trades the S&P (ES or
> SPY) using short-term overbought/oversold levels. Average hold time is 3-5
> days, buys and sells the close.
> 
> System B - a long only mean-reversion system that trades the entire stock
> market universe with a minimum price and liquidity requirements. It
> essentially buys short-term weakness on longer-term high relative strength
> stocks. Average hold time is 3-5 days, buys and sells the open.
> 
> System C - a short only system that trades the entire stock market universe
> with a minimum price and liquidity requirements. I am very protective of
> this one because a short-only system that has an edge over the past 20 years
> through any market climate is rare but this system buys the open and sells
> the close of the same day.
> 
> I need a longer-term system (2-3 week hold times) that buys strength rather
> than weakness to try and fill in the under-performance gaps during
> significant market rallies like what we are having now. I have found this
> extremely challenging to do quantitatively.
> ----------------------"
> 
> The intent of my posting was to point out that there are several complex
> issues that should be considered when creating a portfolio of trading
> systems.
> 
> They begin with analysis of the individual systems, asking questions such
> as:
> 
> What are the optimum lengths of the in-sample periods for the three systems
> you are describing?
> Will the portfolio be created (the portfolio weights determined, and so
> forth) by re-selecting the parameter values for those systems as part of a
> portfolio?
> Or, by using the trade results that were obtained by running each
> separately?
> Are the results that were obtained by running each separately in-sample or
> out-of-sample?
> And so forth.
> 
> Best wishes on the project (no sarcasm intended) -- let us all know how it
> turns out.
> 
> Thanks,
> Howard
> 
> 
> On Sat, May 9, 2009 at 12:53 PM, bh.hicks <bh.hicks@xxx> wrote:
> 
> >
> >
> > Graham,
> > Let me think about specifically what my needs are regarding this over the
> > next few weeks and I may contact you. I am a little reluctant to pursue a
> > "custom" solution as I think there are others on this board way more capable
> > of designing a better and more robust solution than I but it may make sense.
> > Thank you.
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>, Graham
> > <kavemanperth@> wrote:
> > >
> > > It is possible to do, you just need to write this into the advanced
> > > backtest coding, low level coding is advisable. Takes a bit of work
> > > and ability to balance balls like a juggler.
> > >
> > > --
> > > Cheers
> > > Graham Kav
> > > AFL Writing Service
> > > http://www.aflwriting.com
> > >
> > >
> > >
> > > 2009/5/6 bh.hicks <bh.hicks@>:
> > > > Ang,
> > > > Ah yes, I had gathered as much but thank you for your candor.  I have
> > owned AB for over a year now but have just recently began using it for more
> > than a general market scanner due to some limitations I ran into with
> > Traders Studio and a general frustration with the development cycle on that
> > platform.  Other than a few issues I have run into (like this one), I have
> > been very pleased with AB and also see myself moving away from Traders
> > Studio for 'most' things.
> > > >
> > > > This would certainly be an amazing addition to AB.  Of course, the
> > feature would probably be lost on 90% of users so I understand the
> > reluctance to go down that path but I would certainly be willing to pay as
> > much if not more than I paid for AB itself for a robust plugin that was able
> > to do this well.  I suspect many others would as well.
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,
> > "ang_60" <ima_cons@> wrote:
> > > >>
> > > >> --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,
> > "bh.hicks" <bh.hicks@> wrote:
> > > >> >
> > > >> > I am basically looking for a way to have AmiBroker run multiple
> > systems concurrently in order to examine how trading multiple non-correlated
> > strategies affect drawdowns.
> > > >>
> > > >>
> > > >> As you are migrating from another software I happen to know a bit, the
> > short answer: as of today, Amibroker is not capable of "built in multiple
> > systems testing" as TraderStudio's trading plan approach.
> > > >>
> > > >> This matter was raised long ago by myself and others: if you are a
> > registered user, you can check suggestion #406 in the feedback center, dated
> > 16 August 2006.
> > > >>
> > > >> In this list you can find very good programmers, claiming they are
> > able to get the multisystem/multimarket approach to work programming it by
> > scratch, but - to my knowledge - I've never seen a public (that is.... free)
> > code able to do what I think is needed (and that's includes the two links
> > provided in this discussion).
> > > >>
> > > >> Just for clarity, this doesn't want to sound as a critic: I own
> > TraderStudio too, but by now the software I most use for testing is - by far
> > - Amibroker.
> > > >>
> > > >
> > > >
> > > >
> > > >
> > > > ------------------------------------
> > > >
> > > > **** IMPORTANT PLEASE READ ****
> > > > This group is for the discussion between users only.
> > > > This is *NOT* technical support channel.
> > > >
> > > > TO GET TECHNICAL SUPPORT send an e-mail directly to
> > > > SUPPORT {at} amibroker.com
> > > >
> > > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> > > > http://www.amibroker.com/feedback/
> > > > (submissions sent via other channels won't be considered)
> > > >
> > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > > > http://www.amibroker.com/devlog/
> > > >
> > > > Yahoo! Groups Links
> > > >
> > > >
> > > >
> > > >
> > >
> >
> >  
> >
>




------------------------------------

**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

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