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Following recent discussions on benchmarking and using rule based systems to engineer returns to meet 'clients' profiles i.e.Samantha's MA(C,10) example, I did some follow up R&D with the intent of expanding the examination a little further via a zboard post.
I may, or may not, get around to that so in the meantime I decided I would share a couple of things while they are still topical.
I made up some quick and dirty randomly generated eq curves so that I could optimise MA(C,10) on them (out of curiosity).
Also, out of curiosity, I decided to see how the example signal/filter code that I made up, as the study piece for Yofas topic on benchmarking, would actually perform.
Buy = Ref(ROC(MA(C,1),1),-1) < 0 AND ROC(MA(C,1),1) > 0 AND ROC(MA(C,10),1) > 0;
Sell = Cross(MA(C,10),C);//no thought went into this exit and I haven't tried any optimization of the entry or the exit
By chance I noticed that it outperformed on one or two of the constituents of the ^DJI (Yahoo data ... 2005 to 2009) and to the naked eye the constituents all seem to be correlated to a fair extent over that time range.
Also, to the naked eye, it outperforms on randomly generated stock prices around 50% of the time and the outperformnce doesn't appear to be correlated to the underlying(I haven't attempted to find an explanation for this).
Here is the code I used to make up some randomly generated 'stocks'.
As we would expect it produces, say, 100 price series with a concatenated mean of around zero (W/L = 1 and PayoffRatio == 1) etc.
When plotted at the same time ... individual price series are dispersed around the mean in a 'probability cone' ... in this case it is a relatively tight cone because the method doesn't introduce a lot of volatility to the series.
/*P_RandomEquity*/
//Use as a Scan to create PseudoRandom Equity curves
//Current symbol, All quotations in AA, select basetimeframe in AA Settings
//It will also create the curves if used as an indicator (add the appropriate flag to ATC)
// but this is NOT recommended as it will recalculate them on every refresh.
//Indicator mode is good for viewing recalculated curves (click in whitespace)
//CommentOut the Scan code before using the indicator code.
//Don't use a very large N or it will freeze up indicator scrolling etc
n = 100;//manually input desired number - used in Scan AND Indicator mode
///SCAN///////////////////////////////////////////////////////////////////
Buy=Sell=0;
for( i = 1; i < n; i++ )
{
VarSet( "D"+i, 100 * exp( Cum(log(1 + (Random() - 0.5)/100)) ) );
AddToComposite(VarGet( "D"+i ),"~Random" + i,"X",1|2|128);
//Plot( VarGet( "D"+i ), "D"+i, 1,1 );
//PlotForeign("~Random" + i,"Random" + 1,1,1);
}
/*
////PLOT/////////////////////////////////////////////////////
//use the same number setting as for the Scan
for( i = 1; i < n; i++ )
{
PlotForeign("~Random" + i,"Random" + i,1,1);
}
////OPTIMIZE///////////////////////////////////////////////////////////
//use the filter to run on Group253 OR add ~Random + i PseudoTickers to a Watchlist and define by AA filter
//fast = Optimize( "MA Fast", 1, 1, 10, 1 );
//slow = Optimize("MA Slow", 4, 4, 20, 1 );
//PositionSize = -100/P;
//Buy = Cross(MA(C,fast),MA(C,slow));
//Sell = Cross(MA(C,slow),MA(C,fast));
//Short = Sell;
//Cover = Buy;
I also stumbled on this, which seems to have some relevance:
http://www.scribd.com/doc/6737301/Trading-eBookCan-Technical-Analysis-Still-Beat-Random-Systems
It contains a link to a site that has a free download of some RNG produced datasets.
There hasn't been much discussion on using synthetic data in the forum ... Patrick recommended it for testing? OR benchmarking? ... Fred is against using it ("If we knew enough about the characteristics of the data, in the first place, to be able to create synthetic data then we would know enough to design trading systems to exploit the data's profile anyway", OR something like that).
I was titillated enough by my first excursion into benchmarking with synthetic data to bring me back for some more.
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