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Hello,
I don't think that "forward cheating" is good idea when working with systems at all,
but as far as "larger number of trades" is considered, that is handled by backtestRegularRawMulti
(SetBacktestMode function)
mode of portfolio backtester. It does not match buy with sells therefore multiple buys in a row
generate multiple trades/multiple positions on very same ticker simultaneously.
Literally every scenario is realisable with current backtester with more or less coding.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "brian_z111" <brian_z111@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, July 11, 2009 5:09 AM
Subject: [amibroker] Re: Multiple Strategy System
> Tomasz,
>
> Re The Matrix Backtester versus AB's "Old Backtester"
>
>
> I don't think the old version of AB's BT does the same thing as my template (on an apples for apples comparison).
>
> When I run the "Old Backtester" on my test data it returns the same number of trades as the "Individual Backtest" BT version,
> whereas in my version I get a larger number of trades (because my look forward 'cheating' counts any trades that occur while I am
> theoretically already in a trade).
>
> Anyway, I won't report back on blow by blow comparisons, or cross comparisons with any of AB's Backtesters..... I am just sharing
> some ideas and some code ... anyone who is interested can so their own thinking and perform their own checks.
>
> Collecting all of the trades, on a symbol by symbol basis (a TradeMatrix), is not The Matrix Backtester or even a Matrix
> Backtester ... it is only a pre-requisite i.e. the input that a MB requires.
>
> The Trade Matrix (still the same whatever it is called) can also be used for other analyses, besides Protfolio Modeling, within or
> without AB.
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>>
>> Tomasz,
>>
>> Thanks.
>>
>> I hadn't noticed that.... I will have a close look at what you did there (of course I am learning from your examples and
>> benchmarking against them, as the starting point).
>>
>> It is still good training..... also I want to extend it further so I need to walk through it from the ground up plus have control
>> of everything as I go along.
>>
>> In the end, if the old Backtester does everything I want, then it will be easier for me to use that, rather than maintain my own
>> code.
>>
>>
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> wrote:
>> >
>> > Brian,
>> >
>> > >>whereas AB's default BT is limited to reporting on a % of all trades.
>> >
>> > Not true.
>> > What you are trying with your "dream matrix backtester" seems to be actually
>> > what so called "old backtester" did 10+ years ago.
>> >
>> > The old backtester simply took all trades regardless of portfolio limitations
>> > (virtually traded each symbol in its seprate virtual account).
>> >
>> > Old backtester is still accessible usign drop down arrow on the "Backtest"
>> > and "Optimize" buttons in the AA window.
>> >
>> > Best regards,
>> > Tomasz Janeczko
>> > amibroker.com
>> > ----- Original Message -----
>> > From: "brian_z111" <brian_z111@>
>> > To: <amibroker@xxxxxxxxxxxxxxx>
>> > Sent: Saturday, July 11, 2009 3:14 AM
>> > Subject: [amibroker] Re: Multiple Strategy System
>> >
>> >
>> > > Dave, Sanjay, interested parties.
>> > >
>> > > Dave,
>> > >
>> > > Looks like you are a happy camper with your new gear.
>> > > This post is not specifically for you ... I put it here because it is topical to the subject and some other recent posts:
>> > >
>> > > - it uses a cheats version of recursive formulation (equivalent to Metastocks PREV in this example)
>> > > - it creates CSV files, (potentially) of all system signals as trades (expressed as GrowthFactor) .... suitable for exporting
>> > > to
>> > > software for external analysis of systems, mutiple systems and portfolio analysis
>> > > - potentially it can be used for the same, within AB.
>> > >
>> > > Sanjay,
>> > >
>> > > The code has a few different possibilities, depending on what code is active or commented out and where it is used.
>> > > ProfitStops%
>> > > with StopLoss% make a very good tool for studying and testing the basics of using stops in general (maybe I will elaborate at
>> > > the
>> > > zboard, in the future, but time is always limited).
>> > >
>> > > The file is only intended as a template that can be used as the basis for extending into other stop types and on towards
>> > > advanced
>> > > analysis.
>> > > It is a transparent version of what is happening in AB'S Backtester except that it does not involve Money Management and
>> > > potentially it can collect all trades, whereas AB's default BT is limited to reporting on a % of all trades.
>> > > I think it can also report on intraday trade returns if necessary.
>> > >
>> > > Scroll down to find the AFL file B_TestMultiSignals_ABVersion.txt at this site:
>> > >
>> > > http://zboard.wordpress.com/downloads/
>> > >
>> > > The MatrixBacktester is a big dream.
>> > > Big dreams necessarily have to start with a first limited step.
>> > >
>> > > "It must be considered that there is nothing more difficult to carry out nor more doubtful of success nor more dangerous to
>> > > handle
>> > > than to initiate a new order of things; for the reformer has enemies in all those who profit by the old order, and only
>> > > lukewarm
>> > > defenders in all those who would profit by the new order; this lukewarmness arising partly from the incredulity of mankind
>> > > who
>> > > does not truly believe in anything new until they actually have experience of it".
>> > >
>> > >
>> > > Machiavelli
>> > >
>> > >
>> > >
>> > > KEYWORDS
>> > >
>> > > MATRIX BACKTESTER
>> > > SIMULTANEOUS TRADES
>> > > TRADE SERIES
>> > > TRADE RETURNS
>> > > EQUITY CURVE ANALYSIS
>> > > TRADE DEPENDENCY
>> > > MULTIPLE SYSTEM ANALYSIS
>> > > INTRA DATABASE ANALYSIS
>> > > TRADE SERIES VARIANCE
>> > > CORE METRIC EVALUATION
>> > >
>> > > --- In amibroker@xxxxxxxxxxxxxxx, "dbwyatt_1999" <dbw451@> wrote:
>> > >>
>> > >> A little advice for anyone in the future that decides to duplicate symbols as a way to back-test multiple systems; make sure
>> > >> you
>> > >> set the "Max. Open Positions" in the back-tester settings (Portfolio tab) to a number large enough to accommodate all the
>> > >> duplicated symbols (e.g # systems times # symbols). Duh..., I've wasted more hours than I care to admit trying to figure
>> > >> out why
>> > >> my combined systems produced output significantly different than what I would expect based on the individual systems.
>> > >>
>> > >> Regards,
>> > >>
>> > >> David
>> > >>
>> > >>
>> > >> --- In amibroker@xxxxxxxxxxxxxxx, "dbwyatt_1999" <dbw451@> wrote:
>> > >> >
>> > >> > Brian,
>> > >> >
>> > >> > I've done a some prototyping of the duplicating symbol process for running multiple strategies. It turns out, as Angelo
>> > >> > pointed out in an earlier post, that duplicating and renaming exported symbol text files for import is not much of an
>> > >> > issue.
>> > >> > I've found several programs that can rename all the files at one time (much like I could do using wild chars in DOS 20
>> > >> > years
>> > >> > ago...). Importing the symbols back into AB is also fairly easy because multiple import files can be specified at once.
>> > >> > Thus,
>> > >> > the most time consuming task is the manual entering the symbol information like margin, tick size, and point value since
>> > >> > unlike
>> > >> > stocks, with futures most of the symbols have different values. I'm not going to dwell on how best to duplicate symbols
>> > >> > too
>> > >> > much because it's generally a do once process. By the time I can automate the process, I can probably do it manually.
>> > >> >
>> > >> > BTW, I'm still verifying the idea of combining multiple systems using duplicate symbols. I'm testing it with 2 systems
>> > >> > and so
>> > >> > far the results appear to be correct.
>> > >> >
>> > >> > Regards,
>> > >> >
>> > >> > David
>> > >> >
>> > >> >
>> > >>
>> > >
>> > >
>> > >
>> > >
>> > > ------------------------------------
>> > >
>> > > **** 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.
>
> 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.
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:
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