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"Bengtsson, Mats" wrote:
> > In the description given in Colby and Meyers' book, the
> > author used a technique he called "variance reduction" to
> > determine significance. I could never decipher what the hell
> > he was talking about though.
>
> I will settle for Sharpe and Kelly. Like them as a good combination.
>
> > This technique can be programmed in EL. You simply program it
> > as a "system" which allows multiple passes thru the data
> > during an optimization.
>
> Could you elaborate on that a little? Are you saying samething like making
> an exit that simulates exiting 3,5,7,10,15 days, delivering statistics for
> the average sharpe for all of those trades when run is done? And at the same
> time getting it to run over the universe of stocks with the output at end? I
> thought that would be close to impossible in Tradestation.
>
Sure. You don't need an "exit" per se... just calculate returns for 3,5,7,... day periods. Do this for each bar. These are the naive returns.
When CurrentBar = 15, start calculating:
Return = log(C/C[3]); {this gives the future 3 day log return from the perspective of BarNumber 12}
SumReturn = SumReturn + Return;
{gather number for your favorite statistics in here }
You're also checking to see if a system entry is signalled. If so, you 'll have to keep track of that so you can calc the signal returns;
If EntrySignal[3] is True then
SignalRetun = Return;
SumSignalReturn = SumSignalReturn + Return
{gather stats for the signal returns}
On LastCalcDate, calculate the total returns
TotalReturn = 10^SumReturn - 1;
TotalSignalReturn = 10^SumSignalREturn - 1;
{output data/stats to file using fileappend}
Since you need to use the optimizing abilities in TS, you'll need some bogus entry/exit signals:
Buy when C < 0;
Sell when C > 100000;
Add logic to the front of the code to use the optimizer:
If Input1 = 1 then ReturnLen = 3;
If input2 = 2 then ReturnLen = 5;
etc...
You can generate all the returns/stats on one tradable within the capabilities of TS 4. What can't be done w/o some kind of macro or addon, is the optimization thru your universe of tradables.
Bill
>
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