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Joe,
Thanks for the URL to Trading Recipes (TR). The web site
looks very interesting. I did go through the demo
(actually a slide show) and it seems to confirm the
user testimonies about its straightforward "Trader-Basic"
programming language, its usefulness for testing various
position-sizing methods (ie money management/risk
management), and its very primitive graphics. If it was
not so pricey ($2,295) I taken it home for a live test
run. Without actually trying the live program I came
away with a few tentative conclusions about TR.
1. TR seems to have been originally developed for trading
futures contracts (and it comes with some data for
commodity prices). Only one or two user testimonies
speak of using it with stocks. My guess is it will have
adequate speed for testing a couple dozen items (ie,
commodity futures), but it might not have the speed to
scan and test 100s and 1,000s of stocks -- a task AB does
so well with its lightening speed.
2. TR's focus is the portfolio and that appears to be its
strenth. It thus comes from a very different perspective
than most other stock programs which usually
start from a charting foundation and add on extras
desired by users. Given its portfolio orientation, TR can
be set to stop initiating new trades once a portion of your
capital is committed. This limit can be set at say 50% for
the entire portfolio with lower exposure limits for
various "markets" (remember its origin in futures trading).
I could how this would make testing much closer to the real
world of trading: if I would never put more than 50% of my
money into one sector such as tech at one time, TR would let
my backtesting confirm to my real world limits. I also like
TR's built in "Worse Case" feature that tries to "break"
trading methods being tested. It asks and helps to answer the
question, what if I were to begin trading this method at
what the future will show to be the worse possible time? If
a method can not survive this stress test the method has
likely been "over" optimized. TR does not have a lot of
features -- AB already has more than TR and TR has been
around for a decade -- but TR's money management features
seem outstanding.
3. My guess is that the inner guts of the program's code
is fairly straightforward, even simple. TR does not have
fancy code for charting, multiple windows, studies, etc. It
is a single purpose program and judging from the credits
page it is written in BASIC. However, even if TR is
relatively simple internally, it does not follow that
it would be a simple task to add its money management features
to a program like AB which is optimized for lightening
fast charting and backtesting of large groups of stocks.
It appears, although live tests would be needed to comfirm,
TR would work forward a date at a time for all the stocks and
commodities in its universe. Thus it could be a major project to
implement TR's portfolio risk management in AB. Again, I should
emphasis this is largely a guess on my part.
So, Joe, I agree that TR would make a good standard to
aim for when designing money management/risk management
featyres for AB, but the required coding could be a much
larger challenge than we might first think. Tomasz is
certainly a wonder working, but building wonders takes time.
b
--- In amibroker@xxxx, tfm@xxxx wrote:
> RINA System's junk is not the one to beat, it is Trading Recipes.
> http://www.tradingrecipes.com/
> Joe
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