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>While we wait for TJ to design and code some portfolio testing capability
>for AB, has anyone tried some of the alternatives such as TradeIt?
>
>Chris Kryza wrote TradeIt as a post processor for AIQ trades two or three
>years ago and I used it a few times back then. It accepts trade data in
>CSV form so the thought occurred to me that it might be possible to export
>AB backtest data and run TradeIt on that data.
>
>Before I spend a bunch of time trying to get it to work I would like to
>know if someone has already looked at using TradeIt with AB trade
>data. If so:
>
>1. did it work
>
>2. how difficult was it to adapt it
>
>3. were the results worth the effort involved
TradeIT is not the worlds greatest portfolio trader, just an available
example that had possibilities for adaptation to AA output.
I dug into the adaptation issue some this weekend. The output from AA
backtest can be rearranged to fit the input fields of TradeIT with some
help from an intermediate modification in Excel. Unfortunately there is
one problem I have not been able to overcome. There is no information
available from AA about price or equity movement between trades. This
information is essential to creating a comprehensive report from
TradeIT. (see TradeIT sample file for data input fields)
I believe Fred Tonetti also mentioned this as serious deficiency in one of
his previous posts about the limitations of what he can calculate in his
expanded equity indicator. You can't get there from here with the present
information coming out of AA.
As a side issue, I am reminded once again that I want to be able to specify
additional calculated columns in AA backtest display. For example, I might
want to include MAR = CAR/MDD as a column or ( more complicated ) include
data on max or min excursions of various data columns as part of my AA
results. It would also be helpful to be able to specify which data columns
are displayed and specify their display order. Finally, being able to
optimize based on something like UPI or MAR would save me time and improve
optimization results by offering alternatives to only optimizing on max profit.
Comments?
Sid
At this point I guess the best we can hope for is to get TJ to read the
TradeIT documentation for ideas on features to incorporate in his proposed
portfolio tester.
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