|
PureBytes Links
Trading Reference Links
|
> There are a variety of methods that can be used for ranking that help
> to pick the more likely "winners" as it were depending on how one
> defines winners.
How many ways are there to define winners? My definition is pretty
simple... a 'winner' puts profits in my account. And a 'loser' takes
money from my account.
> This might take the form of highest CAR with lowest
> MDD's or lowest UI during the time of previous in the market
> signals. There are several formulae for that can be used including
> AccuTrack, NCAlpha and others which would be well known to the
> FastTracker's who could probably explain them and their uses better
> than I.
>Fred,
I'm sorry Fred... I don't get it! Where it concerns backtesting, a
winner is a winner, is a winner... and a loser... is a loser... Simply
put... I don't get what the heck are you talking about? But then I
admit to often times missing the obvious.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> There are a variety of methods that can be used for ranking that help
> to pick the more likely "winners" as it were depending on how one
> defines winners. This might take the form of highest CAR with lowest
> MDD's or lowest UI during the time of previous in the market
> signals. There are several formulae for that can be used including
> AccuTrack, NCAlpha and others which would be well known to the
> FastTracker's who could probably explain them and their uses better
> than I.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > What methods of ranking would you try? Have you played with this
> any?
> >
> > d
> >
> > -----Original Message-----
> > From: Fred [mailto:fctonetti@x...]
> > Sent: Tuesday, April 22, 2003 12:54 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: TradeIt
> >
> >
> > Sid,
> >
> > The initial problem with trying to process Equity() for a portfolio
> > model today is that AB does not limit one to being 100% invested so
> > for example if one has $1mm in Equity and is doing trades of $100K
> > each, if AB finds 50 trades that it can take today, it will take
> them
> > all regardless of what is checked or not in the options. This of
> > course would make one 500% invested so as a result there's no good
> > way to analyze the equity curve. Beyond that of course to do real
> > portfolio analysis and trading one should have the capability to
> rank
> > issues via some algorithm and then trade those at any given point
> in
> > time from the top of the list down until one is either fully
> invested
> > or drops below some criteria etc.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser <s9kaiser@xxxx>
> wrote:
> > > At 08:26 AM 04/19/2003 -0700, you wrote:
> > >
> > > >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.
> > >
> > >
> > > ---
> > > Outgoing mail is certified Virus Free.
> > > Checked by AVG anti-virus system (http://www.grisoft.com).
> > > Version: 6.0.471 / Virus Database: 269 - Release Date: 04/10/2003
> >
> >
> >
> > Yahoo! Groups Sponsor
> >
> >
> >
> >
> <http://rd.yahoo.com/M=247865.3003379.4507215.1728375/D=egroupweb/S=17
> 05
> > 632198:HM/A=1482387/R=0/*http://ads.x10.com/?
> bHlhaG9vaG0xLmRhd=105103042
> > 1%
> 3eM=247865.3003379.4507215.1728375/D=egroupweb/S=1705632198:HM/A=14823
> > 87/R=1=1051030421%
> 3eM=247865.3003379.4507215.1728375/D=egroupweb/S=17056
> > 32198:HM/A=1482387/R=2>
> >
> > <http://us.adserver.yahoo.com/l?
> M=247865.3003379.4507215.1728375/D=egrou
> > pmail/S=:HM/A=1482387/rand=972414734>
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service
> > <http://docs.yahoo.com/info/terms/> .
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Make Money Online Auctions! Make $500.00 or We Will Give You Thirty Dollars for Trying!
http://us.click.yahoo.com/yMx78A/fNtFAA/AG3JAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|