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What
Fred is talking about is how to figure out what trades to take if you have more
potential trades than you have captial. You say winners are winners but
are some winners better than others? If you're going to invest your hard
earned capital don't you want to pick the biggest potential winner you can? If
you agree then how do you do it?
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That's
it...
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<FONT
face=Tahoma size=2>-----Original Message-----From: phsst
[mailto:phsst@xxxxxxxxx] Sent: Wednesday, April 23, 2003 12:20
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
TradeIt> 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 prettysimple... a 'winner' puts
profits in my account. And a 'loser' takesmoney 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, awinner is a winner, is a winner... and a
loser... is a loser... Simplyput... I don't get what the heck are you
talking about? But then Iadmit 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@xxxx]
> > 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. > > > > > > > >
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