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Phsst,
It's not necessarily that our trading styles are different, but as I
think you mentioned earlier you don't for example look at DD's the
way most of the rest of us do i.e. intra-trade numbers don't count
and back to back losses don't count or at least that's how I
interpretted what you stated not to mention the issue with AB
regarding whether or not one is more than 100% invested. It's
difficult to compare apples to apples when different folks use
different yard sticks to measure results.
--- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> OK... got it!
>
> I now realize that my inability to 'relate' to certain posts about
> trading is that I fail to recognize that other people often have
> trading styles very different from my own. I am going to try to take
> that into account in the future.
>
> Some examples:
>
> Measuring drawdowns - The way that I trade, the terms 'drawdowns'
and
> 'actual losses' are pretty well synonymous. Tight trailing stop loss
> orders take me out of a position at the same level that a drawdown
> would be measured. And my backtested systems reflect the trades
> exactly as I experience them in real life. So theoritical drawdown
> measurements don't have (as) much meaning to me as they do to others
> who have longer holding periods along with more room for adverse
price
> movement.
>
> More potential trades than capital - I do not attempt to trade in a
> compounding fashion, but rather use fixed a positionsize with an
> account that can support a large number of simultaneous trades if
> necessary. Others appear to want to use positionsize compounding
that
> would put more of a squeeze on available capital for larger number
of
> trades.
>
> As far as ranking to find more likely winners along with a managable
> number of trades, isn't that just a natural part of the filtering
> process we all use to develope our systems?
>
> Phsst
>
>
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > 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?
> >
> > That's it...
> >
> > d
> >
> > -----Original Message-----
> > From: phsst [mailto:phsst@x...]
> > Sent: Wednesday, April 23, 2003 12:20 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [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 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.
> > > > >
> > > > >
> > > > > ---
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04/10/2003
> > > >
> > > >
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