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Herman,
thanks for the explanation, now I see what you mean.
I have not any experience for this transformation.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen" <psytek@xxxx>
wrote:
> DT, you misunderstood or perhaps I didn't explain properly:
>
> The collection of stocks traded is kept constant at 100, no stocks
were ever
> removed (RFMD and ERICY were traded in all cases). Stocks are only
removed
> from the composite one at a time, they are NOT removed from the
stocks
> traded. Removing certain stocks from the composite made a huge
difference in
> profits.
>
> herman
> -----Original Message-----
> From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> Sent: December 31, 2003 6:40 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Stock-Sensitivity Analysis of Composites
>
>
> Herman,
> It may be strange at first sight but it is not.
> From the recently removed N100 stocks, RFMD and ERICY were in the
> 4digit profit list for many systems [by far the best fit for many
> complicated indicators]. If a system runs at +100% and RFMD runs,
for
> the same period and settings, at +1500%, the result of removing
RFMD
> is obvious. The profitability is not, IMO, the crucial criterion
for a
> group of
> stocks. The peaks are more important. When they are sharp, then
the
> directionality is here and may give clear [and repetitive]
signals.
> This [very important] property was not affected by the recent
change,
> not even the extended change one year ago and may give a basis for
> important trading hints . A strong Sell signal is more important
from
> the [paper] profitability of a system over 100 or 500 stocks.
> Another interesting issue is the local peaks/troughs of the
composite
> equity line : Systems suffer from wrong timing sometimes, causing
> troughs to the average equity. They also suffer from temporary
curve
> fitting, it is when we see [excellent] equity peaks. If this curve
> fitting period is, by chance, the last two months, then the system
> will present huge profits, without *any* guarantee for the next 6
> months.
> Thatīs why I try to discover sharp signals.
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen"
<psytek@xxxx>
> wrote:
> > Hello,
> >
> > It appears that the removal of a single stock in your composite
can
> make a
> > big difference in system performance. The program below shows
that
> profits
> > can vary from 82% to 575% by just removing one single stock
from the
> > composite. I have found similar results in other trading
systems.
> >
> > You should replace the demo system's code, found in the
> SystemUnderTest(),
> > with your own composite-using system. You may also have to
modify
> the type
> > of composites created; for this example I used simple price
> composites while
> > you may be using MeanRSI type of composites.
> >
> > You can open your WorkSpace, select Candle or Bar style, and
step
> through
> > the composites to see in detail how the removal of single stocks
> effect the
> > composite. The Symbol attached to the "~Comp" indentifies the
> ticker that is
> > ommitted from the composite.
> >
> > While this effect will vary for different systems it could, in
some
> case,
> > explain the "demise" of systems when ticker lists are changed.
If
> nothing
> > else it shows that nothing should be taken for granted in
systems
> design.
> >
> > herman.
> >
> > /*
> > Composite stock-sensitivity analysis - Herman van den Bergen
> > 1) Set filter to the watchlist used to create composite
> > 2) Set WatchlistNum in first line of code below to the same
> watchlist number
> > 3) Set All Quotations and run Scan
> > 4) For a normal test (full composite) set Range and run the Old-
> Backtester
> > 5) To see how a single stock effects group performance set
Filter to
> > Watchlist selected earlier and run the Old-Optimizer 6) To see
how
> the
> > removal of one stock effects individual equities run an
Eploration
> > */
> >
> > WatchListNum = 0;
> > Scan = Status("Action")==3;
> > BackTest = Status("Action")==5;
> > Explore = Status("Action")==4;
> > List = GetCategorySymbols( categoryWatchlist,
WatchListNum);
> > InitialEquity = 100000;
> > Filter = Status("LastBarInTest");
> > SetOption("InitialEquity",InitialEquity);
> > SetOption("NoDefaultColumns",True);
> > Buy=Sell=Short=Cover=0;
> >
> > function SystemUnderTest( RemovedTicker )
> > {
> > Comp = "~Comp"+RemovedTicker;
> > // Create your own type of composites below
> > V=Foreign(Comp,"V");
> > O=Foreign(Comp,"O")/V;
> > H=Foreign(Comp,"H")/V;
> > L=Foreign(Comp,"L")/V;
> > C=Foreign(Comp,"C")/V;
> >
> > // Substitute your own composite-based system for the one
below
> > Sell=Cross( MACD(), Signal() );
> > Buy = Cross( Signal(), MACD() );
> > Short=Sell;
> > Cover=Buy;
> > // End trading system
> > return Equity(0);
> > }
> >
> > if(Scan)
> > {
> > // Create normal composite
> > AddToComposite(1,"~Comp","V");
> > AddToComposite(O,"~Comp","O");
> > AddToComposite(H,"~Comp","H");
> > AddToComposite(L,"~Comp","L");
> > AddToComposite(C,"~Comp","C");
> >
> > // Create composites with one stock removed
> > for( n=0; (RemovedTicker=StrExtract( List, n))!= ""; n++)
> > {
> > if( RemovedTicker!= Name() )
> > {
> > AddToComposite(1,"~Comp"+RemovedTicker,"V");
> > AddToComposite(O,"~Comp"+RemovedTicker,"O");
> > AddToComposite(H,"~Comp"+RemovedTicker,"H");
> > AddToComposite(L,"~Comp"+RemovedTicker,"L");
> > AddToComposite(C,"~Comp"+RemovedTicker,"C");
> > }
> > }
> >
> > } // End Scan
> >
> > if(explore)
> > {
> > AddTextColumn(Name(),"TradedTicker",1.0);
> > RefEquity = SystemUnderTest( "" );
> > AddColumn(RefEquity,"NormalEquity",1.2);
> > AddColumn(Null,"Removed->",1.0);
> > for( n=0; (RemovedTicker=StrExtract( List, n))!= ""; n++)
> > {
> > NewEquity = SystemUnderTest( "~Comp"+RemovedTicker );
> > AddColumn(NewEquity,RemovedTicker,1.2);
> > }
> > } // End Explore
> >
> > if( BackTest )
> > {
> > for( n=0; (RemovedTicker=StrExtract( List, n))!= ""; n++);
> > RemovedTickerNum = Optimize("RemovedStockNum",9999,0,n-1,1);
> > RemovedTicker=StrExtract( List, RemovedTickerNum );
> > if(RemovedTickerNum==9999) RemovedTicker = "";
> > SystemUnderTest( RemovedTicker );
> > } // End backtes
>
>
>
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