|
PureBytes Links
Trading Reference Links
|
Ok how about an example of what you were talking
about?
d
Seriously ? ... A rotational system is different in scope then
what
I thought was being discussed here which appears to be a rotating
universe of tradables that have some life and get traded intraday
based on them meeting some form of buy & sell rules.
--- In
amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxx> wrote:
>
>
How about an example of how to do that using a sharpe ratio of
each
security
> and maybe trade on a rotational basis every month?
>
> Seriously.
>
> d
>
>
> _____
>
> From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On
Behalf
> Of Fred
> Sent: Tuesday, April 18, 2006 1:37 PM
>
To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: System
Performances
>
>
> If the list is a result of some
analysis you do then you can
assign
> a PositionScore to each
security for each bar. This would yield a
> constantly changing
and potentially prioritized list of available
> securities to be
traded.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ed Hoopes"
<reefbreak_sd@>
> wrote:
> >
> > As I mentioned
in the first post - I have been trading this
system
> for
>
> about 1.5 years. The first quarter of this year had no
severe
> > declines in the market, so the Max DD looks better than it
really
> is.
> > Typically the system goes to 100%
cash after about a 5%
drawdown.
> >
> > There is
another major component in my trading system that I
didn't
> >
mention - that of market timing. I use stock index futures (ES,
>
YM,
> > ER2, NQ) to hedge based on 6 indicators. This hedging,
while not
> > perfect, reduces the drawdown considerably so the
system plus
> hedging
> > results in about 4%
drawdowns.
> >
> > On the subject of drawdowns, there has
not been a >10% market
> > correction in over three years.
Since I have only traded this
> system
> > for 1.5 years, I
don't know what will happen when we eventually
get
> > one of
these more typical market declines.
> >
> > The main
reason for not posting a longer trading history is that
> the
>
> stock list is updated every couple of weeks, which actually
>
improves
> > results. I used the list that was current as of
Dec 31, 2005
for
> this
> > test. I don't know how
to simulate a constantly changing list of
> > stocks in the
backtester.
> >
> > Reef-Break
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Phsst"
<phsst@> wrote:
> > >
> > > Fred's point is
accurate IMO....
> > >
> > > If the Trader has spent
blood, sweat and tears over a period
of
> years
> > >
building up a serious trading equity, then a 28% System
Drawdown
>
would
> > > be demoralizing (only after causing a serious case of
"Butt
> Pucker").
> > >
> > > A subsequent
post from Ed showed a 'Max Sys DD = -3.6%', but
only
> > >
included 48 trades... which because of the small number of
trades
>
> > seemed to me to be statistically irrelevant.
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred"
<ftonetti@> wrote:
> > > >
> > > > A
Comment and a suggestion ...
> > > >
> > > > -
DrawDowns ... I could be wrong but I suspect most people
> can't
> > > > tolerate 28% DD's ... To bring that number down to the
point
> where
> > > > at least some people would be
comfortable with it using real
> money
> > > > one
would I think have to cut it half. Doing that with an
> existing
> > > > system by restricting how invested one is will result
in the
> CAR
> > > > being reduced to the square root
of its original number.
> > > >
> > > > -
Objective Testing ... Take your data, cut in half ...
> Optimize
> > > > your system over half of the data and then test the
parameter
> values
> > > > on the other half.
This rudimentary view of out of sample
> testing
> > >
> will give you some idea of what you are likely to experience
> in
real
> > > > trading as opposed to totally in sample
results.
> > > >
> > > > --- In
amibroker@xxxxxxxxxxxxxxx, "intermilan04"
> <intermilan04@>
> > > > wrote:
> > > > >
> > >
> > Since I have optimized my system between 1996-2006, I
guess
> the
> > > > > answer would be the same time
period.
> > > > >
> > > > > --- In
amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@> wrote:
> > >
> > >
> > > > > > That doesn't answer my
question ...
> > > > > >
> > > > >
> In the development of the system what range of data (
time
>
> > > period )
> > > > > > did you use ?
The same time period ? An earlier one ?
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx,
"intermilan04"
> <intermilan04@>
> > > > >
> wrote:
> > > > > > >
> > > > >
> > The numbers are the result of backtesting my system
with
>
> > > > > > NASDAQ and NYSE tickers (around 7000 tickers)
between
> > > > > > > 1996/1/1~2006/1/1.
> >
> > > > >
> > > > > > > --- In
amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@>
> wrote:
>
> > > > > > >
> > > > > > > >
Are the numbers you posted in sample or out of
sample ?
> > >
> > > > >
> > > > > > > > --- In
amibroker@xxxxxxxxxxxxxxx, "intermilan04"
> > > >
<intermilan04@>
> > > > > > > >
wrote:
> > > > > > > > >
> > > >
> > > > > I know it depends on what you want personally for
> > > > risk/reward,
> > > > > > but
> > > > > > > > I'm
> > > > >
> > > > curious as to what other people's systems
(developed
> in
> > > > > > Amibroker)
> > >
> > > > > are
> > > > > > > > >
performing like. You don't have to share your code
> or the
>
> > > idea
> > > > > > behind
> > >
> > > > > > your system (unless you want to), but I'm
curious.
> > > > > > > > >
> > >
> > > > > > Over the last 10 years, say, what is your annual
> profit %,
> > > > max
> > > > >
> > > > drawdown, % winning trades, etc.?
> > > >
> > > > >
> > > > > > > > > I
have a long system that has returned around 110%
> since
> >
> > > > 1996. Its
> > > > > > > >
> winning % is 47%, and the system drawdown is 28%.
> It is
a
> > > > > > > > > reversal-based,
swing-daytrade system.
> > > > > > > > >
>
> > > > > > >
> > > > > >
>
> > > > > >
> > > > >
> >
> >
> > >
> >
>
>
>
>
>
>
> Please note that this group is for discussion
between users only.
>
> To get support from AmiBroker please send
an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For
other support material please check also:
> http://www.amibroker.com/support.html
>
>
>
>
>
>
> SPONSORED LINKS
>
Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+management+software&w1=Inves
>
tment+management+software&w2=Real+estate+investment+software&w3=Inves
tment+p
>
roperty+software&w4=Software+support&w5=Real+estate+investment+analys
is+soft
>
ware&w6=Investment+software&c=6&s=200&.sig=_XXUzbE9l5lGlZNcMu4KNQ>
>
management software Real
> <http://groups.yahoo.com/gads?
t=ms&k=Real+estate+investment+software&w1=Inve
>
stment+management+software&w2=Real+estate+investment+software&w3=Inve
stment+
>
property+software&w4=Software+support&w5=Real+estate+investment+analy
sis+sof
>
tware&w6=Investment+software&c=6&s=200&.sig=5_sgDczz3ArKGMtJ9tFSJA>
estate
> investment software
Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+property+software&w1=Investm
>
ent+management+software&w2=Real+estate+investment+software&w3=Investm
ent+pro
>
perty+software&w4=Software+support&w5=Real+estate+investment+analysis
+softwa
>
re&w6=Investment+software&c=6&s=200&.sig=_N6zcwefgp4eg5n6oX5WZw>
property
> software
>
Software
> <http://groups.yahoo.com/gads?
t=ms&k=Software+support&w1=Investment+manageme
>
nt+software&w2=Real+estate+investment+software&w3=Investment+property
+softwa
>
re&w4=Software+support&w5=Real+estate+investment+analysis+software&w6
=Invest
>
ment+software&c=6&s=200&.sig=MJ2jP31F3n64RDZkDadU8w> support
Real
> <http://groups.yahoo.com/gads?
t=ms&k=Real+estate+investment+analysis+softwar
>
e&w1=Investment+management+software&w2=Real+estate+investment+softwar
e&w3=In
>
vestment+property+software&w4=Software+support&w5=Real+estate+investm
ent+ana
>
lysis+software&w6=Investment+software&c=6&s=200&.sig=GmF8PlAJASx0wrSa
X5-Zlw>
>
estate investment analysis software
Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+software&w1=Investment+manag
>
ement+software&w2=Real+estate+investment+software&w3=Investment+prope
rty+sof
>
tware&w4=Software+support&w5=Real+estate+investment+analysis+software
&w6=Inv
>
estment+software&c=6&s=200&.sig=aMgGsKT4w29dMAYUzQUKzg>
software
>
>
_____
>
> YAHOO! GROUPS LINKS
>
>
>
> * Visit
your group "amibroker
> <http://groups.yahoo.com/group/amibroker>
" on the web.
>
>
>
* To unsubscribe from this group, send an email
to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
<mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>
>
> * Your
use of Yahoo! Groups is subject to the Yahoo! Terms of
Service
>
<http://docs.yahoo.com/info/terms/>
.
>
>
>
_____
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
SPONSORED LINKS
YAHOO! GROUPS LINKS
|