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Fred,
I am not a person to say one thing and mean another, or backdown from
statements that I have made in the past, not at least without a
formal retraction and you know it.
I haven't recanted on IIS -> OOS etc or the principles of SD&E
anywhere have I?
Perhaps we disagree on the point that I am not going to adjust my
system "based on what I observe from a short production run".
We could argue over how many == short I suppose but I have made my
point, on sample error, over and over, including an excel demo.
I thought we both considered that the size of a valid sample was
personal choice (I am very conservative in that area and that doesn't
seem to sit well with some).
Re PerformanceMetrics upfront:
It depends what you mean by PM.
While trading I expect variance in the trade series% and I am only
alarmed if the variance exceeds the expected worst case. If that
happens it is time to pull the plug on the system.
If you call that a PerformanceMeasure then fair enough I use them at
the front end, if you don't then I don't.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxx> wrote:
>
> Your post is contradictory of positions you have stated in the past
and even
> with other parts of your post .
>
> "If we define the FrontEnd as where we trade (AB as trading
platform,
> AT or as a cue for manual entry of trades) and the BackEnd as
> SystemDesign&Evaluation then, so far I haven't found a use for
> PerformanceMetrics at the FrontEnd."
>
>
>
> Doesn't the above essentially state that Performance Metrics have
no value
> in trading ?
>
>
>
> If that's the case what do you do when your OOS MDD exceeds the
previously
> tested systems MDD ?
>
>
>
> Pretend it didn't happen ?
>
>
>
> Here again you state the same thing in a different way .
>
>
>
> If SD&E is the production line then the trades I take are the
product.
> I don't see any benefit in adjusting the production line based on
> what I observe from a short production run.
>
>
>
> Trading is by definition Out Of Sample. Performance metrics are
what make
> up the objective function.
>
>
>
> Isn't the implication of your statement that there is no value to
the out of
> sample performance metrics and doesn't that then imply that there
is no
> value to the "objective function".
>
>
>
> How did I misread what you stated ?
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of brian_z111
> Sent: Wednesday, May 21, 2008 11:35 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: System Performance Indicators [was: Can
someone fix
> this OLE code?]
>
>
>
> > If you don't see any value in adjusting the "production line"
based
> >on the
> > performance metrics then that would suggest you've not yet traded
> >with
> > dollar 1 . To use your "production line" example, Quality
Assurance
> >is about
> > seeing what comes off the production line and adjusting the line
> >when
> > tolerances are out of whack . This due diligence is used in
> >virtually every
> > manufacturing process and should be used in trading as well.
>
> Yes, that is what I said.
> You are mis-reading me.
>
> > Money Management is a function of the SYSTEM it is not a
> >PERFORMANCE METRIC
> > nor is it an OBJECTIVE FUNCTION which would typically be used on
> >OOS data to
> > evaluate the systems performance whether that be in test or with
> >real money.
> > If you don't believe in adjusting the "production line" based on
> >performance
> > metrics then you also don't believe in objective functions . How
> >could you ?
> >
>
> I am talking about a Portfolio Metric.
>
> I can't be bothered explaining that any further.
>
> > Why is it when I read your posts I feel like I'm talking to a 12
> >year old
> > who's stuffing nickels and dimes in a piggy back waiting for the
> >day when he
> > can crack it open to finance his first "adult experience" .
>
> I can't account for your reading list, your comprehension or your
> feelings Fred.
> You will have to do that for yourself.
>
> brian_z
>
> --- In amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com, Fred
> Tonetti <ftonetti@> wrote:
> >
> > If you don't see any value in adjusting the "production line"
based
> on the
> > performance metrics then that would suggest you've not yet traded
> with
> > dollar 1 . To use your "production line" example, Quality
Assurance
> is about
> > seeing what comes off the production line and adjusting the line
> when
> > tolerances are out of whack . This due diligence is used in
> virtually every
> > manufacturing process and should be used in trading as well.
> >
> >
> >
> > Money Management is a function of the SYSTEM it is not a
> PERFORMANCE METRIC
> > nor is it an OBJECTIVE FUNCTION which would typically be used on
> OOS data to
> > evaluate the systems performance whether that be in test or with
> real money.
> > If you don't believe in adjusting the "production line" based on
> performance
> > metrics then you also don't believe in objective functions . How
> could you ?
> >
> >
> >
> > Why is it when I read your posts I feel like I'm talking to a 12
> year old
> > who's stuffing nickels and dimes in a piggy back waiting for the
> day when he
> > can crack it open to finance his first "adult experience" .
> >
> >
> >
> > _____
> >
> > From: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> [mailto:amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com]
> On Behalf
> > Of brian_z111
> > Sent: Wednesday, May 21, 2008 7:55 PM
> > To: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> > Subject: [amibroker] Re: System Performance Indicators [was: Can
> someone fix
> > this OLE code?]
> >
> > If we define the FrontEnd as where we trade (AB as trading
> platform,
> > AT or as a cue for manual entry of trades) and the BackEnd as
> > SystemDesign&Evaluation then, so far I haven't found a use for
> > PerformanceMetrics at the FrontEnd.
> >
> > To me the BackEnd is where we analyse a sample of trades (the
trade
> > series) as part of the design process (just as you have described
> it).
> >
> > I have also plotted performance metrics, as visual learning aids
(I
> > scroll from stock to stock comparing how my system ideas look in
> > different symbols/instruments/assests).
> >
> > I also create metric reports, via explorations, for a W/L of
stocks
> > etc for similar reasons.
> >
> > (The methods that have come out of this thread give me more
> efficient
> > ways to do that).
> >
> > In that regard I consider them to be tools that are part of the
> SD&E
> > process.
> >
> > If SD&E is the production line then the trades I take are the
> product.
> > I don't see any benefit in adjusting the production line based on
> > what I observe from a short production run.
> >
> > I think we should be careful as to what we call portfolio trading.
> > I don't see taking a few trades, from the total number available
in
> a
> > W/L of stocks, as portfolio trading.
> >
> > To me Portfolio Trading is where we use MoneyManagement, the
> profile
> > of the trade and correlation to make our decisions in a synthetic
> way.
> >
> > In simple terms our ObjectiveFunction/FitnessMeasure should
include
> > MM, correlation and the trade profile, as parameters, and be
chosen
> > by backtesting and then adjusted after a reasonable number trades
> (if
> > ongoing adjustment is the users policy).
> >
> > Once again, IMO, that adjustment should be made in the backend
and
> > not at the front.
> >
> > Having said that, I understand the arguments for equity curve
> trading.
> > I personally reject them but if others succeed with that method
> good
> > luck to them.
> >
> > brian_z
> >
> > --- In amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> ps.com, Fred
> > Tonetti <ftonetti@> wrote:
> > >
> > > Personally I only use performance metrics in the following
ways .
> > >
> > >
> > >
> > > - As feedback to know how my in sample performs i.e. an
> > initial
> > > milestone
> > >
> > > - As additional feedback to compare out of sample results
> > with in
> > > sample and/or to constant yardsticks to get a feel for whether
or
> > not a
> > > system is tradable
> > >
> > > - As ongoing feedback to determine whether or not it is
> > time to
> > > reoptimize and/or redevelop
> > >
> > >
> > >
> > > I've been down the road you are on but for me it was in essence
a
> > dead end.
> > > I hope you have better success with it.
> > >
> > >
> > >
> > > _____
> > >
> > > From: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> ps.com
> > [mailto:amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> ps.com]
> > On Behalf
> > > Of Herman
> > > Sent: Thursday, May 22, 2008 6:40 AM
> > > To: Fred Tonetti
> > > Cc: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> ps.com
> > > Subject: Re: [amibroker] Re: System Performance Indicators
[was:
> > Can someone
> > > fix this OLE code?]
> > >
> > >
> > >
> > > Thank you very much Fred,
> > >
> > >
> > >
> > > When using performance metrics in system design they have (imo)
> > more meaning
> > > if they should be based on single price/equity arrays. I think
> that
> > > portfolio metrics should not be used for anything else then to
> tell
> > you how
> > > your portfolio system performs.
> > >
> > >
> > >
> > > herman
> > >
> > >
> > >
> > > For tips on developing Real-Time Auto-Trading systems visit:
> > >
> > > http://www.amibroke <http://www.amibroke
> > <http://www.amibroke <http://www.amibroker.org/userkb/>
r.org/userkb/>
> r.org/userkb/> r.org/userkb/
> > >
> > >
> > >
> > > Wednesday, May 21, 2008, 5:50:54 PM, you wrote:
> > >
> > >
> > >
> > >
> > > >
> > >
> > > Herman,
> > >
> > >
> > >
> > > I modified the script to allow running Explore's as well as the
> > variety of
> > > different types of Backtests and Optimizes all based on the
> command
> > line
> > > arguments you supply
> > >
> > >
> > >
> > > See the notes at the top of the Script as to how to use and the
> > default
> > > values.
> > >
> > >
> > >
> > > I also renamed the Script to RunAA since that is now more
> > appropriate.
> > >
> > >
> > >
> > > Individual Backtests appear to run significantly faster than
> > Portfolio
> > > oriented ones.
> > >
> > >
> > >
> > > Fred
> > >
> > >
> > >
> > > _____
> > >
> > > From: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> ps.com
> > [mailto:amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> ps.com]
> > On Behalf
> > > Of Herman
> > >
> > > Sent: Thursday, May 22, 2008 5:09 AM
> > >
> > > To: Fred
> > >
> > > Subject: Re: [amibroker] Re: System Performance Indicators
[was:
> > Can someone
> > > fix this OLE code?]
> > >
> > >
> > >
> > >
> > > Yes, sorry should have been more explicit. The code works nice
> and
> > there are
> > > possibilities to running the code from the tools menu. But this
> > would
> > > require Explores and Backtests. Not enough time to try all the
> new
> > ideas
> > > :-) This is the code you posted:
> > >
> > >
> > >
> > > RunType = "BACKTEST"
> > >
> > > Times = 1
> > >
> > > Refresh = 0.25
> > >
> > > ShowAA = 1
> > >
> > >
> > >
> > > Set oArgs = WScript.Arguments
> > >
> > >
> > >
> > > For i = 0 to oArgs.Count - 1
> > >
> > > Arg = Split(oArgs(i), "=")
> > >
> > > Arg(0) = UCase(Trim(Arg(0)))
> > >
> > > If Arg(0) = "RUNTYPE" Then
> > >
> > > RunType = UCase(Arg(1))
> > >
> > > ElseIf Arg(0) = "TIMES" Then
> > >
> > > Times = CCur(Arg(1))
> > >
> > > ElseIf Arg(0) = "REFRESH" Then
> > >
> > > Refresh = CCur(Arg(1))
> > >
> > > ElseIf Arg(0) = "SHOWAA" Then
> > >
> > > ShowAA = CCur(Arg(1))
> > >
> > > End If
> > >
> > > Next
> > >
> > >
> > >
> > > Set oAB = CreateObject("Broker.Application")
> > >
> > > Set oAA = oAB.Analysis
> > >
> > > oAA.ShowWindow(ShowAA)
> > >
> > >
> > >
> > > BegTime = Now()
> > >
> > >
> > >
> > > While Times >= 0
> > >
> > > If RunType = "OPTIMIZE" Then
> > >
> > > oAA.Optimize(0)
> > >
> > > Else
> > >
> > > oAA.Backtest(0)
> > >
> > > End If
> > >
> > > If Refresh > 0 Then
> > >
> > > WScript.Sleep Refresh * 1000
> > >
> > > End If
> > >
> > > Times = Times - 1
> > >
> > > Wend
> > >
> > >
> > >
> > > EndTime = Now()
> > >
> > >
> > >
> > > MsgBox CStr(BegTime) + vbCrLf + CStr(EndTime), 0, "BackTest"
> > >
> > >
> > >
> > > ////////////
> > >
> > >
> > >
> > > For tips on developing Real-Time Auto-Trading systems visit:
> > >
> > > http://www.amibroke <http://www.amibroke
> > <http://www.amibroke <http://www.amibroker.org/userkb/>
r.org/userkb/>
> r.org/userkb/> r.org/userkb/
> > > <http://www.amibroke <http://www.amibroke
> <http://www.amibroker.org/userkb/> r.org/userkb/>
> r.org/userkb/>
> > >
> > >
> > >
> > > Wednesday, May 21, 2008, 12:27:50 PM, you wrote:
> > >
> > >
> > >
> > > > Herman,
> > >
> > >
> > >
> > > > Are you referring to the script I wrote ?
> > >
> > >
> > >
> > > > = = = = = = = = = = = = = = =
> > >
> > >
> > >
> > > > Hello Fred, can you tell me:
> > >
> > >
> > >
> > > > 1) How do i make your code run individual backtests on a
> > watchlist? It
> > >
> > > > default to portfolio BTs.
> > >
> > >
> > >
> > > > 2) How do I modify the code to run an explore?
> > >
> > >
> > >
> > > > Many thanks!!!
> > >
> > >
> > >
> > > > herman
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > > ------------------------------------
> > >
> > >
> > >
> > > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check
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> > >
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> > > I am using the free version of SPAMfighter for private users.
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> > > Try SPAMfighter <http://www.spamfigh
> <http://www.spamfigh <http://www.spamfighter.com/len> ter.com/len>
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> > _____
> >
> > I am using the free version of SPAMfighter for private users.
> > It has removed 458 spam emails to date.
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