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As the saying goes ... it's not the destination, it's the journey ...
and the rougher the journey the less likely one is to reach the
destination.
--- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@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.
>
> 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.
> > > >
> > > >
> > > > ---
> > > > Outgoing mail is certified Virus Free.
> > > > Checked by AVG anti-virus system (http://www.grisoft.com).
> > > > Version: 6.0.471 / Virus Database: 269 - Release Date:
04/10/2003
> > >
> > >
> > >
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> > >
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