[amibroker] Sigscaleout CUStom backtest interface
Hello all, I have been working on plotting the actual trade with the custom backtest interface. I have been able to do that for the buy,sell,short,cover. I am having some difficulty with the sigscaleout to plot? I can't seem to figure out how to access it. can anyone help me with this task. thanks zeek
[amibroker] Re: Where is Forward P/E data ???
TJ - I downloaded again this morning following this order:
1. Historical (save all) 2. Fundamental Basic (save all) 3. Fundamental Extra
(save all).
Looked at the tickers and the Forward EPS and Forward P/E are flipped.
This weekend, I'll delete all ticker data and rebuild the database and see what
the results are. (in case something isn't being overwritten properly).
Thanks
--- In amibroker@yahoogroups.com, gmorlosky gmorlo...@... wrote:
hmmm Just now, I reloaded the Fundamental data, first basic, then
extended. Then I did a Save in AmiBroker, then shutdown Amibroker, then
restarted and checked the ticker of GE.
Still flipped in AmiBroker:
P/E = 8.70 (looks good)
Forward P/E = .94 (hmmm...)
EPS est. Next Year = .94 (looks good)
Foward EPS = 14.26 (hmmm...)
Looked on Yahoo to confirm my figures are flipped.
I also confirmed aqfe.format file as:
$NOQUOTES 1
$AUTOADD 1
$OVERWRITE 1
$SEPARATOR ,
$FORMAT CLOSE, FORWARD_PE, PEG_RATIO, PROFIT_MARGIN, OPERATING_MARGIN,
RETURN_ON_ASSETS, RETURN_ON_EQUITY, REVENUE, QTRLY_REVENUE_GROWTH,
GROSS_PROFIT, EBITDA, EPS, QTRLY_EARNINGS_GROWTH, BOOK_VALUE_PER_SHARE,
OPERATING_CASH_FLOW, FREE_CASH_FLOW, BETA, SHARES_OUT, SHARES_FLOAT,
INSIDER_HOLD_PERCENT, INSTIT_HOLD_PERCENT, SHARES_SHORT_PREV,SHARES_SHORT,
FORWARD_DIV, DIVIDEND, DIV_PAY_DATE, EX_DIV_DATE, LAST_SPLIT_RATIO,
LAST_SPLIT_DATE
--- In amibroker@yahoogroups.com, Tomasz Janeczko groups@ wrote:
Hello,
No. It is correct. AmiBroker supports both fields and then calculates EPS
and P/E using one data or another and current price.
It is needed because Yahoo basic stats contain one field and key
statistics contain only second.
If you use both it is best to first run basic download and then extended
download.
Best regards,
Tomasz Janeczko
amibroker.com
- Original Message -
From: gmorlosky gmorlosky@
To: amibroker@yahoogroups.com
Sent: Wednesday, June 10, 2009 8:35 PM
Subject: [amibroker] Re: Where is Forward P/E data ???
Oddly the Forward P/E data ends up in the Forward EPS line and vice
versa. I'm confused. Is the aqfe file right or wrong ? is
Amibroker putting the data in the correct line ?
--- In amibroker@yahoogroups.com, gmorlosky gmorlosky@ wrote:
The AmiQuote aqfe.format file is in error. Changing the FORWARD_PE to
FORWARD_EPS fixed the problem.
TJ -- Updates needed to AmiQuote file and documentation, I beleive.
--- In amibroker@yahoogroups.com, gmorlosky gmorlosky@ wrote:
I don't understand something. The Yahoo data to be downloaded is
labeled FORWARD_PE in the aqfe file, but the data from Yahoo
is expected to FORWARD_EPS according to the Amibroker user guide
Using fundamental data.
Is this part of the problem ?
--- In amibroker@yahoogroups.com, gmorlosky gmorlosky@ wrote:
I find it is actually the aqfe.format file that holds the Forward
P/E and there is an N/A from Yahoo in that location,
although their website has Forward P/E when looking at key
statistics of any stock ??? Does that mean that Yahoo did not
transmit the data or does not ever transmit that data ?
I thought the Forward P/E is calculated by Amibroker based on the
Forward EPS ?
--- In amibroker@yahoogroups.com, gmorlosky gmorlosky@ wrote:
I just started with fundamental data and have the extended
AmiQuote download from Yahoo, BUT in AmiBroker Information
Financials Forward EPS is 0 ? All other data is there, except of
course the calculated Valuations Forward P/E, which is
also N/A.
Is Forward EPS not coming in because something in the AmiQuote
aqfn.format file, because one of the skip, should not be
there ??? (I have not altered this file)
$NOQUOTES 1
$AUTOADD 1
$OVERWRITE 1
$SEPARATOR ,
$FORMAT TICKER, FULLNAME, CLOSE, EPS, EPS_EST_CUR_YEAR,
EPS_EST_NEXT_YEAR, EPS_EST_NEXT_QTR, PEG_RATIO,
BOOK_VALUE_PER_SHARE, EBITDA, SKIP, REVENUE, SKIP, DIV_PAY_DATE,
EX_DIV_DATE, DIVIDEND, ONE_YEAR_TARGET, SKIP,
SHARES_FLOAT, SHARES_OUT
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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[amibroker] Re: problems with ibc = GetTradingInterface(IB);
Found a bypass solution: I am running BrokerIB in compatibility mode WIndows XP --- In amibroker@yahoogroups.com, dubi1974 gonzale...@... wrote: Hi, unfortunately not... Had just one pane open and still the problem. The screen starts to blink (sometimes I see the chart, sometime Error formula.) if I use ibc = GetTradingInterface(IB). So it has 100% to do to with the IB controller... I use the same formula on a dual core machine with windows XP pro 32bit. This new machine is a i7 920 with win 7201... My friend had the same issues with Win Vista... Regards, dubi --- In amibroker@yahoogroups.com, dubi1974 gonzales74@ wrote: I have installed Windows 7... had before XP when I start ibc = GetTradingInterface(IB) I get some error: Error forumla execution halted because of an error - no chart display ... I used the same formula on XP, and there I had never problems. Someone I know, has similar issues with Vista. Did someone had similiar issues? Is this a bug or does someone know how to solve that? Thanks, dubi
Re: [amibroker] Hibernate and resume optimization
One thing is for sure: Your computer will not blow up.
hydrob...@rocketmail.com wrote:
I am wondering if it is possible to hibernate during a lengthy
optimization and then continue the optimization where it left off after
resuming from hibernation. Have never used hibernation before, so I am
not sure how it works.
Thanks,
Steve
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
[amibroker] Re: Hibernate and resume optimization
Due to an overheating problem (since resolved) on my Gateway notebook running XP, I used hibernate a number of times during long optimizations. Never had a problem with them restarting successfully. Joe --- In amibroker@yahoogroups.com, hydrob...@... hydrob...@... wrote: I am wondering if it is possible to hibernate during a lengthy optimization and then continue the optimization where it left off after resuming from hibernation. Have never used hibernation before, so I am not sure how it works. Thanks, Steve
[amibroker] Re: Random entry exit optimization
Hi, What do you expect to gain by optimizing your trade management to random noise? Unless you plan to take random entries and exits in live trading, I don't see the benefit of searching for optimal values under those conditions. More practical might be to optimize your system based on a perceived edge, then compare performance based on random values against performance based on the optimized values, to see if the optimized values actually perform any better than the random ones. In other words, is there really an edge, or was it just a fluke. For example, keeping all else the same, compare your strategy using your optimized entry against the same strategy using a random entry. If the optimized entry does not perform significantly better than the random one, then you might conclude that your optimized entry is of no more value than random noise and might benefit from further analysis. The same can be done for your exits and position size/money management. Of the three, position size/money management will likely have the biggest impact on performance. Mike --- In amibroker@yahoogroups.com, Yofa jtoth...@... wrote: Hi All, I'm trying to improve my optimization method. So I divided my trading system into parts: entry logic, trade management logic (trailing, profit target, volatility exit, etc ), filters, etc. I created a random entry system, that uses the same trade management logic as my trading system. With random entries I optimized the parameters of the trade management logic. I also try to improve filters the same way. My questions: Is there anyone who uses similar technic for optimization? Is there anyone how uses similar approach to validate the trading system and its parameters? Is it reasonable optimization method? Any opinion or experiance appreciated. Regards, Y
[amibroker] Re: How to remove all fundamental data ???
TJ - I have deleted the existng folders and yet when I look at a stock, part of the fundamental data is still there. (using local database - Yahoo EOD). Statistics has share info, Financials have 60% of it's data, and Dividends has 50% of it's data. Thanks --- In amibroker@yahoogroups.com, gmorlosky gmorlo...@... wrote: I have removed all my ticker price data by removing all folders in the database, and cleaned out any *.aqh or *.aqfe or *.aqn files, leaving only the 3 base files of broker.*, but I can't get the fundamental to go away. Where is that stored ?
[amibroker] Re: Random entry exit optimization
What I am saying is that IMO you are conducting some worthwhile trading research but you are testing several components at the same time ... try separating them: - optimising a system that uses random entries will provide you with specialist knowledge about optimisation - optimising your trademanagement (stops etc), with random entries as the basis, will provide you with specialist knowledge of stops etc. - otpimising your filter, with random entries, will provide you with specialist knowledge on stock selection. I keep a few BlackSwans as pets and I am intimately acquainted with their behaviour patterns. - --- In amibroker@yahoogroups.com, Yofa jtoth...@... wrote: Hi All, I'm trying to improve my optimization method. So I divided my trading system into parts: entry logic, trade management logic (trailing, profit target, volatility exit, etc ), filters, etc. I created a random entry system, that uses the same trade management logic as my trading system. With random entries I optimized the parameters of the trade management logic. I also try to improve filters the same way. My questions: Is there anyone who uses similar technic for optimization? Is there anyone how uses similar approach to validate the trading system and its parameters? Is it reasonable optimization method? Any opinion or experiance appreciated. Regards, Y
[amibroker] Re: Hibernate and resume optimization
Thanks Joe. I'm planning to setup a UPS with software to hibernate the PC during a power failure. --- In amibroker@yahoogroups.com, Joe j0etr4...@... wrote: Due to an overheating problem (since resolved) on my Gateway notebook running XP, I used hibernate a number of times during long optimizations. Never had a problem with them restarting successfully. Joe --- In amibroker@yahoogroups.com, hydroblue@ hydroblue@ wrote: I am wondering if it is possible to hibernate during a lengthy optimization and then continue the optimization where it left off after resuming from hibernation. Have never used hibernation before, so I am not sure how it works. Thanks, Steve
[amibroker] Re: How to remove all fundamental data ???
Hello gmorlosky, Not sure where you are going but since you seem to be hitting the wall: I have to do some guessing here: - last time I checked AB fundamental data import it worked exactly as Tomasz explained it in his recent post - fdata is not stored historically ... only the current value which is overwritten each time you import again - fdata is stored at the binary level but we don't see it in QuoteEditor - files in the AQ folder are irrelevant once data is in AB - from memory I think you can elect to overwrite them, or not, each time you download from Yahoo - they are only ASCII files . if you elect not to auto import and you have overwrite selected you can go in there and manually change values to zero before electing to export from AQ to AB (manually import) ... at least you can do that with data files so probabaly it works for funda files as well. --- In amibroker@yahoogroups.com, gmorlosky gmorlo...@... wrote: TJ - I have deleted the existng folders and yet when I look at a stock, part of the fundamental data is still there. (using local database - Yahoo EOD). Statistics has share info, Financials have 60% of it's data, and Dividends has 50% of it's data. Thanks --- In amibroker@yahoogroups.com, gmorlosky gmorlosky@ wrote: I have removed all my ticker price data by removing all folders in the database, and cleaned out any *.aqh or *.aqfe or *.aqn files, leaving only the 3 base files of broker.*, but I can't get the fundamental to go away. Where is that stored ?
Re: [amibroker] Re: Random entry exit optimization
Hi all, LeBeau and Lucas in their book Computer Analysis of the Futures Markets talk about using random exits to test the efficacy of systems which are meant to catch trends. Been a long time since I read it, but i think it went along the lines of , if you have an entry/filter combination which you think should catch trends, then any trend you are on, should by definition, trend for a while. So you should be able to exit at any number of points in the future at a profit This then removes the chance that your exit is doing the work I think they suggested that you test exits at regular periods down the track, say 5, 10,15 days etc. Not quite random but a similar principle. I think if you just test random Vs random you get into an area of potential overoptimisation very quickly. I remember one such study where they stuck a large bunch of data into a data mining system, without planning their objectives properly, and they found that the best predictor of the SP500 index was the price change of butter in Bangladesh. So it was either coincidence or overoptimisation. BTW Brian Seen one fractal - seen 'em all! Z From: brian_z111 brian_z...@yahoo.com To: amibroker@yahoogroups.com Sent: Saturday, 13 June, 2009 10:43:50 AM Subject: [amibroker] Re: Random entry exit optimization Re comparing random testing to a system, to confirm the edge: Generally speaking I agree with Mike ... that is the obvious answer, but I have gained a great deal by continual labttesting and whatif specualation (actual and virtual). Testing the tools, the myths, the philosophy, authors ideas, strategies, systems, data, crazy ideas, holy cows, indicators ... in short everything. The results from all of this weren't immediate, or direct ... over time it revealed my trading philosophy, temperament and strategies etc which are directly reflected in my systems. Re random entries: - the larger the sample (N) the more we can rely on the result - so, massive random testing is more instructive than a small sample - if we conduct a massive number of random entries (say on daily bars) we will eventually end up entering every bar an approx equal number of times (with a random entry every ball in the bucket has an equal chance of getting drawn, assuming sampling with replacement) so why not just go straight to buying every day (on close, on open or something else?) ... it saves the extra work of including the random entry code and uses up less of your data in the IS. the only difference between your benchmark and your real signals will be N the real sample set will have a smaller N and a larger sample error. Re optimising random entries: - very interesting - at first thoughts it looks like, at the least, you are testing the validity of optimising - including your filters may complicate the research ... perhaps you should try isolating each component (filters, trade management, optimisation) . - it would be interesting to see what type of opt results you get from a random entry - even more interesting to see how many 'good' optimised random entries perform in OOS walk -forward - if any perform above expectations, for a random system, the explanation would be even more interesting Speculating on the outcomes of your research: - without knowing what your objectives are - leaving out filters and trade management - optimising random entries is likely to produce a set of parameters that approximate the perfect buy and sell signals for the data you are analysing (see Howard's QTS book page81 for some insight into perfect signals) ... notice that, in Howards screenshot example, they approximate smoothed cycles. - if you wanted to hit every perfect buy/sell then you would need to add more lines of code and of course the number of trades in your system will increase until the ratio of trades/number of perfect trades == 1 If any 'systems' produced by opting random signals survives the OOS sample test it can only be because they are not significant, compared to random chance OR they have indentified some persisent and recurring cycle (seasonal patterns, moon phase, Fibonacci or a new one that you can discover fascetious there ... just having some fun with it). An interesting variation, on your research, might be to randomly generate data and see what optimising it can do. Note that randomly generated data doesn't match up to real market data ... the markets tend to have a lot more extreme results than can explained by a normal dist (I think Mandelbrot did some work with fractal maths and generation of more realistic distributions if you want to stress test opt in a realistic environment) . (Some people claim that fractals is a pseudoscience ... according to others it has something to say about wave patterns, or cycles, in market data ... I don't know about that but I think the computer generated fractal art would look great on a Tshirt).
