ChrisB, No problemo. Do what you can and get back to me later.
Basically, I am talking about building an include (modular code) that weights buy/sell signals according to a percentage (of all available signals), rather than a static number. I haven't thought it out too much, but this seems like something many system developers would want, so if I build it -- it goes in the AFL library -- where the others can pick on my code and clean it up for me ;-) I'm a data guru more than a programmer these days. Thanks, Brian --- In [email protected], kris45mar <[EMAIL PROTECTED]> wrote: > > Brian > > You've lost me, I'm afraid. This is clearly way ahead of where I would hope to be with AFL and system design, even some time from now, but the ideas are intriguing. > > Regards. > > ChrisB > > Brian <[EMAIL PROTECTED]> wrote: So far it looks like I will be weighting signals based on 1) how > consistently leading the indicator is, and 2) various ratios used to > identify profitability during the optimization process. Currently my > signals are all equal weight. As I get used to how the system > performs in papertrading, I will tweak the weights accordingly. I > will be writing some code to give each indicator a ratio relative to > all other signal ratios in its signal group. That way I don't have > to assign a number, which would force me to become refamiliar with a > new signal range (1-100 is now 1-120, etc.). The results in AA would > then come out as percentages instead of integers, that way. > > If you come up with a better weighting method please send me an > email at brian (at) brianrichard (dot) com. > > Thanks! > > Brian > > > --- In [email protected], kris45mar <kris45mar@> wrote: > > > > Brian > > > > Good feedback, thanks. > > > > Yes "feeler trades" is basically where I am at at the moment. > Keep probing the market, if good, add more, if bad, too bad. > > > > A recent presentation in Perth by a systems developer (who sells > his signals commercially so I am not interested: I am too pig > headed for this I suppose) is based on this principle. He runs 10 > systems over the top 30 US stocks. If on any day there are 7 or > more buy signals from the individual systems, this is his buy > recommendation. Sort of a weight of evidence theory. Seems based on > sound statistics, thousands of trades in his stats, stop and > reverse system, in and out of sample testing with smooth equity > curve and manageable drawdowns. EOD only and entry/exit on open. > > > > Similar I guess to what you are doing by weighting your signals. > This may ultimately where I am headed. > > > > Sounds like I have more coding to learn: half the fun, though. > > > > Regards > > > > ChrisB > > > > Brian <brianrichard99@> wrote: ChrisB, > > > > I just completed another "system" that's comprised of about 15 > > different proprietary indicators, all of them optimized for both > EOD > > and Weekly timeframes, as well as for a specific group of 500 > > stocks, ETFs and CEFs. I used to look at just two or three > > indicators (a "system"), but found each indicator has its unique > > weakness. So now I just go with looking at all of the signals > that > > all of my best indicators generate. I weight each signal. I also > > look at signals that are up to 3 bars old, and weight those > signals > > less. > > > > I will eventually try to automate all of this optimization. Not > > there yet. > > > > I also separated out trending signals from daily buy/sell > signals, > > so I really have a separate trend system as well. > > > > I've read more than once, from reading passages written by very > > profitable traders, that their systems generally take the same > form > > as the one I've created. Very few boil everything down to one > type > > of trade that they do over and over. Problem with those single > setup > > trades is you still need to look at all important variables > outside > > of the setup that can affect the setup. A mentor statistican > friend > > of mine recommended I build in an additional "trade > cancellation" > > system that lets me know when outside variables are building > against > > the system signal. This helps me sort the best trades out from > the > > bunch. > > > > I am using no equity curve. IMO that would just seem to add > another > > layer of unnecessary complexity. Focus on money management -- > > scaling and scaling out, user "feeler" trades, etc. That will > likely > > get you farther down the road. My personal goal is to use my > system > > to identify good trades for my discretionary style of trading. > > > > Just my toe scents. > > > > ~Brian > > > > > > > > --- In [email protected], kris45mar <kris45mar@> wrote: > > > > > > Phew, Yuki. > > > > > > Honoured to humbled to receive your lengthy reply. Please be > > warned: this inspirational, supportive ( and midly cajoling ) > reply > > ( thank you! ) may be transferred into my "Yuki says" > handbook! > > Everything you say strikes a resonant note though, and is taken > in > > good spirit. > > > > > > I have 25% DD with 4 wins out of the last 30 discretionary > > trades. > > > Looking through my last two years' trades tells me that what > > worked in 2004 is not working in 2005/6. This brings me to the > > point in my 2005 trading plan where I defined conditions to > stop > > trading. I now need a change of direction: the plan is to > continue > > to explore AB, AFL and the superb posts on this board towards > > developing a mechanical system. It can't be that hard for me to > > develope one that does better than my 2005 trading year. > Whether I > > can then actually trade it is a whole different ball game. > > > > > > You said: > > > > > > " > > > And thank goodness not everyone can do this. We need some > > productive > > > members of society, too. ^_- > > > " > > > > > > LOL.... and yet the lesson we learn about ourselves by > trading > > can make us more productive in other areas! > > > > > > In summary: > > > > > > You will never avoid drawdowns: agreed. > > > Sharper gains (with a reliable system) may come when the > equity > > curve is below its MA. Sounds logical, and worth exploring. > > > > > > All I am asking is this: > > > > > > Markets change over time (that is why there is no Holy > Grail) > > and so should our systems, or the ones we choose to trade with, > not > > respond to this? Or we may choose to stand aside for a while. > Or > > just trade different markets with concurrently different > systems to > > create a smoother equity curve overall? > > > > > > Could you comment on whether you trade with one system only > or > > more than one? And if more than one, what would be a trigger to > > change if the Equity curve is not the signal to do so? > Drawdowns? > > Sleepless nights? Declining expectancy? This has to part of our > > business plan after all. In 2004 I achieved my trading goals, > 2005 > > was not a successful one. Message: time to stop doing what I am > > doing: it is not working. Do something else. The goal then is > to > > replace what I am doing with something that does work. > > > > > > I realise the answers to these questions are personal, but > it > > is invaluable to get some insight to the philosophies of > others, in > > an attempt to know where to start. > > > > > > Regards > > > > > > ChrisB > > > > > > > > > > > > Yuki Taga <yukitaga@> wrote: Hi kris45mar, > > > > > > Monday, March 13, 2006, 11:35:06 PM, you wrote: > > > > > > k> b. When the Equity is above the MA, then take the > signals. > > > > > > k> c. when the equity curve falls below its MA, then > either. > > > > > > k> i. stop trading that system until such time as the > > curve goes back above the MA. > > > > > > k> ii. or severely reduce position size. > > > > > > k> iii. and/or swap over to another system that is now > > above its MA. > > > > > > You will get various opinions on this, however I think it > really > > > boils down to just how logical you suspect your system > > methodology > > > is, and whether you suspect it is actually and finally being > > > arbitraged out of existence. > > > > > > If the system has worked for several business cycles in > various > > > market modes, and has never really gotten into serious > trouble -- > > in > > > other words, it's a system you can trade -- then it would > seem > > to me, > > > and indeed is what I do, that the time to be more careful is > when > > > equity has been running well above the MA for some rather > lengthy > > > period of time. I'm inclined to bump *up* position size a > little > > bit > > > when I start experiencing a losing streak -- in other words > when > > I > > > get mean reversion or worse of the equity curve. I would > > certainly > > > not stop trading when that happens. I think your gut > feeling is > > > exactly opposite of what you should do. > > > > > > The sharpest gains and nicest times you are likely to ever > have > > are > > > when equity is making the swing from below average to above > > average. > > > This is much more fun than the opposite, and you are going to > > > experience both. So why would you consider stopping trading > when > > > equity dips below average? Immediately, you would then be > > preparing > > > to cheat yourself out of your best performing part of the > cycle, > > and > > > you would be ready to embrace the worst cycle segment of > your > > system: > > > when equity moves from above average to below average. > > > > > > In the end, it all boils down to confidence. You either > have a > > > viable system, or you don't. If you have one, follow it. > If you > > > can't stand the drawdowns ... IMHO, you don't have a viable > > system, > > > and probably should not be trading it. No one should trade > any > > > system that has drawdowns they cannot stomach, and stomach > > > comfortably, probably max system percentage drawdown times > two, > > maybe > > > times 2.5 or three. > > > > > > But if you really do have a system, take every signal. > Period. > > If you > > > want to "play" your system a little bit, consider something > like > > > *lightening* position size -- slightly -- when equity has > been > > > running above average for some period of time, and > *increasing* > > it > > > ... again, slightly ... when equity has been running below > the > > line > > > for some time. You have to judge when these conditions > might > > apply > > > after carefully analyzing your system yourself. > > > > > > But using the MA of equity to flatly refuse or take signals > is > > simply > > > a different form of "Holy Grailism". It is a fear of taking > > losers, > > > or an attempt to altogether avoid taking losers, which > absolutely > > > must be taken in any systematic trading. You simply have to > have > > a > > > system in which you can *stand* to take the losers, and be > > > comfortable with them. If you don't, you can't trade it, > and > > playing > > > around using the equity curve as an ultimate filter is not > > likely to > > > made a dangerous system safe, or an uncomfortable system > > comfortable. > > > > > > You will never, ever, find a system that has an equity curve > that > > > doesn't dance on both sides of a MA. Life doesn't work that > > way. But > > > if the curve is obviously solid, in other words, a real > curve or > > > slope, and not an amusement park thrill ride, and all the > metrics > > > look nice over thousands of trades and many years, you may > want > > to > > > think about doing exactly the opposite of what your gut > tells you > > > when you hit a soft patch. > > > > > > OTOH, if the last sentence above applies ... why stress > yourself > > at > > > all? Take the *&$% signals as they come, and relax. ^_^ > If you > > > cannot stand a loss the magnitude of which would tell you > that, > > > indeed, your system is no longer functioning, you are > probably > > not > > > well enough capitalized to be in this business. Not > everybody > > is. > > > And thank goodness not everyone can do this. We need some > > productive > > > members of society, too. ^_- > > > > > > Yuki > > > > > > > > > > > > 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 > > management software > Real > > estate investment > software > > Investment property > > > software > > > Software > > support Real estate > > investment analysis > > software Investment > > > software > > > > > > > > > --------------------------------- > > > YAHOO! GROUPS LINKS > > > > > > > > > Visit your group "amibroker" on the web. > > > > > > To unsubscribe from this group, send an email to: > > > [EMAIL PROTECTED] > > > > > > Your use of Yahoo! Groups is subject to the Yahoo! 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