I wrote something like this awhile back ( SFO ) i.e. a Signal File Optimizer which will allow combining of signals that with IO could be optimized for signal weights and percent invested long / short ...
Is that more or less what you are looking for ? --- In [email protected], "Brian" <[EMAIL PROTECTED]> wrote: > > 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 <kris45mar@> 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 <brianrichard99@> 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! 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