If the list is a result of some analysis you do then you can assign a PositionScore to each security for each bar. This would yield a constantly changing and potentially prioritized list of available securities to be traded.
--- In [email protected], "Ed Hoopes" <[EMAIL PROTECTED]> wrote: > > As I mentioned in the first post - I have been trading this system for > about 1.5 years. The first quarter of this year had no severe > declines in the market, so the Max DD looks better than it really is. > Typically the system goes to 100% cash after about a 5% drawdown. > > There is another major component in my trading system that I didn't > mention - that of market timing. I use stock index futures (ES, YM, > ER2, NQ) to hedge based on 6 indicators. This hedging, while not > perfect, reduces the drawdown considerably so the system plus hedging > results in about 4% drawdowns. > > On the subject of drawdowns, there has not been a >10% market > correction in over three years. Since I have only traded this system > for 1.5 years, I don't know what will happen when we eventually get > one of these more typical market declines. > > The main reason for not posting a longer trading history is that the > stock list is updated every couple of weeks, which actually improves > results. I used the list that was current as of Dec 31, 2005 for this > test. I don't know how to simulate a constantly changing list of > stocks in the backtester. > > Reef-Break > > > > --- In [email protected], "Phsst" <phsst@> wrote: > > > > Fred's point is accurate IMO.... > > > > If the Trader has spent blood, sweat and tears over a period of years > > building up a serious trading equity, then a 28% System Drawdown would > > be demoralizing (only after causing a serious case of "Butt Pucker"). > > > > A subsequent post from Ed showed a 'Max Sys DD = -3.6%', but only > > included 48 trades... which because of the small number of trades > > seemed to me to be statistically irrelevant. > > > > > > --- In [email protected], "Fred" <ftonetti@> wrote: > > > > > > A Comment and a suggestion ... > > > > > > - DrawDowns ... I could be wrong but I suspect most people can't > > > tolerate 28% DD's ... To bring that number down to the point where > > > at least some people would be comfortable with it using real money > > > one would I think have to cut it half. Doing that with an existing > > > system by restricting how invested one is will result in the CAR > > > being reduced to the square root of its original number. > > > > > > - Objective Testing ... Take your data, cut in half ... Optimize > > > your system over half of the data and then test the parameter values > > > on the other half. This rudimentary view of out of sample testing > > > will give you some idea of what you are likely to experience in real > > > trading as opposed to totally in sample results. > > > > > > --- In [email protected], "intermilan04" <intermilan04@> > > > wrote: > > > > > > > > Since I have optimized my system between 1996-2006, I guess the > > > > answer would be the same time period. > > > > > > > > --- In [email protected], "Fred" <ftonetti@> wrote: > > > > > > > > > > That doesn't answer my question ... > > > > > > > > > > In the development of the system what range of data ( time > > > period ) > > > > > did you use ? The same time period ? An earlier one ? > > > > > > > > > > --- In [email protected], "intermilan04" <intermilan04@> > > > > > wrote: > > > > > > > > > > > > The numbers are the result of backtesting my system with > > > > > > NASDAQ and NYSE tickers (around 7000 tickers) between > > > > > > 1996/1/1~2006/1/1. > > > > > > > > > > > > --- In [email protected], "Fred" <ftonetti@> wrote: > > > > > > > > > > > > > > Are the numbers you posted in sample or out of sample ? > > > > > > > > > > > > > > --- In [email protected], "intermilan04" > > > <intermilan04@> > > > > > > > wrote: > > > > > > > > > > > > > > > > I know it depends on what you want personally for > > > risk/reward, > > > > > but > > > > > > > I'm > > > > > > > > curious as to what other people's systems (developed in > > > > > Amibroker) > > > > > > > are > > > > > > > > performing like. You don't have to share your code or the > > > idea > > > > > behind > > > > > > > > your system (unless you want to), but I'm curious. > > > > > > > > > > > > > > > > Over the last 10 years, say, what is your annual profit %, > > > max > > > > > > > > drawdown, % winning trades, etc.? > > > > > > > > > > > > > > > > I have a long system that has returned around 110% since > > > > > 1996. Its > > > > > > > > winning % is 47%, and the system drawdown is 28%. It is a > > > > > > > > reversal-based, swing-daytrade system. > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > ------------------------ Yahoo! Groups Sponsor --------------------~--> GFT Forex Trading Accounts As low as $250 with up to 400:1 Leverage. Free Demo. http://us.click.yahoo.com/lpv1TA/jlQNAA/U1CZAA/GHeqlB/TM --------------------------------------------------------------------~-> Please note that this group is for discussion between users only. 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