Seriously ? ... A rotational system is different in scope then what I thought was being discussed here which appears to be a rotating universe of tradables that have some life and get traded intraday based on them meeting some form of buy & sell rules.
--- In [email protected], "dingo" <[EMAIL PROTECTED]> wrote: > > How about an example of how to do that using a sharpe ratio of each security > and maybe trade on a rotational basis every month? > > Seriously. > > d > > > _____ > > From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf > Of Fred > Sent: Tuesday, April 18, 2006 1:37 PM > To: [email protected] > Subject: [amibroker] Re: System Performances > > > 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" <reefbreak_sd@> > 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. > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > 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 > <http://groups.yahoo.com/gads? t=ms&k=Investment+management+software&w1=Inves > tment+management+software&w2=Real+estate+investment+software&w3=Inves tment+p > roperty+software&w4=Software+support&w5=Real+estate+investment+analys is+soft > ware&w6=Investment+software&c=6&s=200&.sig=_XXUzbE9l5lGlZNcMu4KNQ> > management software Real > <http://groups.yahoo.com/gads? t=ms&k=Real+estate+investment+software&w1=Inve > stment+management+software&w2=Real+estate+investment+software&w3=Inve stment+ > property+software&w4=Software+support&w5=Real+estate+investment+analy sis+sof > tware&w6=Investment+software&c=6&s=200&.sig=5_sgDczz3ArKGMtJ9tFSJA> estate > investment software Investment > <http://groups.yahoo.com/gads? t=ms&k=Investment+property+software&w1=Investm > ent+management+software&w2=Real+estate+investment+software&w3=Investm ent+pro > perty+software&w4=Software+support&w5=Real+estate+investment+analysis +softwa > re&w6=Investment+software&c=6&s=200&.sig=_N6zcwefgp4eg5n6oX5WZw> property > software > Software > <http://groups.yahoo.com/gads? t=ms&k=Software+support&w1=Investment+manageme > nt+software&w2=Real+estate+investment+software&w3=Investment+property +softwa > re&w4=Software+support&w5=Real+estate+investment+analysis+software&w6 =Invest > ment+software&c=6&s=200&.sig=MJ2jP31F3n64RDZkDadU8w> support Real > <http://groups.yahoo.com/gads? t=ms&k=Real+estate+investment+analysis+softwar > e&w1=Investment+management+software&w2=Real+estate+investment+softwar e&w3=In > vestment+property+software&w4=Software+support&w5=Real+estate+investm ent+ana > lysis+software&w6=Investment+software&c=6&s=200&.sig=GmF8PlAJASx0wrSa X5-Zlw> > estate investment analysis software Investment > <http://groups.yahoo.com/gads? t=ms&k=Investment+software&w1=Investment+manag > ement+software&w2=Real+estate+investment+software&w3=Investment+prope rty+sof > tware&w4=Software+support&w5=Real+estate+investment+analysis+software &w6=Inv > estment+software&c=6&s=200&.sig=aMgGsKT4w29dMAYUzQUKzg> software > > _____ > > YAHOO! 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