Fred, Thanks for giving me the thumbs up to try this in Batman.
Excellent feedback! Thanks, Brian --- In [email protected], "Fred" <[EMAIL PROTECTED]> wrote: > > Testing the theory is of course fine ... However I see no degree of > robustness in what you describe ... Backtests can be made to show > anything one wants them to show i.e. imho backtest performance > metrics only provide some indication of whether or not a particular > methodology should be more thoroughly investigated. > > As far as having the cability to create watchlists of a group of > stocks meeting some criteria in this case being the best performers > utilizing some system ... This can be done a variety of ways. > > One would assume the methodology you are describing requires that > every so often this sort of ranking process needs to be performed > again whether that's every day, every five years or at some frequency > in between and that during the investigation phase you'd want to roll > this forward from some point in time so that you can really see if > the idea is robust or not in good markets and bad. > > As a result it would seem that you need a controller that > - Changes the AA dates and possibly other AA settings > - Runs a backtest > - Sorts the results > - Exports the results > - Reads the results storing the symbols for the top candidates in a > watchlist > - Changes the AA dates forward > - Backtests the system on the created Watchlist with possibly other > settings changed and/or positionscoring logic etc. i.e. a potentially > different or at least modified version of the original AFL used in > the original backtest. > - Performs the set of instrcutions above multiple times > > This would seem to warrant a VB or J script to perform the required > functionality and while I tend to think of BatMan ( Which is in > essence a VBScript ) as a tool to be used for production systems / > scans / explores it does have the capability to perform all of the > above functions simply by filling in the blanks on a form indicating > a job within a batch ( in the above case two jobs, one for the > original backtest which creates the watchlist from the sorted results > and a second to run the out of sample test using the created > watchlist ) ... So feel free to use it or write your own flavor. > > --- In [email protected], "brpnw1" <tradermail@> wrote: > > > > Hi Fred, > > > > I'll try to clarify some more... I have a friend who claims he has > > had great success by making his trading system do two things: 1) > > backtest his system against recent data (he won't say how recent) > > for a select group of stocks, and 2) create a watchlist of the best > > performing stocks (based on the recent historical data test in #1) > > and then the system ultimately selects from the new watchlist which > > stocks it will trade. > > > > I was hoping to add this type of functionality to my trading > system. > > I am also hoping that in the midst of all the other scripts I am > > running for my trading system, I can somehow add a backtest script > > that will create the additional watchlist of best-performing > stocks. > > > > Whether or not my friend is correct in assuming the success of his > > system lies in this functionality, I cannot say. I would, however, > > like to test his theory on my own trading system. His trading > system > > does not use AB whatsoever. He works for a large financial firm. > > > > Thanks, > > > > Brian > > > > --- In [email protected], "Fred" <ftonetti@> wrote: > > > > > > Are you referring to in backtest ? > > > > > > --- In [email protected], "brpnw1" <tradermail@> wrote: > > > > > > > > Hi Fred, > > > > > > > > Robust = it generates consistently high profit. Not sure if you > > > > thought of a different definition, but this is what I meant > > > > by "robust." > > > > > > > > ~Bman > > > > > > > > --- In [email protected], "Fred" <ftonetti@> wrote: > > > > > > > > > > Robust ? ... What makes it robust ? > > > > > > > > > > --- In [email protected], "brpnw1" <tradermail@> > wrote: > > > > > > > > > > > > REPOST (see below). > > > > > > > > > > > > --- In [email protected], "brpnw1" <tradermail@> > > wrote: > > > > > > > > > > > > > > Hello fellow AB crew, > > > > > > > > > > > > > > I am looking for either search terms I can use to find > > > > previous > > > > > > posts > > > > > > > on this topic (please advise which terms to use) or an > > > > overview > > > > > of > > > > > > how > > > > > > > to build the following in AFL... > > > > > > > > > > > > > > I want to identify which specific stocks/ticker symbols > > are > > > > > > expected > > > > > > > to perform best with my trading system. I would like to > > > > isolate > > > > > > the > > > > > > > best-performing 20 stocks that have historically > generated > > > the > > > > > > best > > > > > > > reults for my trading system. I only want to trade these > > > > stocks > > > > > > with > > > > > > > the given system. > > > > > > > > > > > > > > My understanding is that stocks that have performed best > > in > > > > the > > > > > > very > > > > > > > recent past have a better chance of performing well in > the > > > > near- > > > > > > term. > > > > > > > This is based on a friend's robust trading system which > is > > > > > working > > > > > > > quite well. Therefore, I am interested in also selecting > > the > > > > > > length of > > > > > > > historical data that will be tested against the system > for > > > > each > > > > > > stock. > > > > > > > > > > > > > > Any ideas or code that you can throw at me to get me > > started? > > > > > > > > > > > > > > Thanks in advance, > > > > > > > > > > > > > > Brian, aka "Bman" > > > > > > > > > > > > > > > > > > > > > > > > > > > > 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 Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> Your email settings: Individual Email | Traditional <*> To change settings online go to: http://groups.yahoo.com/group/amibroker/join (Yahoo! ID required) <*> To change settings via email: mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
