Thanks. Good luck. I'm sure I will learn from it. Brian_z
--- In [email protected], "Michael.S.G." <[EMAIL PROTECTED]> wrote: > > Hi Brian, > > >Has this been around before? > Not realy. And yes I have started the project, But I hope others > will extend it. > It also seems to be something that is missing from the AmiBroker platform. > > >What is the backtest framework? > It is a very simple framework for backtesting trading systems. I like > to think of it as a "Set of standards" for backtesting. > It's not going to be of use for everyone. Especially if you have very > complicated trading styles. > But it's simplicity should also enable flexibility enough to support > reasonably complicated systems/styles. > > >Could you explain a little more? > It was originally "Building a Trading system in AB" but that got put > on the shelf. It has been revived as "Backtest framework". > It now has a somewhat different purpose than what the original system > concept was. > > >From what I have seen proactive projects don't have a good track record... > Agreed. And I'm still at pains to make it easy for the average Joe > to participate in. > At the very least, It needs some sort of upload system similar to AFL > library, But > with the ability to cleanly upload Zip files. Basic performance stats > can be copied > to the library description for people to see if system is worth evaluating. > > > ATB > Michael. > > brian_z321 wrote: > > > > --- In [email protected] <mailto:amibroker% 40yahoogroups.com>, > > "Michael.S.G." <OzFalconAB@> wrote: > > > > > I'm looking for the most common statistics used by people on their > > backtests > > > for the inclusion in the backtest framework. > > > > Could you explain a little more? > > What is the backtest framework? > > Has this been around before or is it entirely your own project? > > > > > I was planning to upload the Backtest framework as some sort of > > > AmiBroker Community Open Source Project. > > > > >From what I have seen proactive projects don't have a good track record > > in the forum but that might change. > > I will help if I can. > > > > My evaluation methodology is off the wall compared to others so it > > probably won't be of any use to you. > > > > No offence to Ami, as it provides all industry standard evaluation > > measures, but I don't use them. > > I only want the closed trade series and I export to Xcel for evaluation. > > I have a custom built model in Xcel and I run it through that. > > I evaluate everything differently to anyone I have seen, at least > > anyone who is prepared to comment about the subject in public. > > The model is relatively new, and a work in progress, so it is partly > > manual at the moment. > > Later I might pay a programmer to write it up as an Xcel plugin with > > some automation of the tasks. > > I doubt if it is that unique as I believe the same evaluation can be > > done using MCS. > > I prefer to use *my method* because I understand it from every which > > way and it *explains* evaluation to me in one single image. > > Unlike MCS it is not processor hungry. > > > > All trades are standardised to %. > > The only recogniseable stat from Ami I use is win/loss ratio. > > >From there I use the frequency distribution of the trades; but I'm not > > concerned about the distribution type. > > I simulate the probable range of equity outcomes for different time > > periods and evaluate based on that. > > > > I also consider significance, once again using my own method. > > > > >From the above I arrive at a trade profile: > > > > the probability of system ruin at time (t); > > the probability that the system metrics obtained were due to chance; > > and the probability of portfolio ruin at time (t). > > > > If I don't like the profile I go back to the system and change the > > rules, which changes the key drivers and onto the profile. > > MoneyManagement is inbuilt and the key drivers/profile feedback loop > > shows me if my MM is on the money. > > > > Ruin is defined as 50% loss of capital, in which case I would walk away > > from the table with half of my capital intact. > > > > The fun part is that I don't disagree with Hermans approach. > > My image would be not unlike his rainbow curves. > > I am also interested in the number of trades and that they come from a > > wide range of stocks. > > Using intraday bars to up the trade count is another technique I have > > considered using. > > It appeals, especially if the signal proves to be generic and stands up > > across time frames. > > > > I have noticed before, that in trading, I can agree with two apparently > > contradictory methods or philosophies. > > The trick is in understanding them enough to make them work and knowing > > which one you are actually using at the time. > > > > I could hold my end up in the *stats can't be relied on* argument but I > > don't think I have the time right now. > > > > I might have to have a go at carlacashes question if no one else does ) > > (god help us). > > > > Brian_z > > > > >
