Thanks for the reply Howard. I've just ordered the book. I'll wait until it arrives before asking more questions.
Paul --- In [email protected], "Howard B" <[EMAIL PROTECTED]> wrote: > > Hi Paul -- > > I am a firm believer in performing statistical validation of trading > systems. That means searching / optimizing over one set of data (the > in-sample data), then testing over a set of data that has not been used to > develop the system (the out-of-sample data). Trading systems that show good > results over the out-of-sample data are more likely to trade well with real > money. One of the things I have found is that trading systems that are > selected on maximum CAR often do not trade well out-of-sample -- but you may > have found systems that do. > > Provided that your systems pass your validation tests, then you should be > very glad that you have a lot of candidates. One way to handle this is to > group the stocks you are willing to trade into watch lists containing > perhaps ten stocks each. Run your system as a portfolio test once for each > watch list and use the PositionScore feature of AmiBroker to determine the > best individual stock to trade. > > There is a much more detailed explanation of testing and validation, > including setting up portfolios and using PositionScore in my book, > Quantitative Trading Systems. You can learn more about the book at its web > site: > > http://www.quantitativetradingsystems.com/ > > Thanks, > Howard > > > > On 8/4/07, polomorabe <[EMAIL PROTECTED]> wrote: > > > > Hello, > > > > I've been following the postings on this forum since I first began > > using AB about two years ago, and thanks to the knowledge and sharing > > mentality of the posters here, my knowledge of AFL has increased > > greatly. I now have a question about trading system development. > > > > I've been getting experience with using the backtester, and I've > > identified some promising trading systems, one with a CAR of over > > 100%! During the backtest, I have limited the number of positions in > > the portfolio to 7, to reduce overtrading. However, when I take the > > same system from backtesting, and use it as an exploration, I get a > > huge number (>200) of trading candidates at the start of each trading > > day. > > > > My question is: without asking for details of specific trading > > systems, how do other users of AB reduce the number of stock > > candidates during the Exploration? During backtesting, I've found that > > when I try to constrain the backtester to attempt to reduce the number > > of candidates, it reduces the number of backtested trades but also the > > percentage of winning trades. > > > > Maybe this is wishful thinking, but for me a winning system is one > > that has a winning trades percentage > 50%, with a max system drawdown > > > 15%, and generating about 10 stock candidates per day. > > > > I'd be interested to hear of other's experiences and views. > > > > Many thanks, > > Paul > > > > > > >
