Hi Brian Thanks for this extra comment.
Your immediate prior post had me confused because by PF I assumed you meant Profit Factor and the nearest I can understand this, is that Profit Factor = Gross Profit / Gross Loss or as in the AB reports: Profit Factor = Total Profit / Total Loss. I didn't understand how this related to a time series or per annum gain. However reading between the lines of this last post, I think you may be referring to van Tharp's (was it he who coined this phrase? ) Profitunity factor? Where .... Profitunity = Expectancy per trade * number of trades per time period. In which case it makes a little more sense to me. If not, I am happy to stand corrected. Regards ChrisB brian_z111 wrote: > > > I like PF (a derivation of it) and expectancy is really PF > translated > > in return over time (PA%). > > FTR - to explain further what I meant about PF (my take on it). > > PF is the trades profile (a kind of quality measure) comprising two > components (W/L ratio and ave%W/ave%L ratio). > The W/L ratio tells us something about the buy signal whereas the % > W/L ratio tells us something about the exits (profit and loss stops) > although they are interdependent. > > The W/L ratio is binomial and indicates the tendency towards runs > (losing/winning streaks) and the %W/%L quantifies that e.g. as an > equity curve. > > PF is the theoretical edge (as ratio). > > Looking at the two components of PF can tell us more about the trade > than looking at PF alone. > > Expectancy standardises the edge (PF) to a per trade basis and > quantifies it (as %). > > Expectancy * trade frequency (trades per periods e.g. year) > quantifies the edge as return per period e.g. year. > > brian_z > > --- In [EMAIL PROTECTED] ps.com > <mailto:amibroker%40yahoogroups.com>, "brian_z111" <brian_z111@ ...> > wrote: > > > > Chris, > > > > > This won't help you much but I thought I would chip in here, > anyway. > > > > On the contrary - I think it is very apt and insightful. > > > > > I used to spend *hours* every week manually updating data etc > > > . What an agonising waste of time!. > > > > I agree with you. > > Efficient use of time (a.k.a what works?) and leaving risk behind > are > > two major drivers behind the development of my style e.g. > fundamental > > analysis requires a constant renewal of information whereas with > > technical analysis the acquisition phase diminishes with time. > > > > > Support and resistance are > > > still at the same level, and is never tick precise. > > > > I agree S&R is not tick precise. > > In fact I am inclined to the view that it is generally a little > > imprecise. > > > > Take a classical (theortical) example of support - one buyer with > > enough clout to make a difference is buying at a target - say it is > a > > whole number $20.00. In real life he or she is a person with > emotion > > so 20 becomes 19.95. Also in real life the order has to be > physically > > filled so spreads and market movement around 20.00 means 'buy at > 20' > > becomes +- 0.20. > > > > I am not a long term intraday trader but my observations so far at > > that S&R are easily identified on intraday charts than EOD charts. > > > > > The issue is: is the expectancy positive and can I continue to > > >trade > > > this. All three maintained a positive expectancy and when this > fell > > >away > > > this was the "stop trading this system" signal. > > > > I agree that expectancy is a significant metric. > > I like PF (a derivation of it) and expectancy is really PF > translated > > in return over time (PA%). > > > > PF is like the HP of an engine. > > The more grunt you have the less you are affected by the little > bumps > > (data errors, slippage, variance etc). > > > > Even a coin with a strong bias will produce its run of outs. > > > > > > Thanks for your post, > > > > Good stuff. > > > > brian_z > > > > > > > > --- In [EMAIL PROTECTED] ps.com > <mailto:amibroker%40yahoogroups.com>, ChrisB <kris45mar@> wrote: > > > > > > Brian > > > > > > This won't help you much but I thought I would chip in here, > anyway. > > > > > > I used to spend *hours* every week manually updating data, > checking > > > splits consolidations rights issues etc every week with data from > > > Justdata comparing with ASX published data in the back of the old > > Shares > > > magazine. What an agonising waste of time!. > > > > > > Now I only look at Fx. With this being retail broker based the > data > > is > > > never clean. > > > > > > Toward the end of last year I ran a simple once a day system on > > three > > > different (demo: yes I know) platforms, entering Limit entries > for > > the > > > day in the morning and off to work for the day, as a kind of real > > time > > > walk forward test. Surprising how much time this took to do. > > > > > > In the evening most times all three platforms had either filled > my > > > orders or not, but it was surprising to see how many times > > Platform1 and > > > Platform2 would have filled my limit entry, and one of them had > got > > > stopped out, whereas the other had got to the Take Profit. On > other > > days > > > Platform1 and Platform2 would have filled my entry order but > > Platform3 > > > ran without me: a missed trading opportunity. > > > At the end of the month all three platforms were in profit, just > by > > > different amounts. > > > > > > Because I get my Fx data through MT3 plugin these are not exactly > > the > > > same prices as my live trading account. > > > To be honest I don't think this matters. Support and resistance > are > > > still at the same level, and is never tick precise. > > > Others may choose to disagree. > > > > > > Just following three Fx data providers will show you by how much > > each > > > can differ, notwithstanding the different time zones and > therefore > > > differing candles we get. And that is not even talking about > > economic > > > news times! > > > > > > The lesson for me was clear : the individual trade result is > > irrelevant. > > > The issue is: is the expectancy positive and can I continue to > > trade > > > this. All three maintained a positive expectancy and when this > fell > > >away > > > this was the "stop trading this system" signal. > > > > > > That to me is one of the advantages of Fx : no database hassles. > No > > > company reports, no shareholder statements, no Chess holder > > statements > > > and the inevitable shareholder bits of paper coming through the > > mail > > > after I have long closed the trades. > > > > > > The other way to think about it would be: well if Provider1 has > > > different Ticks to Provider2, just backtest and optimize for each > > > respectively over the same time frame and the same tickers. If > your > > > parameters and results differ widely this may be a message that > > your > > > system is marginal. On the other hand, if all is well and the > > results > > > are very similar, you have just done your own "should I care how > > clean > > > my data is?" test. > > > > > > Regards > > > ChrisB > > > > > > brian_z111 wrote: > > > > > > > > Steve, > > > > > > > > I would like to know how I can decide if EOD data is clean or if > > > > intraday data is up to the demands. > > > > > > > > It is a subject that I don't see much quality discussion on. > > > > > > > > For EOD data my best ideas so far are: > > > > > > > > 1) Data includes raw data - I can compare raw data to other > > providers > > > > raw data - I can't compare it to an absolute benchmark because > > there > > > > isn't one. > > > > > > > > 2) Data inlcudes a record of all split events and the > > corresponding > > > > split factor I can check the event records independently and > check > > > > the math. > > > > > > > > 3) I can apply the split factor or see the results of it's > > > > application so I can check the math. > > > > > > > > 4) The event calendar should inlcude non-trading days for the > > market > > > > and stand down trading days for companies. > > > > > > > > 5) Data can be padded or unpadded (optional). > > > > > > > > I can't think of any other way to measure data quality. > > > > > > > > I don't think any data provider meets the criteria - maybe a > few. > > > > > > > > For intraday: > > > > > > > > What could I possibly do? > > > > > > > > Buy raw tick data from several providers, compare them for a > > > > consensus and filter it myself ? > > > > > > > > I am at a loss on that one. > > > > > > > > Of course another option is to trade in such a way that bad > ticks > > and > > > > unclean EOD data don't affect the outcomes very much (that > could > > be a > > > > lot easier than the above). > > > > > > > > brian_z > > > > > > > > --- In [EMAIL PROTECTED] ps.com > > > > <mailto:amibroker% 40yahoogroups. com>, "scourt2000" > > <stevehite@ ..> wrote: > > > > > > > > > > > > > > > Mark, > > > > > > > > > > No successful intraday real-time trader who does this full- > time > > > > would > > > > > ever drop eSignal for Gary's new real-time service. > > > > > > > > > > It's a pennywise and pound-foolish decision. > > > > > > > > > > He's fine for clean end-of-day data. But he's way out of his > > > > league > > > > > for the demands of intraday real-time trading. > > > > > > > > > > > > > > > --- In [EMAIL PROTECTED] ps.com > > > > <mailto:amibroker% 40yahoogroups. com>, "MarkK" <MailYahoo@> > wrote: > > > > > > > > > > > > Brian, > > > > > > > > > > > > > > > > > > > > > > > > So far I am very happy with the QP RT beta testing > > > > > > > > > > > > I believe that when it goes live they will be taking a lot > of > > > > > customers away > > > > > > from the other services > > > > > > > > > > > > > > > > > > > > > > > > It is a much better value than other things out there, and > so > > far > > > > > the data > > > > > > has been accurate > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > MarkK > > > > > > > > > > > > > > > > > > > > > > > > _____ > > > > > > > > > > > > From: [EMAIL PROTECTED] ps.com <mailto:amibroker% > > 40yahoogroups. com> > > > > [mailto:amibroker@ yahoogrou ps.com <mailto:amibroker% > > 40yahoogroups. com>] > > > > > On Behalf > > > > > > Of brian_z111 > > > > > > Sent: Friday, February 15, 2008 7:47 AM > > > > > > To: [EMAIL PROTECTED] ps.com <mailto:amibroker% > > 40yahoogroups. com> > > > > > > Subject: [amibroker] Re: AP's RT data feed - for MarkK > > > > > > > > > > > > > > > > > > > > > > > > > I am looking for an RT data provider. I used eSignal for a > > > > couple > > > > > > >of years, then quit and am ready to resart, but don't likr > > their > > > > > > >fees. > > > > > > > > > > > > QuoteTracker and LiveCharts have the $60 and $20 version of > > > > eSignal > > > > > > if you don't mind less backfill and fewer symbols. > > > > > > > > > > > > I have read of a few issues with LiveCharts but surely we > can > > > > make > > > > > it > > > > > > work (a lot of the problems also came about because people > > still > > > > > > wanted it free after it changed to pay for play a year ago - > > > of > > > > > > course it doesn't work if ou don't pay). > > > > > > > > > > > > A couple of users said it was slow - I don't know - I > haven't > > > > tried > > > > > > it yet but I will. > > > > > > > > > > > > brian_z > > > > > > > > > > > > --- In [EMAIL PROTECTED] <mailto:amibroker% > 40yahoogroups. > > com> > > > > > ps.com, "Ara > > > > > > Kaloustian" <ara1@> wrote: > > > > > > > > > > > > > > Mark, > > > > > > > > > > > > > > I am looking for an RT data provider. I used eSignal for a > > > > couple > > > > > > of years, then quit and am ready to resart, but don't likr > > their > > > > > fees. > > > > > > > > > > > > > > Would you elaborate a bit on AP. Never heard of them > > > > > > > > > > > > > > Tx > > > > > > > > > > > > > > Ara > > > > > > > ----- Original Message ----- > > > > > > > From: MarkK > > > > > > > To: [EMAIL PROTECTED] <mailto:amibroker% 40yahoogroups. > > com> > > > > > ps.com > > > > > > > Sent: Friday, February 15, 2008 3:36 AM > > > > > > > Subject: RE: [amibroker] New EOD data feed other than > Quotes > > > > Plus > > > > > > > > > > > > > > > > > > > > > Dan, > > > > > > > > > > > > > > > > > > > > > > > > > > > > I use QP for EOD data, and am happy with the fundamental > > data > > > > > > that they provide. Not sure there is another service that > > offers > > > > as > > > > > > much in that area > > > > > > > > > > > > > > I also use Fast Track for EOD data. Some market internal > > data, > > > > > > no fundamental data to speak of, however the data has been > > > > cleaner > > > > > > than QP EOD day data. For Mutual fund data not sure there > is a > > > > > > better service out there. > > > > > > > > > > > > > > > > > > > > > > > > > > > > Have been an e-signal subscriber for RT data now for 4 > > years. I > > > > > > cancelled my subscription since they kept raising their > > prices, > > > > and > > > > > > went to IQ feed. Used them for a month then they raised > their > > > > > > prices. Luckily I was abe to beta test AP's RT data feed. > So > > far > > > > > > they have been very responsive on the changed needed to > make > > it > > > > an > > > > > > excellent RT service, and at a reasonable price. > > > > > > > > > > > > > > > > > > > > > > > > > > > > I would suggest you get hold of Gary at QP and let him > know > > > > about > > > > > > your issue. I would think you will become a satisfied > customer > > > > once > > > > > > again > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > MarkK > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > ------------ --------- --------- --------- --------- ----- > -- > > -- - > > > > > > ---------- > > > > > > > > > > > > > > From: [EMAIL PROTECTED] <mailto:amibroker% > 40yahoogroups. > > com> > > > > > ps.com > > > > > > [mailto:amibroker@ yahoogrou <mailto:amibroker% > > 40yahoogroups. com> > > > > > ps.com] On > > > > > > Behalf Of Dan Clark > > > > > > > Sent: Thursday, February 14, 2008 11:56 PM > > > > > > > To: [EMAIL PROTECTED] <mailto:amibroker% 40yahoogroups. > > com> > > > > > ps.com > > > > > > > Subject: [amibroker] New EOD data feed other than Quotes > > Plus > > > > > > > > > > > > > > > > > > > > > > > > > > > > I've been using Quotes Plus data for the last 2-1/2 years. > > > > > > Overall, I've been very happy with Quotes Plus data and Gary > > > > > Lyben's > > > > > > (owner/president) responsiveness. That said. > > > > > > > > > > > > > > > > > > > > > > > > > > > > In the last few days, I've swapped several e-mails about a > > > > minor > > > > > > billing issue (credit card renewed with different number) > > with a > > > > > > woman in his billing department. What should have been a > very > > > > minor > > > > > > clerical issue left me feeling EXTREMELY angry and offended. > > > > > > > > > > > > > > > > > > > > > > > > > > > > I vowed to switch my data feed from Quotes Plus to > another > > data > > > > > > feed as soon as possible. This is a major issue for me > > because of > > > > > > the amount of AFL recoding involved, but I can no longer do > > > > > business > > > > > > with Quotes Plus. > > > > > > > > > > > > > > > > > > > > > > > > > > > > I need some options for other EOD data feeds. What EOD > > service > > > > > > are you using? What has your experience been? What are the > > > > > > alternatives now? > > > > > > > > > > > > > > > > > > > > > > > > > > > > Thanks and regards, > > > > > > > > > > > > > > > > > > > > > > > > > > > > Dan. > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > -- > > > Regards > > > > > > ChrisB > > > > > > > -- Regards ChrisB
