Excellent document. ----- Original Message ----- From: Thomas Ludwig To: [email protected] Sent: Sunday, June 08, 2008 7:01 AM Subject: Re: [amibroker] Re: Question for Howard Bandy
> I'd love a big section on programming using the custom backtester - > that's the one area of AB is still a struggle for me. I'd love to have that, too. In the meantime, are you aware of gp_sydney's excellent "AmiBroker Custom Backtester Interface.pdf" available in the files section of this list? Regards, Thomas > > --- In [email protected], "Ton Sieverding" > > <[EMAIL PROTECTED]> wrote: > > Even more kind words for you next book Howard. When ? > > > > Regards, Ton. > > > > ----- Original Message ----- > > From: Howard B > > To: [email protected] > > Sent: Friday, June 06, 2008 3:16 PM > > Subject: Re: [amibroker] Question for Howard Bandy > > > > > > Hi Rich -- > > > > Thanks for the kind words about my book. > > > > There is an errata file that lists all of the mistakes and typos. > > It can be found on this web page: > > http://www.quantitativetradingsystems.com/book.html > > > > This system uses a Watchlist that has the tickers of the stocks > > (or, better, sector funds) that you want to rotate among. I like to > use the nine S&P Sector ETFs. XLB, XLE, XLF, XLI, XLK, XLP, XLU, > XLV, and XLY. First create a watchlist containing these. Then tell > AmiBroker to use it when you are running: Automatic Analysis > Use > Filter > Define. > > > As the system is written in the book and in the download of the > > code, the Optimize statements are commented out. They need to be > enabled. Since you got optimization results, it sounds like you did > that. > > > The date range tested should be long enough so that there is some > > rotation. Since this system holds about 5 trading days, anything > more than a month or so should show rotation. > > > Whenever an afl program has the statement > > "EnableRotationalTrading", it will not have Buy or Sell statements. > Rotational trading is a subset of AmiBroker's much more general (and > much more powerful) portfolio trading. You are correct -- the system > is evaluated at the close of every bar and positions changed as > necessary. In AmiBroker, Help > AFL Language Reference. Enter > "enablerotationaltrading" and read the description. > > > And to answer a question that you have not asked, the automatic > > walk forward tools within AmiBroker do work as you would hope they do > with rotational trading models. > > > The results you get will depend on several things -- > > 1. The tickers in the watchlist. > > 2. The date range. > > 3. The Automatic Analysis > Settings > Trades. Usually the > > choice is between Close with a delay of 0, or Open with a delay of 1. > > > 4. The specific price data which will be different from > > different > > vendors -- Yahoo versus Quotes Plus, for example. > > > Here is what the code looks like when it is ready to start an > > optimization run. Note that I have left some of the Optimize > statements commented out, some enabled. > > > // SectorRotation.afl > > // > > // Compute a score based on the recent Rate Of Change > > // of the closing price. > > // > > // Rotate among the nine S&P sector ETFs > > // > > // Program options include allowing short positions or not > > // and interpreting the ROC as a mean reverting indicator > > // by turning it "upside down". > > > > EnableRotationalTrading(); > > > > // The number of issues to hold at a time > > NumberHeld = 2; //Optimize("NumberHeld",1,1,4,1); > > > > // Allocate funds equally among all issues > > PositionSize = -100/NumberHeld; > > > > // Set WorstRankHeld to be some number greater > > // than the number of positions held. > > NumberExtras = 3; //Optimize("NumberExtras",0,0,4,1); > > WorstRank = NumberHeld + NumberExtras; > > SetOption("WorstRankHeld", WorstRank); > > > > // The LookBack period for the Rate of Change indicator > > LookBack = Optimize("LookBack",6,2,20,1); > > > > // UpDown allows the ROC to be inverted > > // to treat a rising ROC as a "sell" signal > > UpDown = Optimize("UpDown",2,1,2,1); > > > > // Value of 1 allows short positions > > // Value of 2 blocks short positions > > AllowShort = Optimize("AllowShort",1,1,2,1); > > > > Multiplier = IIf(UpDown==1,1,-1); > > Score = Multiplier*ROC(C,LookBack); > > Score = IIf(AllowShort==1,Score,Max(Score,0)); > > PositionScore = Score; > > //Figure 15.1 Sector Rotation > > > > Thanks, and I hope this helps, > > Howard > > www.quantitativetradingsystems.com > > > > > > > > > > > > On Thu, Jun 5, 2008 at 2:36 PM, foxblade2000invest <[EMAIL PROTECTED]> > > wrote: > > Howard, > > > > If you read this - first can I say thanks for the book (QTS) > > which I'm glued to and really enjoying. > > > > I'm an inexperienced AB user so pardon any silliness. > > > > I'm trying to optimise / backtest your rotational trading model > > (listed at fig 17.1 but actually 15.1) and in doing so, I get > > the same result for every optimisation step - a RAR of about 10.5%. > > > > Clearly something's wrong - can you make any suiggestions? > > > > Also, with this type of model - there are no buy and sell > > signals (are there?) - If so, does the system rebase itself on a > > daily basis - ie buy / sell the highest / lowest ranking issues > > each day (and keep them if there's no change in the order)? > > > > Thanks for any help. > > > > Rich > > ------------------------------------ > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > For other support material please check also: > http://www.amibroker.com/support.html > Yahoo! Groups Links > > > ------------------------------------ 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links ------------------------------------------------------------------------------ No virus found in this incoming message. Checked by AVG. Version: 8.0.100 / Virus Database: 270.0.0/1489 - Release Date: 6/7/2008 11:17 AM
