Quite! That is a very logical approach to discretionary trading :-)
Sometime down the track, when the sky is blue and the sea breeze is gentle, we should swap some private notes (very short ones). In the meantime - if you ever come up for air - a readers digest tutorial on your parameter thing would be nice. I just can't get a handle on what you are about in that area (I don't need much - just the sniff of the concept will do and I can run on from there alone). Cheers, brian_z --- In [email protected], Dennis Brown <[EMAIL PROTECTED]> wrote: > > Brian, > > I hear you. I understand the approach. It is the approach I use. > The details may be different though because my goals are perhaps > different. I do things in stages and combine at the last possible > moment. Signal generation, signal combinations, system generation, > system combinations, metric generation. All in real time with each > bar. Each step is accessible to any other step if desired. > > My Flexible Parameters system is critical to my being able to do this > successfully. That is why I have devoted so much of my programming > efforts to this seemingly side path to my trading systems. > > Sometimes people think that if they can make a system that is so > complicated that they can no longer understand it, it will work > better. I find just the opposite. The simpler the system > (conceptually) the better I can make it work. It must be based on > modeling something about human behavior though to have an enduring > edge. The day that only computers are trading the numbers, only > fundamental analysis will have any value, because the overreactions > will get damped out. > > Stare at the charts first and decide what trait to exploit. Then work > on what it takes to express that in logic. Some things took me years > to finally figure out how to do in AFL logic --simple things I can see > and do with studies. The trick is to have a vision, and never give up > before you realize it. > > Best regards, > Dennis > > On Aug 18, 2008, at 9:04 PM, brian_z111 wrote: > > > After all of that I still didn't make the distinction clear: > > > > We can have individual symbol trade series OR multiple symbol trade > > series OR multiple system trade series OR AND evaluate them at the > > portfolio level WITHOUT MONEY MANAGEMENT. > > > > MM can sometimes cause a lot of confusion when it is combined with > > the trade series in a BackTester (to much going on at the same time > > and behind closed doors at that). > > > > Once again I am not pointing the finger at the BT - only the logic of > > the traders 'collective wisdom' that lead us down that path. > > > > Also, BT's will all the bells and whistles have their function - I > > won't complain if Tomasz wants to beef it up or whatever - I am > > rather pleased that AB will (hopefully) let me do my own thing in > > other ways though. > > > > > > brian_z > > > > > > > > > > --- In [email protected], "brian_z111" <brian_z111@> wrote: > >> > >> All, > >> > >> I am aligned to Hermans approach - what you guys are talking about > >> seems rather complex to me - the end result doesn't allow for a > > KISS > >> approach, which is what I like - I agree with H on the time > >> limitation and how "inline metrics" offer us RT system feedback > > plus > >> we are free to do some extra things there that we can't do under > > the > >> constraints of the BT (no offence to AB - the constraints are there > >> for a good reason and we all want to use the BT at some time or > >> another). > >> > >> I am optimistic about the path I am going down with RT portfolio > >> emulation (as I discussed a little bit before under "Inline > >> Backtester" etc. > >> > >> I have been playing with it a little (weekends only) and I believe > > I > >> can get code to: > >> > >> - emulate a balanced portfolio > >> - integrate multiple systems into that portfolio (including > >> long/short) > >> > >> So far my approach is very basic but I have to start somewhere. > >> (I will post some basic code examples if I get them to work OK) > >> Theoretically I have the base code for multiple systems working > > but > >> the practical limitation might be scaling up to many symbols (so > > far > >> I am looping from a watchlist of 3 tickers and the Help manual says > >> this is very slow in RT - still it is better to get it working in > >> theory first and worry about large scale application later). > >> > >> > >> > >> I guess I didn't sell any of you on the idea so far: > >> > >> - our rule based systems are like number generators (not random but > >> slightly biased - hopefully) > >> - trade series are generated when we present data to our systems > >> - over sufficient samples the trade series has a distinctive > > profile > >> (frequency distribution) > >> - the distribution is tight if our rules are tight > >> - the order of the trades is 'random' OR at the least not under our > >> control ??? > >> > >> So what we have is a series of trades, whose range is limited (by > >> rule) but whose order varies (according to the whim of the market). > >> > >> THE TRADE SERIES PROFILE DOES NOT VARY (IF WE HAVE DESIGNED OUR > >> SYSTEMS WELL) > >> > >> Nominally, the system can produce many different eq curves - based > > on > >> the order of the series (note that the above is a nominal model - > >> perhaps not an exact model - of the real world of trading but it is > >> close enough to enable us to make trading predictions). > >> > >> > >> HOWEVER, ONCE WE START TO ALLOCATE CAPITAL TO THE SYSTEM, IN > > VARYING > >> AMOUNTS AND AT DIFFERENT TIME INTERVALS, THE NUMBER OF POSSIBLE EQ > >> CURVE OUTCOMES ESCALATES. > >> > >> This allocation of capital, is done by the BT in ways that take > > quite > >> a bit of effort to follow (I am not saying that the BT has any > > faults > >> only that Portfolio Backtesting can obscure the real UNDERLYING > >> performance of the system). > >> > >> Further to that, the BT doesn't allow multiple system analysis, at > > a > >> Portfolio level. > >> > >> THE FACT IS THAT THE TRADE SERIES CARRYS (MATHEMATICALLY) ALL OF > > THE > >> INFORMATION ABOUT THE SYSTEM THAT WE NEED - WITHOUT HAVING TO > > SUBMIT > >> IT TO THE BT. > >> > >> In short: > >> > >> the trade series, expressed as growth factor, can be used to > > emulate > >> different portfolio outcomes, after the fact i.e. > >> > >> IT IS EASIER TO UNDERSTAND THE PORTFOLIO RAMIFICATIONS IF YOU GET > > THE > >> TRADE SERIES FIRST AND THEN TRIAL VARIOUS PORTFOLIO APPROACHES > >> INDEPENDENTLY. > >> > >> Inline metrics (indicators) is one place in AB that lends itself to > >> this - no COM/OLE/CBT?. > >> > >> Portfolio emulation example (for a balanced portfolio): > >> > >> - take the trades as Gf e.g. 3% == 1.03 (in an array) > >> - repeat for several symbols > >> - average the GF, for all symbols, bar by bar, as an array to > > produce > >> the Portfolio GF > >> - start with any initial eq and multiply by the Portfolio GF > >> > >> From there we can change capital allocation at any bar if we want > > to, > >> provided we have the programming skills. > >> > >> So far I have got close to doing the above: > >> > >> - I am not sure if AB limitations OR my limitations will stump me > >> eventually > >> - I am optimistic it can be done > >> - initially, the method is very limited (no scaling in out etc, > >> closed trades only, no multiple trades per symbol) but that might > >> change later > >> > >> Note: I understand it is not a BT, I am not trying to build a BT - > > I > >> am trying to get the same understanding of my systems that the BT > >> offers but do it in RT and with a lot less code and hand waving. > >> > >> (less sophistication == less code but not necessarily less > >> understanding and usefulness). > >> > >> The only problem I have encountered so far is that what I need to > >> share it with others is more difficult than what I need for myself - > > > >> so I have to work a bit harder there. > >> > >> The reason behind that is that I have jumped the over the fence to > >> RootCauseEvaluation, which is a mindset, and hence I don't see a > > need > >> for all of the bells and whistles that BT's provide (all the noise > > of > >> the whistle blowing jsut distracts my concentration on what really > >> counts). > >> > >> I will share some base code as soon as I can (it is rather > > simplistic > >> code but it helps to argue my case). > >> > >> RCE - it's not the holy grail of system design and evaluation but > > it > >> is a different approach that can expand our knowledge somewhat. > >> > >> brian_z > >> > >> > >> > >> > >> > >> > >> --- In [email protected], "Barry Scarborough" <razzbarry@> > >> wrote: > >>> > >>> I'm not sure what you mean but I often put multiple systems on > > one > >>> page. I watch how they perform compared to the one I am actually > >> auto > >>> trading. I also add other indicators at times to see if they will > >> add > >>> anything to the logic. > >>> > >>> Barry > >>> > >>> --- In [email protected], Dennis Brown <see3d@> wrote: > >>>> > >>>> Would it work to use multiple virtualized systems on the same > >>> physical > >>>> machine? > >>>> > >>>> Dennis > >>>> > >>>> On Aug 18, 2008, at 10:47 AM, Barry Scarborough wrote: > >>>> > >>>>> I think it is safer to run multiple instances of AB on > > separate > >>>>> systems. I keep getting mixed or confusing results when I try > >> to > >>> use > >>>>> two instances on one system. I was trying to capture 5 second > >> data > >>>>> and run auto trading on the same system. I opened the auto > >> trading > >>>>> first and then the 5 second. The data in the 5 second > > instance > >>> gets > >>>>> lost and I can't figure out why. I even tried to save it a > > few > >>> times > >>>>> during the day. I run it all day and when I looked at it > > later > >> it > >>>>> isn't there. Well some of it is which is even more confusing, > >> the > >>>>> most recent part. I have the database set to 100,000 bars so > > I > >>> should > >>>>> be able to capture about a month of data. Ain't working. So I > >>> started > >>>>> collecting the 5 second data on another system. I will see > > how > >>> that > >>>>> works. If using multiple instances on one system is supposed > > to > >>> work > >>>>> then someone needs to define the parameters for doing so. > >>>>> > >>>>> Barry > >>>>> > >>>>> --- In [email protected], "Paul Ho" <paul.tsho@> > > wrote: > >>>>>> > >>>>>> I think the easiest is to run multiple instances of AB, one > > per > >>>>> system. am i > >>>>>> missing something? > >>>>>> > >>>>>> > >>>>>> _____ > >>>>>> > >>>>>> From: [email protected] > >>> [mailto:[EMAIL PROTECTED] > >>>>> On Behalf > >>>>>> Of Barry Scarborough > >>>>>> Sent: Monday, 18 August 2008 9:46 PM > >>>>>> To: [email protected] > >>>>>> Subject: [amibroker] Re: About Automatic Analysis > >>>>>> > >>>>>> > >>>>>> > >>>>>> Herman he is talking about automatic analysis. How can you > > run > >>> more > >>>>>> than one formula at a time? AA defines the formula that is > >> being > >>>>>> tested. > >>>>>> > >>>>>> You can test more than one system at a time by "forward > >>> testing". I > >>>>>> put my formula in a specially designed bar replay indicator > >> that > >>>>> will > >>>>>> keep track of the number of positions/shares and the price > >> when > >>> the > >>>>>> trade is made. I run BarReplay and feed 5 second data into > > the > >>>>>> formula. It tells where the trade is made, the conditions of > >> all > >>>>> the > >>>>>> indicators at the trade, whatever the designer wants to > > track, > >>> and > >>>>>> the price at the trade. I calculate the gain as each trade is > >>>>> closed. > >>>>>> I post all of that in the interpretation window. Then you > > can > >>> click > >>>>>> on each formula and see what the stats are. I also dump this > >> data > >>>>>> into _Trace so that I can go back later and focus in on a > >>> specific > >>>>>> area using DebugView when it doesn't trade as expected. > > Tracing > >>>>> more > >>>>>> than one formula is a pain and I typically use this for > > debug > >>> only. > >>>>>> > >>>>>> If you want to check longer periods you can capture hour or > > 15 > >>>>> minute > >>>>>> data and feed that into a EOD chart or weekly chart to see > >> what > >>> is > >>>>>> going on in them. The shorter the period you feed into your > >>> formula > >>>>>> the more accurate the results. Let your imagination run away > >> and > >>>>> you > >>>>>> can test/tweak almost anything this way. > >>>>>> > >>>>>> IMO that is more accurate than back testing since you are > >>> tracking > >>>>>> the almost true performance of the system. Anyway, that is > > how > >> I > >>>>>> handle multiple formula analysis at a time. > >>>>>> > >>>>>> Barry > >>>>>> > >>>>> > >>>>> > >>>>> > >>>>> ------------------------------------ > >>>>> > >>>>> 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 > > > > > > >
