Available (2006): http://www.amibroker.com/kb/2006/05/06/discretionary-equity/
Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: "brian_z111" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Tuesday, August 26, 2008 10:34 AM Subject: [amibroker] Re: 'Rule Based' versus 'Discretionary' trading... > Only speaking for myself. > >> I can certainly see the value in calculating a full suite of >>metrics >> based on the discretionary trades made via clicking on a chart over >>a >> given time period. These would be the equivalent of a mechanical >> trader's backtest results and would be the benchmark by which >> approaches were measured. > > Yes, that is what I would like to be able to do..... it is the > Discretionary Traders backtester. > >> But, how exactly would a discretionary trader perform a WFA given >> that WFA is the application of optimized parameters upon untested >> data? > > If I used that term I used it rather loosely ... if Alan used it I > know what he meant..... fair enough, reserve the term for Walk > Forward as we know it now ... yes, they are different processes..... > let's use something else, for what Alan wants, to avoid confusion. > > Yes, I am only talking about a live simulation with the > trades 'recorded' for later analysis AND/OR live metrics/money > management (part A would be a good start) .... I still like the idea > of being able to store the trades in static arrays that can be > accessed via AFL.... don't know if that would fit in there or not. > > brian_z > > --- In [email protected], "Mike" <[EMAIL PROTECTED]> wrote: >> >> I can certainly see the value in calculating a full suite of > metrics >> based on the discretionary trades made via clicking on a chart over > a >> given time period. These would be the equivalent of a mechanical >> trader's backtest results and would be the benchmark by which >> approaches were measured. >> >> But, how exactly would a discretionary trader perform a WFA given >> that WFA is the application of optimized parameters upon untested >> data? >> >> I doubt that you are suggesting that the discretionary trader would >> manually iterate over the same chart trying different approaches, > and >> that AB (or any other product) would then have to somehow figure > out >> what the methodology was in order to apply that logic into the next >> out of sample period. Yet, that would be the only way to marry the >> two concepts (i.e. discretionary and WFA). >> >> Even if the software did have some kind of artificial intelligence >> that could capture logic based on the discretionary trades made >> within a period, what would be the point? The discretionary trader >> would not confine themself to the signals produced by the WFA. If >> they did, they would no longer be discretionary, but instead be >> mechanical traders :) >> >> It seems to me that WFA is the exact opposite of discretionary >> trading. >> >> Mike >> >> --- In [email protected], "matrix10014" <allansn@> wrote: >> > >> > Hi Sidhartha, >> > No offense to anyone,but it is a bit of a messy solution and one >> that >> > is good enough to make one dangerous. >> > >> > It certainly appears that a skilled programmer could make the >> > necessary changes to bring it to a professional level,but I am >> > certainly not that person. >> > >> > IMHO,whether one is a discretionary trader or system trader,the >> > ability to perform some sort on WFA is essential,and the very > same >> > analytics/statistics should be available to both styles. >> > >> > Does anyone think the discretionary traders at firms such as SAC >> > capital simply wing it,while the stat arb boys have all the >> > firepower?? >> > >> > >> > >> > >> > --- In [email protected], "sidhartha70" <sidhartha70@> >> > wrote: >> > > >> > > I took a look at Herman's thread Mike and I personally think > it's >> a >> > > bit of a messy solution to what Allan is requesting. Basically > he >> > > wants something of 'professional' quality rather than tacked on. >> > > >> > > >> > > --- In [email protected], "Mike" <sfclimbers@> wrote: >> > > > >> > > > Your comment on simulated discretionary trading was addressed >> > earlier >> > > > in the thread by Herman, though perhaps not to the degree of >> > backtest >> > > > metrics that you might be after. >> > > > >> > > > http://finance.groups.yahoo.com/group/amibroker/message/128437 >> > > > >> > > > Mike >> > > > >> > > > --- In [email protected], "matrix10014" <allansn@> >> wrote: >> > > > > >> > > > > Hi T, >> > > > > As a discretionary trader,I find the charting package in >> Ami >> > to >> > > > be >> > > > > excellent.The only gripe I have is that one can not shift > to >> > higher >> > > > > time frames(daily to weekly) without the chart and > trendlines >> > > > jumping >> > > > > all over the place,i.e.,from one date to the next.Without >> > having >> > > > the >> > > > > end dates locked(far right dates),multiple time frame >> analysis >> > > > > becomes a very difficult task,and analysis is rendered >> > useless.Its >> > > > > essential that the far right side of the chart have the > same >> > date >> > > > on >> > > > > any time frame.I discussed it in the past,but you had your >> own >> > > > > views.Sadly,I had to go to another program. >> > > > > >> > > > > On another note,and far more important, a discretionary >> trader >> > > > needs >> > > > > the same risk management tools that a system trader > does.The >> > two >> > > > > styles are not so disimilar that a system trader has the >> > benefit of >> > > > > full backtesting/optimisation/WFA while the discretionary >> > trader >> > > > > should be left to perform his analysis with a pencil,paper >> and >> > > > > abacus.Ami should offer the capability to SIMULATE >> > discretionary >> > > > > trading.That means the ability to point and click on the >> chart >> > and >> > > > > record all Entrys(long and short),Exits,and stops with >> > > > > pyramiding/scaling capabilities.In addition full reporting >> > should >> > > > be >> > > > > available with a scaled down version of backtest results as >> > well as >> > > > > the capability to export the trades should one wish to do >> > perform >> > > > > further analysis,i.e position sizing,Money management. >> > > > > >> > > > > Unless one is performing algorithmic trading/mean reversion >> > > > > strategies,I think there is a fine line between rule based >> > trading >> > > > vs >> > > > > discretionary.Granted the approachs are different,but once > a >> > trade >> > > > is >> > > > > on,one still has to manage it with the very best tools >> > > > > available.Hopefully,Ami can level the playing field between >> the >> > > > > system "tools" vs the "discretionary" tools avaiable. >> > > > > >> > > > > Allan >> > > > > >> > > > > >> > > > > >> > > > > >> > > > > >> > > > > Allan >> > > > > >> > > > > >> > > > > >> > > > > >> > > > > >> > > > > --- In [email protected], "Tomasz Janeczko" > <groups@> >> > > > > wrote: >> > > > > > >> > > > > > I appreciate all suggestions and there is really no > problem >> > > > > > in adding new features provided that there is demand for >> them. >> > > > > > I specifically asked for charting suggestions, as this is >> way >> > > > > > more "subjective" thing than backtesting and other rule- >> based >> > > > tools. >> > > > > > Discretionary traders seem to be very sensitive to all > those >> > > > > > little details and aesthetics. These are are sometimes > easy >> > to >> > > > > develop >> > > > > > sometimes not, but unless you hear the feedback it is not >> > possible >> > > > > > to know what every single person uses. >> > > > > > So again, feedback is appreciated. If possible and not > too >> > time >> > > > > consuming >> > > > > > for you, I greatly appreciate filling the issue via >> feedback >> > > > > center. If not, >> > > > > > I can keep track on my internal list. >> > > > > > >> > > > > > Best regards, >> > > > > > Tomasz Janeczko >> > > > > > amibroker.com >> > > > > > ----- Original Message ----- >> > > > > > From: "sidhartha70" <sidhartha70@> >> > > > > > To: <[email protected]> >> > > > > > Sent: Tuesday, August 19, 2008 5:30 PM >> > > > > > Subject: [amibroker] Re: 'Rule Based' >> versus 'Discretionary' >> > > > > trading... >> > > > > > >> > > > > > >> > > > > > > How97, >> > > > > > > >> > > > > > > I agree. You've stated nothing that I haven't already. >> > > > > > > >> > > > > > > I do use other software... MarketDelta & have been >> looking >> > at >> > > > > Ninja >> > > > > > > with a market profile plug in as an alternative. >> > > > > > > >> > > > > > > Like others, I'm not desperately keen on using multiple >> > software >> > > > > > > systems. I'd rather try and get it under one roof. And >> the >> > > > truth >> > > > > is it >> > > > > > > really wouldn't be hard for TJ to add some of that >> > > > functionality. >> > > > > > > >> > > > > > > I'm adding my voice to a largely dominant rule based >> > crowd... I >> > > > > hope >> > > > > > > you're ok with free expression of wishes and ideas...?? >> > > > > > > >> > > > > > > I think others have also made it clear on this thread >> that >> > > > they'd >> > > > > like >> > > > > > > to see some more functionality on the charting side too. >> > > > > > > >> > > > > > > >> > > > > > > --- In [email protected], "how97" <101.158294@> >> > wrote: >> > > > > > >> >> > > > > > >> I believe it is clear that the large majority of the > AB >> > users >> > > > > want >> > > > > > >> to have the possibility for rule-based trading, >> > backtesting, >> > > > > > >> automatic analysis, automatic trading etc. For that >> group >> > > > > Amibroker >> > > > > > >> is just excellent and it is constantly enhanced in > these >> > > > > > >> possibilities. And that is what the large majority of >> its >> > > > users >> > > > > > >> wants. And AB strongly supported by its users and > driven >> > by >> > > > > their >> > > > > > >> wishes. >> > > > > > >> >> > > > > > >> The large majority of users is clearly not the >> > discretionary >> > > > > > >> traders. These may need better or specialized > charting. >> > That >> > > > may >> > > > > > >> well be. If this better charting software exists > already >> > as >> > > > you >> > > > > are >> > > > > > >> saying, why are you not using it, why did you come > here >> to >> > AB? >> > > > > What >> > > > > > >> were you looking for? >> > > > > > >> >> > > > > > >> I think it is also a clear preference of Tomasz to >> develop >> > AB >> > > > > into a >> > > > > > >> direction where most of its users wants to ahve it. > And >> > that >> > > > is >> > > > > > >> good. A lot of the stuff in AB is much too complex if >> you >> > are >> > > > > just >> > > > > > >> looking for other kinds of charting. So why bother? > You >> > need >> > > > to >> > > > > use >> > > > > > >> a different software. >> > > > > > >> >> > > > > > >> By the way: In my opinion AB allows excellent charting. >> > > > > > >> >> > > > > > >> Regards >> > > > > > >> how97 >> > > > > > >> >> > > > > > >> --- In [email protected], "sidhartha70" >> > <sidhartha70@> >> > > > > > >> wrote: >> > > > > > >> > >> > > > > > >> > From my perspective, and this is really why I >> connected >> > > > > charting to >> > > > > > >> > the ideas of 'rule based' vs 'discretionary' >> trading... >> > if >> > > > you >> > > > > are >> > > > > > >> a >> > > > > > >> > discretionary trader, from a software perspective it >> is >> > ALL >> > > > > about >> > > > > > >> > visibility. If the software you are using doesn't or >> > can't >> > > > > give you >> > > > > > >> > the best visibility available then you are at a >> > > > disadvanatge. >> > > > > You >> > > > > > >> > can't make sensible discretionary trading decisions >> > without >> > > > > being >> > > > > > >> able >> > > > > > >> > to see how current market structure has evolved, > what >> > market >> > > > > > >> dynamics >> > > > > > >> > are at play, how the auction process is evolving at >> > > > different >> > > > > time >> > > > > > >> > frames etc..etc.. You simply don't get that from bar > & >> > > > candle >> > > > > > >> charts. >> > > > > > >> > >> > > > > > >> > Hence my obsession with Market Profile & Equivolume >> and >> > > > > generally >> > > > > > >> more >> > > > > > >> > accessability and adaptability to AmiBroker's > charting >> > > > > facilicites. >> > > > > > >> > >> > > > > > >> > Currently it's a fabulous piece of software, >> > particualrly >> > > > > for 'rule >> > > > > > >> > based' traders.... But probably a less fabulous > piece >> of >> > > > > software >> > > > > > >> for >> > > > > > >> > discretionary day traders for example. But of > course, >> I >> > > > > appreciate, >> > > > > > >> > it's hard to be all things to all men... >> > > > > > >> > >> > > > > > >> > --- In [email protected], Ken Close >> <ken45140@> >> > > > wrote: >> > > > > > >> > > >> > > > > > >> > > One simple suggestion for charting improvement: >> > > > > > >> > > >> > > > > > >> > > Put in the ability to insert a "Tab" character in > a >> > Title >> > > > > > >> statement >> > > > > > >> > in order >> > > > > > >> > > to make it easier to produce multi-line tables >> > > > > with "columns" >> > > > > > >> left >> > > > > > >> > justified >> > > > > > >> > > no matter how many decimal places in previous > values >> > in >> > > > the >> > > > > same >> > > > > > >> row. I >> > > > > > >> > > have done it via complex IIF statements but how > nice >> > it >> > > > > would be >> > > > > > >> to >> > > > > > >> > insert >> > > > > > >> > > the code for a tab character to create columns. > No, >> I >> > do >> > > > > not >> > > > > > >> want to do >> > > > > > >> > > this with the gfx commands (too complex for this >> > > > > application). >> > > > > > >> > > >> > > > > > >> > > Ken >> > > > > > >> > > >> > > > > > >> > > -----Original Message----- >> > > > > > >> > > From: [email protected] >> > > > > > >> [mailto:[EMAIL PROTECTED] >> > > > > > >> > On Behalf >> > > > > > >> > > Of Tomasz Janeczko >> > > > > > >> > > Sent: Monday, August 18, 2008 4:33 PM >> > > > > > >> > > To: [email protected] >> > > > > > >> > > Subject: Re: [amibroker] 'Rule Based' >> > > > versus 'Discretionary' >> > > > > > >> trading... >> > > > > > >> > > >> > > > > > >> > > Hello, >> > > > > > >> > > >> > > > > > >> > > Not wanting to hijack this thread but whenever I > ask >> > about >> > > > > some >> > > > > > >> itemized >> > > > > > >> > > list of what is exactly "weak" in AB charting, I >> don't >> > > > > receive >> > > > > > >> any >> > > > > > >> > > meaningful reply. I would really want to know some >> > > > objective >> > > > > list >> > > > > > >> > instead of >> > > > > > >> > > statements I heard on ET that "charts are ugly" >> which >> > for >> > > > me >> > > > > > >> > unfortunatelly >> > > > > > >> > > means nothing, considering the hunderds of ways >> charts >> > can >> > > > > be >> > > > > > >> customized >> > > > > > >> > > according to user taste in AB. >> > > > > > >> > > >> > > > > > >> > >> > > > > > >> >> > > > > > > >> > > > > > > >> > > > > > > >> > > > > > > ------------------------------------ >> > > > > > > >> > > > > > > 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 > > >
