Hi Howard, Thank you again for your comprehensive answer. I am not new to trading but new to AmiBroker. My interest was sparked by Robert from ATAA who gave us a presentation last month. He said that, out of 97 books he has in his library, QTS book is the best he's read. I ordered both books but, because the "Intro .." book is still at the printers I started from advanced level.
Could you please answer the second part of my previous question (AFL code for Nelson Freeburg systems)? Kind Regards Richard --- In [email protected], "Howard B" <[EMAIL PROTECTED]> wrote: > > Hi Richard -- > > I think I misunderstood your question. > > The idea behind the system is that there may be a trading bias in favor of > or against the end of one calendar month and the start of the next. The > system can tested for each trading day of the month or calendar day of the > month that you are interested in. That is where the 22 and / or 31 would > come in. > > For the system described in the book, only the First trading day is tested. > > > To test the effect, set the reference point to be the first trading day of > the month -- the day where this day's month is not the same as yesterday's > month. Then test the effect of buying each of the days around the first > trading day of the month by adding or subtracting some number of days. That > is where the optimize from -8 to plus 8 comes in. Each of those 17 runs > tests the profitability of buying on that day, relative to the reference > day, and holding for one day. If there is a bias, it will show up as some > day, relative to the first trading day of the month, being particularly > profitable or not profitable. For the in-sample period, 1/1/1995 to > 1/1/2005, there is a strong seasonality effect -- buy on the third day > before the first trading day of the month and hold through the second day > after. See Figure 11.7. For the out-of-sample period, 1/1/2005 through > 1/1/2007, that same seasonality holds fairly well, but the days after the > first trading day are not as strong. See Figure 11.9. > > If you want to test any other reference day, you can by setting the > reference day to one of the 31 calendar days or one of the 22 trading days > of the month. > > In this case, I did not wrap completely around because I was testing the > effect around the First trading day. > > Look at pages 155-158 and you will see a similar technique applied to > testing the profitability of trading around options expiration. > > Thanks, > Howard > www.quantitativetradingsystems.com > > > On Sun, Oct 19, 2008 at 5:59 PM, richpach2 <[EMAIL PROTECTED]> wrote: > > > Hello Howard, > > > > Thank you for your reply. I am still confused but, I am new to > > AmiBroker and still learning. I understand that, AFL runs for every > > record of the history array so, in that sense it will run for all the > > bars in the array. Is this correct? Is this why you say that, it > > runs 31 times? > > > > Also, I have read further into your book and noticed some reference > > to Nelson Freeburg systems in "Filters and Timing" chapter. I am a > > big fun of Nelson's approach. The AFL code for this his system is not > > included in the book or AFL download. Do you know if this available > > for reasearch and educational purpose? > > > > Regards > > Richard > > > > > > --- In [email protected] <amibroker% 40yahoogroups.com>, "Howard B" > > <howardbandy@> wrote: > > > > > > Sorry -- the test is run 31 times, once for every day of the > > month. 22 of > > > those will show trading results. > > > > > > On Sat, Oct 18, 2008 at 8:41 AM, Howard B <howardbandy@> wrote: > > > > > > > Hi Richard -- > > > > > > > > Thanks for the kind words about my book. > > > > > > > > I may not have sufficiently clear. The test is run 22 times. > > Each time > > > > the day of interest is one of the 22 trading days of the month. > > The test is > > > > to see whether there is an effect near that day of interest, so > > there is no > > > > need to gather results for all days. > > > > > > > > Thanks, > > > > Howard > > > > > > > > > > > > On Sat, Oct 18, 2008 at 12:14 AM, richpach2 <richpach2@> wrote: > > > > > > > >> Hello Howard, > > > >> > > > >> I have been reading your book. So far I was able to digest 160 > > pages. > > > >> It is all very clear and well written. I have one question in > > regards > > > >> to "Seasonality Systems" testing on page 152 and 153 (Trading > > Day of > > > >> the Month) AFL defines "Daynumber" as 8 bars before and after > > DOI day. > > > >> If we have 22 trading days on average in any given month, why do > > you > > > >> only test for 16 or 17 if one includes DOI day? > > > >> Is there a reason why you don't use Minus11 instead of Minus8? > > > >> > > > >> Kind Regards > > > >> Richard > > > >> > > > >> > > > >> > > > > > > > > > > > > > > > > > >
