Hi Richard -- I keep in touch with Nelson Freeburg from time to time, and I was a subscriber of his for quite a long time, but I do not now subscribe to his newsletter. So, I will need to know more about which of his systems you are referring to -- he has described many. If I have the newsletter it in which he describes the systems you are interested in, I will try to answer you. His material is copyrighted, so it cannot be posted. But you can ask a contract programmer (such as myself) to write a system you have legal access to into AFL code for you. The resulting code can be used by you, but cannot be posted or distributed without Nelson's permission.
Thanks, Howard On Mon, Oct 20, 2008 at 6:17 PM, richpach2 <[EMAIL PROTECTED]> wrote: > 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] <amibroker%40yahoogroups.com>, "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><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 > > > > >> > > > > >> > > > > >> > > > > > > > > > > > > > > > > > > > > > > > > > > > >
