Thanks guys
I really appreciate all the information provided. Mike that was a detailed
response on how you use Amibroker which highlights it various capabilities.
Bruce1r, I did not know batman added such a level of functionality to
Amibroker. Thank you for your response. I plan on looking into Batman to see
how this particular piece of software can help me.
I have received two books Authored by a Mr. Howard Bundy, and I have read the
Amibroker Guide. It seems to me that Amibroker offers a level of functionality
that is heads and heals above what I was currently using. (Metastock). Because
Of this and the kind help of everyone who took the time out to answer a newbie
question, I have decided to purchase Amibroker. I figure it cannot be any
worse than what I have already owned. However after reading your response
and the response of others to both my question. I must admit I am filled with
so many more (Questions). I have decided to start a new topic to address each
question individually.
Again guys thanks. Your help was really appreciated.
EAC
--- In [email protected], "Edward Pottasch" <empotta...@...> wrote:
>
> thanks. Doesn't seem very expensive either, even cheaper than QP on the first
> glance.
>
> regards, Ed
>
>
>
> ----- Original Message -----
> From: Mike
> To: [email protected]
> Sent: Wednesday, April 29, 2009 1:51 PM
> Subject: [amibroker] Re: Some more Question
>
>
>
>
>
> Ed,
>
> I'm using Norgate Premium Data, including delisted U.S. data history.
>
> Mike
>
> --- In [email protected], "Edward Pottasch" <empottasch@> wrote:
> >
> > hello Mike,
> >
> > Nice summary. Have 1 question: what EOD data base do you use for
> backtesting. Does it also contain symbols of companies that went bankrupt or
> have been subject to M&A?
> >
> > thanks, Ed
> >
> >
> >
> > ----- Original Message -----
> > From: Mike
> > To: [email protected]
> > Sent: Wednesday, April 29, 2009 1:19 PM
> > Subject: [amibroker] Re: Some more Question
> >
> >
> >
> >
> >
> > Hi,
> >
> > I've done a lot of reading, but have only been live trading for 2 years.
> There are far more experienced contributors to this forum than me.
> >
> > That being said, my background is in computer science, and I've been a
> software developer for almost 20 years. That has allowed me a certain level
> of comfort with much of what AmiBroker has to offer. Though, my usage has
> been primarily coding in AFL. I do very little charting other than to show
> price and entry/exit points.
> >
> > As far as trading goes; I run an exploration every night on end of day
> data. My strategy has had success identifying a generic scenario that
> averages a modest return per trade after a short holding period.
> >
> > As such, I apply the exploration over all U.S. stocks in hopes of
> maximizing the actual number of signals. I generate anywhere from a handful
> to 200 signals on any given night. Fewer during down trends, more during
> sideways and up trends.
> >
> > I use limit orders below the market, so only a fraction of my orders ever
> get filled. However, I still end up with several hundred trades per year. The
> holding period generally ranges from overnight to 10 days on the outside,
> usually closer to 3-5 days. I exit at market open the morning after a sell
> signal generated from the night before.
> >
> > My exploration generates a format very close to what is required by
> Interactive Brokers basket orders. I export the exploration results as .csv
> file, load them into Excel, apply a custom macro to further refine the
> format, give it a quick looking over as a sanity check, then upload the
> basket order to Interactive Brokers and submit it. Eventually I hope to do
> all of this directly from AmiBroker using the Interactive Brokers plugin. I
> just haven't gotten around to it.
> >
> > As far as analysis goes; The strategy uses a combination of indicators
> and liquidity filters to isolate the symbols of interest. In a nutshell, I'm
> looking for stocks that are upwardly trending in the long term, but have very
> recently been beaten down, in expectation that the price drop is an over
> reaction and will recover somewhat over the next few days. It is not
> necessary that the price fully recover, just a quick pop of a few percent.
> >
> > I use custom backtesting code to apply money management and dynamic
> position sizing. The custom backtesting code also produces custom metrics,
> one of which is based on ulcer performance index multiplied by a number of
> weighted factors relating to drawdown, hold time and number of trades. This
> is used as the target for walk forward optimization.
> >
> > I have done walk forward analysis (WFA) dating back from 1995 to the
> present. Along with a number of optimization parameters, I have also tested
> with different money management schemes and exit times (e.g. exit on close
> vs. next day).
> >
> > I have experimented with in sample (IS) window periods ranging from 3
> years to 3 months, and out of sample (OOS) window periods ranging from 1
> month to 1 year. A 24 month IS and 6 month OOS were the most consistent for
> me in conjunction with a money management policy of taking as many trades as
> possible, not to exceed a fixed fraction of equity on any given trade,
> dipping into margin as necessary.
> >
> > The ratio of OOS/IS turns out to be 0.25 which is consistent with Robert
> Pardo in "The Evaluation and Optimization of Trading Strategies", though that
> was not a specific goal in my analysis. I plan to perform further WFA using a
> wider variety of money management schemes, including more on the theories of
> Ralph Vince as per his "The Handbook of Portfolio Mathematics" as well as Van
> Tharp as per his "Definitive Guide to Position Sizing".
> >
> > I have spent some time attempting to validate my results as more than
> blind chance via random entries and random exits as per Howard Bandy
> "Quantitative Trading Systems" as well as some limited analysis using
> Minitab. I've done a first pass at applying my signals to detrended data as
> per David Aronson in "Evidence Based Technical Analysis", but have more work
> to do there.
> >
> > Prior to the introduction of non exhaustive optimizers such as CMA-ES,
> Tribes, etc. I spent some time experimenting with the Taguchi Method in an
> attempt to minimize variance in my returns and identify those parameters that
> most contributed to the desired results. By using fractional factorial arrays
> of parameter values, I was able to reduce the number of combinations that
> needed to be backtested (i.e. non exhaustive). The primary drawback being
> that fractional factorial arrays obscure interactions between parameters. I
> did not follow the approach through to a tidy conclusion. But, it was
> interesting.
> >
> > Due to the nature of my strategy (thousands of symbols, foreign
> reference, several optimization variables, custom backtest code, etc.)
> individual backtests have proven very time consuming on an entry level
> laptop, leading to the purchase of far more powerful equipment. Still, the
> processing demands are currently the limiting factor to deeper analysis. That
> and my own limited free time.
> >
> > My hope is that Tomasz will come out with a very low priced "server
> edition" of AmiBroker that consists only of the backtesting engine, without
> any GUI, such that dozens of licences can be purchased and deployed on a
> compute grid rented for pennies by the hour (think Amazon EC2 but running
> Windows, e.g. GoGrid). I've got my own incomplete application that could
> drive such a setup. Fred's IO is an example of the concept running on a
> limited number of servers on a LAN.
> >
> > Grid Computing has already arrived. All that remains is to leverage it!
> If I ever finish my application, I'll pass it on to Tomasz to see if he's
> interested in the grid approach :)
> >
> > Sorry if this post is longer than you expected. I've had a number of
> personal email exchanges with members of the forum, regarding their
> approaches and coding experiences, and have found them to be interesting and
> educational. For that reason, I figured I'd offer you a complete answer,
> since you asked ;)
> >
> > For those lurking in the background, feel free to hit delete! Or, better
> yet, add a description of your own usage pattern to the thread.
> >
> > Mike
> >
> > --- In [email protected], Brian Smith <besmith70@> wrote:
> > >
> > > Hey Mike,
> > >
> > > Care to mention how you use Amibroker for analysis and trading?
> > > Have been really impressed by your level of knowledge in general...
> > >
> > > Regards.
> > >
> > >
> > >
> > > On Tue, Apr 28, 2009 at 7:20 PM, Mike <sfclimbers@> wrote:
> > >
> > > >
> > > >
> > > > Sometimes it's fun. Now, off to the climbing gym for even more fun ;)
> > > >
> > > > http://www.planetgranite.com/locations/belmont/bl_tour.php
> > > >
> > > > Mike
> > > >
> > > >
> > > > --- In [email protected] <amibroker%40yahoogroups.com>,
> > > > "brian_z111" <brian_z111@> wrote:
> > > > >
> > > > > You are doing a very good job Mike.
> > > > >
> > > > > --- In [email protected] <amibroker%40yahoogroups.com>,
> "Mike"
> > > > <sfclimbers@> wrote:
> > > > > >
> > > > > > 1. It's a program to allow you to manage a "batch" of "jobs"
> where a
> > > > job is defined as an AmiBroker operation such as a backtest,
> exploration or
> > > > scan, and a batch is a collection of jobs to be run.
> > > > > >
> > > > > > 2. It is not that running batch files is particularly important.
> But,
> > > > it may be useful if you find yourself repeatedly wanting to run a
> series of
> > > > jobs and you don't want to hang around waiting for each to finish
> before
> > > > firing off the next one.
> > > > > >
> > > > > > You can download the program from the Files section of this site.
> It
> > > > includes a user guide that may help clarify its usage. I haven't
> personally
> > > > made use of it, so cannot offer much more than that by way of
> description.
> > > > > >
> > > > > > Relating to your earlier thread, Batman does highlight yet another
> > > > advantage of AmiBroker over other backtesters; AmiBroker is exposed
> as an
> > > > OLE object and thus can be driven externally using COM from any other
> > > > language (e.g. C++, Java, JScript, etc).
> > > > > >
> > > > > > Mike
> > > > > >
> > > > > > --- In [email protected] <amibroker%40yahoogroups.com>,
> > > > "caternore" <caternore@> wrote:
> > > > > > >
> > > > > > > Mike,
> > > > > > >
> > > > > > > This may sound stupid, but I have 2 questions
> > > > > > >
> > > > > > > 1)what is a batch manager?
> > > > > > >
> > > > > > > 2)why is running batch files important?
> > > > > > >
> > > > > > > Thank you
> > > > > > > ACE
> > > > > > >
> > > > > > >
> > > > > > > --- In [email protected] <amibroker%40yahoogroups.com>,
> > > > "Mike" <sfclimbers@> wrote:
> > > > > > > >
> > > > > > > > 1. Batman is a batch manager for running batch files. It is
> > > > available in the files section of this group.
> > > > > > > >
> > > > > > > > 2. I believe that it is still an issue. I believe that it
> means
> > > > that the categorization of symbols is limited to a tree of depth 2
> rather
> > > > than the 4 actually available from ICB (
> > > > http://www.icbenchmark.com/icb_structure.html). Unless you're trying
> to
> > > > run a strategy against the less refined granularity, it should not be
> an
> > > > issue. Even so, you could probably create a watchlist and add all the
> > > > symbols from the more refined categorizations into it, thereby
> creating, in
> > > > effect, the less granular categorization.
> > > > > > > >
> > > > > > > > 3. I believe that this is still an issue. Easy workaround as
> > > > described by Norgate in the blurb provided.
> > > > > > > >
> > > > > > > > Mike
> > > > > > > >
> > > > > > > > --- In [email protected]
> <amibroker%40yahoogroups.com>,
> > > > "caternore" <caternore@> wrote:
> > > > > > > > >
> > > > > > > > > Hello all again, I have some more question after doing some
> > > > research.
> > > > > > > > >
> > > > > > > > > 1) What is Batman
> > > > > > > > >
> > > > > > > > > 2 )I was looking at the Norgate data site when I came across
> > > > this.
> > > > > > > > > (Unfortunately as AmiBroker only supports two levels of
> > > > classifications we've decided (after a quick user poll) to provide ICB
> > > > levels 3 & 4 only.)
> > > > > > > > >
> > > > > > > > > What does this mean and have this issue been resolved?
> > > > > > > > >
> > > > > > > > > 3) Another question from the Norgate Data site.
> > > > > > > > >
> > > > > > > > > (Why does the volume on the S&P 500, S&P 1500, NASDAQ
> Composite,
> > > > NYSE Composite, and weekly charts of ASX Indices sometimes show as a
> > > > negative number?
> > > > > > > > >
> > > > > > > > > By design, AmiBroker stores volume data internally in a data
> > > > structure known as a 32 bit signed integer. This data structure can
> store
> > > > whole numbers in the range of -2,147,483,648 through 2,147,483,647.
> If the
> > > > volume figure exceeds the maximum figure, an "overflow" condition
> occurs and
> > > > the volume wraps around to a negative number. For example, the NYSE
> > > > Composite index had a volume of 3,745,144,031 on Friday 3 May 2008
> which
> > > > significantly exceeds the amount. This is why negative volume is
> shown on
> > > > days of very high volume in those few high-volume indexes.
> > > > > > > > > A workaround is available inside AmiBroker, allowing you to
> > > > divide the volume by a factor. To implement this click File ->
> Database
> > > > Settings then click the Configure button. In the "Divide Volume By"
> field
> > > > enter a number (eg. 10 or 100 or 1000 - right now 10 seems to be
> effective
> > > > across all the US markets for the time being).
> > > > > > > > > A better solution would be for AmiBroker to use a bigger or
> > > > better data structure (eg. 64 bit unsigned integer) or a floating
> point
> > > > field to accommodate such high volumes. If you would like this to be
> > > > implemented within AmiBroker please login to the AmiBroker Feedback
> Center.
> > > > After logging in then click here to show issues #636 and add a comment
> > > > requesting a permanent solution to the issue.)
> > > > > > > > >
> > > > > > > > > Has this been resolved?
> > > > > > > > >
> > > > > > > > > Thank you.
> > > > > > > > > ACE
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > > >
> > > >
> > >
> >
>
