Howard, I saw your post and thank you for participating in this discussion. I am eagerly awaiting your new book. Please let me know when it is available for pre-sale!
All three of the systems I currently trade were developed as stand-alone systems (on a different platform) and I have been trading all three for a couple of years now (with constant tinkering). 2 of the 3 were profitable in '08 and the 3rd was down only about 6%. The long/short index system had a record year last year at 77% although it is under-performing thus far this year. This approach has given me an average CAGR of slightly over 30% for the past 3 years since I gave up discretionary trading. I am sure most people here pull down numbers way better than that but my only point is that this passed the point of being an academic exercise for me a couple of years ago. I am however an extremely conservative trader with very specific rules for how I position size. I went into it a little bit here... http://finance.groups.yahoo.com/group/amibroker/message/138123 but the goal of this thread was to find a way to exploit my real-time observations regarding lower account drawdowns when trading multiple strategies than what I would have experienced if traded them independently. Most of my opinions on this are admittedly 100% anecdotal but they are at least based on my real-time observations with capital at-risk. I am sure there are probably better or more academically sound ways of doing this but my own personal preference is to develop the systems independently using whatever criteria I deem important and the only optimizations done at the multi-system level would be the tweaking of position size to allow me to trade each a bit more aggressively while staying below my pain threshold. Thanks again for your participation and I am eager to follow the development of this topic and your new book. regards. --- In [email protected], Howard B <howardba...@...> wrote: > > Hi bh -- > > It was suggestions such as the one you made earlier in this thread that > prompted me to write the posting on portfolio construction. > > You wrote: > "--------------------------- > Out of curiosity ... are you finding it easy to come up with noncorrelated > systems? > > Perhaps not "easy" but possible. Without going into too many details, the 3 > systems I currently trade do the following. > > System A - a long/short mean-reversion system that trades the S&P (ES or > SPY) using short-term overbought/oversold levels. Average hold time is 3-5 > days, buys and sells the close. > > System B - a long only mean-reversion system that trades the entire stock > market universe with a minimum price and liquidity requirements. It > essentially buys short-term weakness on longer-term high relative strength > stocks. Average hold time is 3-5 days, buys and sells the open. > > System C - a short only system that trades the entire stock market universe > with a minimum price and liquidity requirements. I am very protective of > this one because a short-only system that has an edge over the past 20 years > through any market climate is rare but this system buys the open and sells > the close of the same day. > > I need a longer-term system (2-3 week hold times) that buys strength rather > than weakness to try and fill in the under-performance gaps during > significant market rallies like what we are having now. I have found this > extremely challenging to do quantitatively. > ----------------------" > > The intent of my posting was to point out that there are several complex > issues that should be considered when creating a portfolio of trading > systems. > > They begin with analysis of the individual systems, asking questions such > as: > > What are the optimum lengths of the in-sample periods for the three systems > you are describing? > Will the portfolio be created (the portfolio weights determined, and so > forth) by re-selecting the parameter values for those systems as part of a > portfolio? > Or, by using the trade results that were obtained by running each > separately? > Are the results that were obtained by running each separately in-sample or > out-of-sample? > And so forth. > > Best wishes on the project (no sarcasm intended) -- let us all know how it > turns out. > > Thanks, > Howard > > > On Sat, May 9, 2009 at 12:53 PM, bh.hicks <bh.hi...@...> wrote: > > > > > > > Graham, > > Let me think about specifically what my needs are regarding this over the > > next few weeks and I may contact you. I am a little reluctant to pursue a > > "custom" solution as I think there are others on this board way more capable > > of designing a better and more robust solution than I but it may make sense. > > Thank you. > > > > > > --- In [email protected] <amibroker%40yahoogroups.com>, Graham > > <kavemanperth@> wrote: > > > > > > It is possible to do, you just need to write this into the advanced > > > backtest coding, low level coding is advisable. Takes a bit of work > > > and ability to balance balls like a juggler. > > > > > > -- > > > Cheers > > > Graham Kav > > > AFL Writing Service > > > http://www.aflwriting.com > > > > > > > > > > > > 2009/5/6 bh.hicks <bh.hicks@>: > > > > Ang, > > > > Ah yes, I had gathered as much but thank you for your candor. I have > > owned AB for over a year now but have just recently began using it for more > > than a general market scanner due to some limitations I ran into with > > Traders Studio and a general frustration with the development cycle on that > > platform. Other than a few issues I have run into (like this one), I have > > been very pleased with AB and also see myself moving away from Traders > > Studio for 'most' things. > > > > > > > > This would certainly be an amazing addition to AB. Of course, the > > feature would probably be lost on 90% of users so I understand the > > reluctance to go down that path but I would certainly be willing to pay as > > much if not more than I paid for AB itself for a robust plugin that was able > > to do this well. I suspect many others would as well. > > > > > > > > > > > > --- In [email protected] <amibroker%40yahoogroups.com>, > > "ang_60" <ima_cons@> wrote: > > > >> > > > >> --- In [email protected] <amibroker%40yahoogroups.com>, > > "bh.hicks" <bh.hicks@> wrote: > > > >> > > > > >> > I am basically looking for a way to have AmiBroker run multiple > > systems concurrently in order to examine how trading multiple non-correlated > > strategies affect drawdowns. > > > >> > > > >> > > > >> As you are migrating from another software I happen to know a bit, the > > short answer: as of today, Amibroker is not capable of "built in multiple > > systems testing" as TraderStudio's trading plan approach. > > > >> > > > >> This matter was raised long ago by myself and others: if you are a > > registered user, you can check suggestion #406 in the feedback center, dated > > 16 August 2006. > > > >> > > > >> In this list you can find very good programmers, claiming they are > > able to get the multisystem/multimarket approach to work programming it by > > scratch, but - to my knowledge - I've never seen a public (that is.... free) > > code able to do what I think is needed (and that's includes the two links > > provided in this discussion). > > > >> > > > >> Just for clarity, this doesn't want to sound as a critic: I own > > TraderStudio too, but by now the software I most use for testing is - by far > > - Amibroker. > > > >> > > > > > > > > > > > > > > > > > > > > ------------------------------------ > > > > > > > > **** IMPORTANT PLEASE READ **** > > > > This group is for the discussion between users only. > > > > This is *NOT* technical support channel. > > > > > > > > TO GET TECHNICAL SUPPORT send an e-mail directly to > > > > SUPPORT {at} amibroker.com > > > > > > > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > > > > http://www.amibroker.com/feedback/ > > > > (submissions sent via other channels won't be considered) > > > > > > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > > > > http://www.amibroker.com/devlog/ > > > > > > > > Yahoo! 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