Hi bh -- Since the three systems have been traded with real money for the past three years, those results are out-of-sample. You can use those reaults as input to a portfolio creation system. I recommend that you use only a portion of the three year period to develop your portfolio. You will probably be assigning weights to the trading system -- that is an in-sample process. Reserve some data to test out-of-sample.
I am sure we are all aware that in a crisis people sell whatever they can sell, even if they cannot sell what they want to sell. In a crisis, everything is highly correlated, even if it wasn't during calmer times. Thanks, Howard On Sat, May 9, 2009 at 2:33 PM, bh.hicks <[email protected]> wrote: > > > 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] <amibroker%40yahoogroups.com>, 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><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><amibroker% > 40yahoogroups.com>, > > > "ang_60" <ima_cons@> wrote: > > > > >> > > > > >> --- In [email protected] > > > > >> <amibroker%40yahoogroups.com><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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