I concur 100% on finding an "optimal" solution and agree there are solid mathematical models in place which serve as an excellent point of departure. I for one am not interested in re-inventing the wheel, just looking for the best way to test and implement them with the limited time and programming ability I have at my disposal.
The whole idea of optimum is a tricky concept though. As I'm sure you are aware, the optimum solution is always changing and evolving and thus, also highly susceptible to curve-fitting. While I consider myself a quantitative trader, I tend to approach things with "fuzzy-logic" and try and conceptualize of solutions as bad, better, good but never "best". I know that is a somewhat unsophisticated approach but I know this is an area if my trading that can be made much "better", as defined by more money in my account with less risk. A little better is good but a lot better is even better ;) I really appreciate your participation (and other's) in this dialog and am excited about watching it evolve over time. I also have a lot of new reading to do! --- In [email protected], "brian_z111" <brian_z...@...> wrote: > > <snip>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.<snip> > > I am working on improving my knowledge of 'portfolio efficiency' so I > appreciate the feedback provided by people like Angelo and yourself who have > 'real life' experience of trading multiple systems. > > Based on my theoretical considerations and 'bench testing, I think it is > unlikely that we will find the optimum solution (whatever our objectives are) > by: > > - relying on observation and experimentation in real life trading > - blindly optimizing our way to it > - hitting on some lucky allocations > > IMO portfolio efficiency is an excercise in maths and the math models already > exist. > > There is no need to mimic Vince, or anyone else, but I believe that a > consideration of the math models will quickly move us closer towards our > personal goals. > > > So far no one has suggested any portfolio model other than Vince's and the > reference by Angelo. > > > > > > > --- In [email protected], "bh.hicks" <bh.hicks@> 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], Howard B <howardbandy@> 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.hicks@> 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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