David, O.K
That covers it, thanks. It is possible that I can squeeze out intratrade changes, on a % basis, but then don't think MSA can analyze them anyway. I'll be back. Cheers, Brian. --- In [email protected], "dbwyatt_1999" <dbw...@...> wrote: > > > When you export the trade series: > > > > - what information do you need with each trade? > > Entry Date, Entry Price, Exit Date, Exit Price, Stop Price, Long/Short, > Profit, Risk, Contracts (i.e. trade size). The Stop and Risk are not part of > the AB Auto Analysis Export. In my System logic, I write them to a comma > separated file which I import into MS Access. Using a query, I combine the > exported AB trades with the stop price and initial trade risk into a format > that can be imported into MSA. > > > Are you interested in all trades? > > What are your thoughts and experiences on this. > > If by "all trades" you mean all potential signals, I personally have not had > the need for them. I can understand their potential usefulness, but I > generally want to know which trades would be executed with all their system > constraints (i.e. margin requirements, available equity, trade logic, etc.). > I do however do an analysis where I vary the back-test start and end dates as > a system robustness check. This generally gives me different trades. > > > Are you doing a Portfolio BT with one CSV export for the lot OR several > > individual BTs' with many exports? > > I do one export for each system and import all of them into a single database > table. > > > I am not endorsing MSA because I don't know much about it... > > You said you can do 90% of what you want in AB. > > What do you need for the last 10% ... the short list :-) > > Do you want to do it here or are you just as happy to go to MSA? > > I'm not endorsing it either, it's just a tool I found that allows me to > easily combine multiple systems that trade the same portfolio of symbols. > That's really the only thing I'm using it for. If I was able to easily do > with AB, I would. > > > Last time I looked I had an issue with the fact that MSA did not account > > for the trades in the order that they occurred ... > > MSA does take into account trade order, in fact I import trades out of order > because I just appended the system trades from each system. MSA sorts the > trades by exit date. > > What is the minimum requirement for their format i.e.does it use any info > besides trade series% to evaluate comparitive MM results. > > I import all the data I mentioned above, however the minimum data is a list > of returns (e.g. monthly return percentages). I think the minimum for > comparative MM is trade entry and exit dates and prices. Of course there's > some symbol setup like point values and margin requirements. > > Regards, > > David > > --- In [email protected], "brian_z111" <brian_z111@> wrote: > > > > Thanks, > > > > It is very helpful to me to find out how traders are actually doing it > > (instead of just talking about it, as Ang points out). > > > > I am working on some AFL code to present the trade series% as a matrix (not > > for my grand scheme ... just a limited first version of the first stage). > > It is intended for comparitive evaluation of syatems and MM regimes, either > > within AB OR for export. > > > > May be we have some common ground in the need for an export format.... > > hence the questions. > > > > > > >I personally prefer comparing percentages than absolute dollars or >points > > >because when working with futures, each instrument can have a >different > > >tick size, point value, and margin. > > > > Yes % is what I am working with, to equalize historical returns with > > current returns and to standardize across instruments. > > > > > When trading futures, open trade drawdown is very important because > > > >trades are "marked-to-market" every day. Margin requirements must >be > > > met each day for overnight positions. > > > > Understood. > > > > That is the hard part. > > I am biased to closed trades but I guess the majority of traders want open > > trade returns or at least want to consider them. > > Don't know if I can manage that, because it is a tougher AFL challenge ... > > that will be the last thing I try .. one step at a time. > > > > > > When you export the trade series: > > > > - what information do you need with each trade? > > > > My initial aim is to get trade%, bars in trade, bars out of trade, maybe > > the entry and exit date if needed. > > > > > > In AB's BT, AFAIK, the default is to only enter one trade at a time so > > normally the BT reports only for those trades that made it past the one > > trade only AND MM filter. > > I am interested in getting all trades. > > Are you interested in all trades and/or getting all trades? > > > > My knowledge of the AB's BT is limited and so far I haven't used the CBT. > > In AB's BT I find that if I want to get a report on as many trades as > > possible then I have to manipulate MM, or perform a series of individual > > BT's on a symbol by symbol basis. > > > > In the method I am having a go at I have started out by: > > > > - counting all of the buy signals > > - make several passes over the data, collecting trade pairs (buys/sells) > > until I have them all ... so far I am getting most of them with a simple > > buy and simple % profitstop but it is early days (trades collected == > > approx initial count of all buy signals. > > > > Are you interested in all trades? > > What are your thoughts and experiences on this. > > > > Are you doing a Portfolio BT with one CSV export for the lot OR several > > individual BTs' with many exports? > > > > > > I am not endorsing MSA because I don't know much about it but I am > > interested in it ... now that you tell me you are using it and what you are > > using it for I will put a revisit to MSA on my to do list. > > (I am biased to my own productions because then I now everything about them > > and I know how far to trust them). > > > > Last time I looked I had an issue with the fact that MSA did not account > > for the trades in the order that they occurred ... I think he has changed > > that now (I used to think this was important although I don't now). > > > > What is the minimum requirement for their format i.e.does it use any info > > besides trade series% to evaluate comparitive MM results. > > > > You said you can do 90% of what you want in AB. > > What do you need for the last 10% ... the short list :-) > > Do you want to do it here or are you just as happy to go to MSA? > > > > Thanks once again. > > > > > > Ang - what I am trying to say is one size doesn't fit all. > > We have been offered many solutions so far (Paul, Howard, Graham, Mike, > > Tomasz, Dave's, Patrick's off the shelf R portfolio solutions, my so far > > insubstantial model) but still many want something else? > > > > Mike and Tomasz .. thanks. I will study your suggestions. > > > > > > --- In [email protected], "dbwyatt_1999" <dbw451@> wrote: > > > > > > Hi Brian, > > > > > > Below are responses to your post: > > > > > > > I assume you mean 12 systems? > > > Yes, 12 systems; I use the terms system and model interchangeably. > > > > > > > So you are running all 12 systems over the same data and timeframe to > > > > get the trade series for each? > > > I run all 12 systems are over the same portfolio of data. I have a > > > primary timeframe, but I'm evaluating several timeframes. > > > > > > > Are you collecting the trade series as $, points or %? > > > I'm not sure what you mean. I think of trades as instruments, entries, > > > exits (stop and sometimes a target), and trade sizes. Dollars, points, > > > and percentages are different views of the trade output. I personally > > > prefer comparing percentages than absolute dollars or points because when > > > working with futures, each instrument can have a different tick size, > > > point value, and margin. > > > > > > > How do you export to a database? > > > From Automatic Analysis, File->Export creates a comma separated file that > > > can be imported into a database table. I use MS Access primarily because > > > I have it available in my version of MS Office. > > > > > > > Do you find that open trade drawdown is important? > > > When trading futures, open trade drawdown is very important because > > > trades are "marked-to-market" every day. Margin requirements must be met > > > each day for overnight positions. > > > > > > Regards, > > > > > > David > > > > > > > > > --- In [email protected], "brian_z111" <brian_z111@> wrote: > > > > > > > > Hello David, > > > > > > > > Thanks for keepting discussion on this issue going. > > > > > > > > I tried MSA a few years back .... thought it was one of the better > > > > tools around. It seems to have developed a bit since then. > > > > > > > > It has been reported in this forum before (as a MonteCarlo tool). > > > > > > > > > > > > A couple of questions to help me with my own private efforts: > > > > > > > > > I faced the same issue except I have 12 models > > > > > > > > I assume you mean 12 systems? > > > > > > > > > I decided to run my models separately in AmiBroker and then export > > > > > the trades to a database. > > > > > > > > So you are running all 12 systems over the same data and timeframe to > > > > get the trade series for each? > > > > > > > > Are you collecting the trade series as $, points or %? > > > > > > > > How do you export to a database? > > > > > > > > Which database? > > > > > > > > >The caveat is that MSA uses trade information for all it's >statistics > > > > >and has no knowledge of the chart data used to create >those trades. > > > > > > > > IMO using mathematical models, based on the trade series, considered as > > > > the return of the investment, is the best way to compare portfolio > > > > outcomes. As Howard pointed out in one of his posts, we do have to be > > > > very careful when making assumptions based on non-correlation because > > > > it can disapear quite quickly (I believe non - correlation, between > > > > instruments and markets etc, has been falling, over the last decade or > > > > two, because of the growth in algorithmic trading and/or analysis.) > > > > > > > > >So statistics like Max System Drawdown are different than the much > > > > >more accurate AmiBroker MDD because AmiBroker can look at each chart > > > > >bar and determine the actual intra-trade MDD while MSA only knows >the > > > > entry and exit prices of each trade. > > > > > > > > Do you find that open trade drawdown is important? > > > > I tend to think that it is irrelevant if the system uses stops .... > > > > any intratrade loss must always be less than the stop loss or the trade > > > > would have closed, on stop? > > > > > > > > I am also inclined to the view that intratrade equity is a hypothetical > > > > figure ... the outcome of the trade isn't known until it is closed. > > > > > > > > > > > > > > > > > > > > Here is the link to Howard's post that I referred to prev. > > > > He says that he is including Portfolio Construction in his next book > > > > (Advanced AB) ... due out at the end of 09. > > > > > > > > http://finance.groups.yahoo.com/group/amibroker/message/138075 > > > > > > > > > > > > KEYWORDS > > > > > > > > OPTIMAL PORTFOLIO CONSTRUCTION MODELING > > > > > > > > --- In [email protected], "dbwyatt_1999" <dbw451@> wrote: > > > > > > > > > > Soham, > > > > > > > > > > I faced the same issue except I have 12 models that use a portfolio > > > > > of 27 futures instruments. The issues involved with running multiple > > > > > systems simultaneously are much more difficult than dividing the > > > > > system logic by symbols or watchlists. For example because you are > > > > > considering trending and counter-trending systems, there is the > > > > > possibility of being long and short in the same instrument in two > > > > > separate models each with a different trade size. I tried combining > > > > > my models in AmiBroker, but my custom stop handling and dynamic > > > > > position sizing just became a nightmare to manage. After reading > > > > > through most of the multiple systems threads on this forum, I started > > > > > thinking about alternative solutions. > > > > > > > > > > I decided to run my models separately in AmiBroker and then export > > > > > the trades to a database. From there I would write a simplistic > > > > > back-tester that would step through the combined trades, > > > > > recalculating the trade quantities using a shared equity pool. At > > > > > this point I did some googling to see if there was any Excel, or C# > > > > > libraries, or any other software that would give me a simplistic > > > > > back-tester framework. I thought about feeding the trades back into > > > > > AmiBroker as signals, but that would amount to a lot of AFL code to > > > > > handle the models by scaling in and out positions with the > > > > > possibility of managing long and short positions simultaneously. > > > > > Also I want to vary the number and mix of models I test in the > > > > > future, so the AFL programming would have to be generic which makes > > > > > the task even more daunting. > > > > > > > > > > Anyways through my googling, I found a software product called Market > > > > > System Analyzer by Adaptrade (www.adaptrade.com) that already had > > > > > implemented the approach I was pursuing. The primary purpose of the > > > > > MSA software is to explore position sizing models (all of which I > > > > > think can be written in AmiBroker). I'm able to import my AmiBroker > > > > > trades into the MSA software. MSA can treat my 12 models as a single > > > > > portfolio and generate a combined equity curve and other back-tester > > > > > statistics from a shared equity pool. It recalculates trade sizes > > > > > (i.e. shares) based on the position sizing model selected. The > > > > > caveat is that MSA uses trade information for all it's statistics and > > > > > has no knowledge of the chart data used to create those trades. So > > > > > statistics like Max System Drawdown are different than the much more > > > > > accurate AmiBroker MDD because AmiBroker can look at each chart bar > > > > > and determine the actual intra-trade MDD while MSA only knows the > > > > > entry and exit prices of each trade. > > > > > > > > > > MSA has been a decent solution for me to fill a void that I wasn't > > > > > able to complete with AmiBroker. Instead of spending days or weeks > > > > > writing my own multiple system handling logic, within a few hours I > > > > > had all my 35,000 trades loaded into MSA and was creating the > > > > > combined system statistics I was after all without any programming > > > > > (other than a database query to export the AmiBroker trades by symbol > > > > > into an MSA import format). > > > > > > > > > > I'm weary to bring up another software product on the AmiBroker user > > > > > forum especially since AB can do about 90% of what MSA does, but in > > > > > this case I have not found anything posted that has given me a doable > > > > > solution to combining multiple back-testing trading systems. > > > > > > > > > > Best of luck with your system development. > > > > > > > > > > Regards, > > > > > > > > > > David > > > > > > > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > > > > > > > > > You could probably use the same technique as is used for pairs > > > > > > trading. Specifically, check for the name of the symbol and apply > > > > > > the applicable logic. > > > > > > > > > > > > http://finance.groups.yahoo.com/group/amibroker/message/134492 > > > > > > > > > > > > If you don't want to have a bunch of if (Name() == ...)statements, > > > > > > you could probably add some symbols to watchlist1, the others to > > > > > > watchlist2, all of the above to watchlist3. Then use InWatchList() > > > > > > in your code instead of checking the name. You would run your > > > > > > backtst/optimization/etc. on watchlist3. The danger of that though > > > > > > is if you add a symbol to watchlist3 but forget to also add it to > > > > > > either watchlist1 or watchlist2. > > > > > > > > > > > > if (InWatchList(1)) { > > > > > > ... // Strategy 1 > > > > > > } else if (InWatchList(2)) { > > > > > > ... // Strategy 2 > > > > > > } > > > > > > > > > > > > Any custom money management would probably have to be implemented > > > > > > in custom backtester code. > > > > > > > > > > > > Mike > > > > > > > > > > > > --- In [email protected], "Soham" <sohamdas@> wrote: > > > > > > > > > > > > > > Any help on this? > > > > > > > --- In [email protected], "Soham" <sohamdas@> wrote: > > > > > > > > > > > > > > > > Hello Everyone, > > > > > > > > > > > > > > > > I believe, I have seen this question here itself or one of its > > > > > > > > forms. But given the "fantastic" search results of Yahoo > > > > > > > > groups, I am posting this once again. > > > > > > > > > > > > > > > > Is there any method, to simulate multiple strategy on a > > > > > > > > portfolio level?For example, consider I want to use a trend > > > > > > > > following system for Cotton, Coffee, Copper, EuroDollars and > > > > > > > > FAZ. While, I want to "simultaneously" simulate a trend fading > > > > > > > > system for SPX,NDX and RYDER. > > > > > > > > > > > > > > > > Is there any way to do it? > > > > > > > > > > > > > > > > And very related to this stuff, the one possible way, I can > > > > > > > > think of is, using multithreaded programming. Is it possible? > > > > > > > > Interfacing say C# with Ami and handling the two strategies > > > > > > > > with their own money mgmt algos, and instruments etc? > > > > > > > > > > > > > > > > It is to be reminded that, they draw their "juice"[$$$] from > > > > > > > > the same account. > > > > > > > > > > > > > > > > Thanks, for any light on this > > > > > > > > Soham > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > >
